【摘要】 VAR方法作为一种风险测量方式在商业银行风险管理中具有重要作用,该方法已经成为金融监管当局有效的监管工具,用于银行内部控制和银行业绩评估,可以作为风险信息披露的重要手段,可以提升银行在公众中的形象,可以构造商业银行信用风险预警系统。我国金融机构的主体是国有商业银行,我国的金融风险也集中体现为银行业风险。因此,借鉴国际经验,选择适合我国商业银行实际的置信度和目标区间,在我国商业银行风险测量中引入VAR方法,对提高我国商业银行风险管理水平,维护我国的金融秩序有重要的现实意义。更多还原

【Abstract】 VAR model play important roles in the risk management of commercial banks,as a way of risk measurement.Having been applied by financial supervision organization, VAR model can be used in bank interior management and bank evaluation of outstanding achievement,can be a important way to exposure information, can be used to promote the bank image in public and to structure the alarm system of crediting risk of commercial banks.The commercial banks are the main body of financial organizations of China,so its financial risk is mainly exhibited as bank risk. Therefore, on the basis of international experience, it is important to select the degree of confidence and the target interval which is fit for the economic conditions of China, and to apply the VAR model to the risk measurement of commercial banks in order to improve the level of risk management of commercial banks and safeguard the financial cosmos of the country.更多还原