THE IMPORTANCE OF VALUE AT RISK METHOD （风险价值方法的重要性）.pdf

THE IMPORTANCE OF VALUE AT RISK METHOD IN THE MANAGEMENT OF BANKING RISK Terpezan Tabără Olga Alexandra, PhD Management – third year The Bucharest Academy of Economic Studies Employer: BRD-GROUPE SOCIETE GENERALE E-mail: terpezan@; olga.terpezan@brd.ro Abstract: The article presents Value at Risk (VaR) the measurement method of market risk, one of the most important risk measurement methods in banking sector. Beginning with the VaR definitions existing in the specialty literature, the most common methods in calculating VaR are detailed, such as: Parametric VaR, Historical Simulation and Monte Carlo Simulation, which are different methods but with common attributes and limits. Thus, regardless of the calculating method of VaR chosen by the banking manager function of the importance of the instrument and its specified qualities, VaR is currently the most frequent method used, being considered as a respectable banking risk measure. Key words: method, option, portfolio, simulation. The place and the level of banks in the economy are related to their intermediary quality in the savings-investments relationship, which is very important in the economic growth. Banks, being the intermediary between the depositors and the beneficiaries of savings, have the following activities: collecting funds, assuming debtors risks, that means analyzing the loans and assuming the associated risks, assuming the interest risk, because the intermediation suppose a maturity transformation. From the accomplishment of these functions, banks gain recompense, representing the main source of the banking profit. The banking institutions, like other institu