VaR模型在我国金融风险管理中的运用研究

Application of the VaR method in financial risk management of China

近20多年来金融市场迅猛发展,金融机构所面临的风险日趋复杂,主要风险已从信用风险转向了市场风险,表现为利率风险、股价风险和汇率风险的综合。我国金融市场是一个发展中的新兴市场,建立适应于我国金融市场的风险预测模型对我国金融风险管理十分必要。文章从研究VaR模型的具体操作方法入手,分析VaR法对于我国金融市场风险管理的影响,探讨VaR法在我国风险度量和金融监管中存在的问题并提出改进策略。

With the rapid development of financial markets,the international financial institutions face more complex financial risk,and the financial risk appears as the integration of the interest risk, stock price risk and exchange rate risk. The financial market of China is burgeoning and it is necessary to build up practical models for measuring the financial risk. In this paper,the method of Value at Risk(VaR) is introduced and applied to the financial risk management of China. The problems in the risk measurement and financial supervision are analyzed as the VaR method is applied, and some corresponding strategies are put forward.