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1、 I 摘摘 要要 随着我国经济市场化程度的不断提高， 加上混业经营使我国商业银行业务范 围逐渐扩大，我国商业银行正面临着越来越大的市场风险。商业银行市场风险是 指商业银行经营过程中由于市场因素变化的影响，银行实际收益偏离预期收益， 导致遭受损失或获取额外收益的可能性。 我国商业银行在市场化程度逐步得以提 高的同时积聚了巨大的风险，必须积极管理以减少银行损失。 风险计量是实现风险管理的前提，也是整个风险管理过程中的核心与难点。 为使风险管理体现客观性和科学性，市场风险管理多采用定量分析技术，大量运 用数理统计模型来识别、 度量和监测风险。 VaR 方法正是这样一种定量分析工具， 目前已受到业内人
2、士的广泛认可， 成为国内国际许多金融机构所采用的风险分析 方法。风险价值（VaR）是根据现代金融理论，应用最新的统计分析方法和数值 计算发展起来的风险分析与度量技术。VaR 是刻画风险的基本指标，它是指某一 个资产组合在未来一个给定的期限内，在选定置信水平下的最大可能损失。本文 对 VaR 风险测量体系进行了全面深入的研究，不仅对 VaR 模型的产生背景、计 算原理、优缺点进行了详细的讨论，同时还对三种典型的 VaR 计算方法分 析方法、历史模拟法以及蒙特卡罗模拟法进行了综合的分析和比较。着重应用历 史模拟法来估算我国商业银行市场风险， 求得十家商业银行各股价收益率的 VaR 值，再结合会计知
3、识从财务角度比较研究我国各商业银行之间的风险状况，提出 管理建议，帮助商业银行进行投资决策、资产业绩评价和风险管理,确实保证我 国金融与经济的持续、健康、快速发展。 本文分为五个部分，第一部分介绍文章的研究背景及其意义，回顾国内外研 究 VaR 的文献并进行述评，宏观概述本文的研究内容与方法；第二部分首先对 市场风险的内涵与影响因素进行理论分析，再结合我国商业银行的实际现状，剖 析我国商业银行市场风险管理状况；第三部分详细介绍 VaR 方法，从它的基本 原理，到几种主要计算方法及其在实际中的运行意义；第四部分是全文的核心， 包括量化实证分析和基于财务数据的比较分析，在对 VaR 理论模型充分研
4、究的 基础上，选取样本数据运用历史模拟法计算量化我国十家商业银行的市场风险， 并从会计专业角度以财务指标进行衡量比较，辅助检验各商业银行的风险水平； II 第五部分总结全文研究结论，提出加强我国商业银行市场风险管理的建议，帮助 银行提高对市场风险的防范、控制和抵御能力。 本文的创新之处在于， 侧重使用反映银行相关历史信息的股票价格来对十家 商业银行绝对风险进行评估， 并结合财务信息分析检验了该十家银行的相对风险 大小。建议在进一步改革开放中，加快风险管理制度、技术和人才的发展，以提 高资本收益率为中心，均衡风险和回报，通过加强财务管理来达到提高资本充足 率、加快现金流动、降低资金成本和费用，从
5、而控制和减低风险。 关键词：关键词：市场风险管理；股票价格； VaR；收益率；财务分析 III Abstract With the economy becoming more market-direct, meanwhile mixed operation expand commercial banks business, more and more market risk confronts the banks. Commercial banks market risk means, the actual revenue of banks deviate the expected reven
6、ue, causing the possibility of the additional loses or revenue because of the influence of marketing factors in the commercial banks conduction process. With the development of our countrys financial reform, the commercial banks market has gathered huge risk when it grows up. We must act positive ma
7、nagement to reduce the loses. Risk measurement is the prerequisite for risk management, and also the most important and difficult part in the whole risk management progress. Value at Risk (VaR) according to the modern finance theory，applies risk analysis and measure technology which the latest stati
8、stical analysis method and the value computation develops. VaR portrays the risk as the basic target. What VaR model measures is the most greatly possible losses that the some property combination value suffers in certain period and under a given probability level. A deeper research has been done on
9、 VaR system in this paper; it has in detail analyzed the background, calculation principle, advantage and disadvantage of VaR model. Then, it profoundly studies the typical three methods for calculating VaR_ Variance-Covariance Method、Historical Simulation and Monte Carlo Simulation, gives overall c
10、ompare and analysis about the three methods. This paper studies the market risk of our countrys commercial banks, so uses the historical simulation law to calculate ten commercial banks VaR .Then handled accounting information to compare the risk status of the ten commercial banks in financial point
11、 of view. We make some managing suggests, help our commercial banks to make investment decision、evaluate assets achievement and manage risk. Make sure our finance and economic develop persistently healthy and fast. This paper disports to five parts. Part one introduces the study background and IV si
12、gnificance, look back the literatures studied VaR in and out of china and comment them, summarize the content and means of this paper. Part two analyzes the connotation and influencing factors of market risk, and also the status of market risk management. Part three detailed introduces the VaR, from
13、 its basically principle、 several calculating methods and running signification in practice. Part four is the core of the paper, including demonstration and financial analysis. On the basis of fully research the historical simulation, we compute the market risk of our ten commercial banks and then u
14、se financial targets to supplementary check their risk level. Part five summarize the study conclusion; make suggests strengthening the management of market risk, help banks to elevate the ability of keep away 、control and resist the market risk. In this paper, the innovation lies in the fact that t
15、he study emphasizes particularly on the stock price to evaluate the absolute risk figure, and then check their comparative risk level from financial information. During the reform and open of market, to improve the assets yield、proportion risk and return, the paper suggests strengthening the develop
16、ment of risk management system、 technique and talents, reinforcing financial management to increase capital abundance、quicken cash flow and reduce capital cost and fee, so to control and letdown risk. Key Words: Management of market risk; stock price; Value at Risk; yield; Financial analysis I 目目 录录 第一章第一章 绪绪 论论 . 1 一、研究背景与意义 1 二、国内外研究综述 3 三、研究思路与方法 7 四、创新点与不足 . 8 第二章第二章 我国商业银行市场风险管理我国商业银行市场风险管理基础分析基础分析 . 9 一、市场风险的内涵 9 二、商业银行市场风险管理与 VaR . 12 三、我国商业银行市场风险管理的现状分析 . 14 第三章第三章 度量市场风险的度
