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The Research on VaR of Commercial Bank’s Risk Management

Author: ZhangWei
Tutor: DaiZhiMin
School: Zhejiang University
Course: Project Management
Keywords: Credit risk management VaR Risk management of commercial bank risk Regression analysis
CLC: F832.4
Type: Master's thesis
Year: 2011
Downloads: 434
Quote: 0
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Abstract


Western Banks always attaches its great importance to the credit risk management since 1980s. The ongoing finance liberation and well developed finance technology, in contrary, helps the bank to practice risk management better than before. In recent years, more and more banks are keen in setting new standards such as RAROC as one of the KPIs for operation. Commercial banks and its regulation supervisors, in succession, launch rounds of new study on risk management. This situation has kept going since the publishing of BASELII capital accord.The core business of China banking is loan. Generally speaking, banks concern business development more than risk management. A high bad debt ratio is quite common to state owned commercial banks. After China joined the BASELII accord, local commercial banks are realizing that the risk measurement is an important key to the credit management. In fact, credit risk management is like Rome which could not bbe built in one day. It needs various resources such as time, money and human treasuries. The issue of how could commercial banks increased its return on assets is always a hot topic worthy to discuss.Firstly, this article introduces the conception, properties as well as purpose of risk management. Then, it shall have a further discussion on various credit risk measurement models. Secondly, the constraints and implementation risk of credit risk management of using VaR will be presented. Thirdly, in the empirical analysis, a set of loan data including outstanding, interest income and rating was selected for regression test. After that, a test with different scenario on rating, interest rate and due date will be performed. Finally, this article shall provide some strategic suggestions for local commercial banks.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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