Var Model Based On The Country's Financial Market Risk Measurement Study

Risk measurement is the prerequisite for risk management, it's also the most important and difficult part in the whole risk management process. Recently, the effort of financial risk control has been focusing on the development of the theory of risk measurement and risk measuring model in the world. With the development of our country's financial reform, the financial market have gathered huge risk when it grows up. In order to measuring and controlling the market risk better, some foresighted commercial banks have already introduced VaR, which is the popular risk measuring model in the world. Compared with the international advanced banks, the commercial banks of our country lag far behind about the applying of VaR. Although there're lots of reasons to explain it, this paper points out differences between the financial market of our country and the western countries are the most important factors, because it makes commercial banks of our country have to face to many restraints when using VaR to measure the financial market risk of our country. In order to move forward the work of market risk measuring based on VaR and shorten the distances with the international advanced banks, commercial banks of our country should finish the work of indigenization for VaR according to the situation of our county's financial market. Fist whether VaR can be used to measure our country's market risk of RMB exchange rate, interest rate and stock price should be tested. Because RMB exchange rate has been highly restricted and interest rate has not totally determined by the market, this paper points out that VaR couldn't be used to measure RMB exchange rate risk; although VaR can be applied to estimate interest rate risk, the accuracy of the result is not very high; VaR can be used to measure stock price risk well. Further according to the characteristic of our country's financial market risk, the work of indigenization for VaR should be done in two aspects. One is estimating model parameters again, the other is choosing the best among various VaR models. It's necessary because VaR was originated in western country, which differs significantly from our country. By using datas of our country's stock market, this paper analyses three most popular VaR models, especially MenteCarlo, and draws the conclusion that EWMA based on student distribution and MenteCarlo based on student distribution can get better result.