文档介绍：湘潭大学
硕士学位论文
基于VaR的中国商业银行市场风险度量研究
姓名:汪容
申请学位级别:硕士
专业:政治经济学
指导教师:楚尔鸣
20080515
摘要
随着金融市场化进程的逐步加快,我国商业银行经营中面临的市场风险逐渐增大,
这直接威胁着我国商业银行经营效益及运行的稳定性。由于长期以来我国商业银行
实行计划经济,利率、汇率都是固定的,所以几乎没有市场风险,也不重视市场风
。
因此,我国商业银行迫切需要借鉴国际先进的管理技术和经验因来管理我国商业银行
的市场风险。VaR 模型作为国际上先进的风险管理方法,在西方商业银行中己得到广
泛应用。在我国,由于对 VaR 模型理论上的研究起步较晚,以及我国金融市场自身的约
束条件,使 VaR 模型未能得到广泛的运用。而作为 WTO 及巴塞尔协议的成员国,我国
商业银行急需在风险测量方法及管理理念、政策以及体系建设等方面尽快调整并逐
步与国际惯例接轨。因此,研究并借鉴先进的 VaR 模型管理我国商业银行市场风险具
有重要的现实意义和深远影响。由此,本文以我国市场风险管理存在的缺陷为切入点,
引入 VaR 风险计量模型,并通过对中国人民银行对欧元的中间汇价和中国银行对英镑
的买出汇价的两种数据对 VaR 进行实证分析,并试图由此探求建立适合我国国情的市
场风险测量方法及管理体系的有效途径。

关键词: 利率市场化; 利率风险; VaR ; 商业银行

I
Abstract
Along with financial marketability advancement's gradual quickening,,market risks
which our mercial bank faced increase gradually, this immediate danger
the effectiveness of operation and movement stability of our mercial bank 。
Because our mercial bank implements the planned economy for long time.
the interest rate and the exchange rate are fixed,therefore they don't have the market risk
nearly, also pay no attention on the management of market risk 。 The market risk
management level of our mercial bank has been insufficient for the market
risk which deals increases day after day。
Therefore,our mercial bank urgent ly needs to profit from the
international advanced managerial technique and the experience to manage our country
Commercial bank's market risk。The VaR model has been taken widespread application
in the mercial bank as advanced risk management method。In our country,
because it is late to start the research on the VaR model theoretically,as well as our
country money market own constraints,,enables the VaR model to obtain the widespread
utilization。 But as WTO and the Barthel agreement's member nation,our country
Commercial bank urgently needed to adjust and gradually fit the international convention
trail as soon