基于VaR的我国商业银行市场风险分析

Analysis of the Market Risk of China's Commercial Banks Based on VaR

本文以招商银行为例,运用VaR-GARCH(1,1)模型对收益率的风险值进行分析,并对我国商业银行的风险管理提出建议,具有较强现实意义.

By taking China Merchants Bank as an example,this paper used VaR-GARCH（ 1,1） model to analyze the value at risk of return rate. It puts forward suggestions on the risk management of commercial banks in China and has strong practical significance.