VaR在我国金融控股公司市场风险管理中的应用研究金融学专业论文.docxVIP

哈尔滨工业大学经济学硕士学位论文 哈尔滨工业大学经济学硕士学位论文 目录 目录 - - PAGE IV- - -III- Abstract Financial industry is in the risk business. With the establishment of Guang Da Financial Holding Group, it marks that Chinese financial industry speeds up from divided operation to mixed operation. At the same time, as the development of financial mixed operation, financial holding companies (FHCs) face greater market risk than before. Therefore, market risk management is becoming an important part of Chinese FHCs’ operation and management. In our country, FHCs have made considerable progress in risk management. But compared with FHCs of developed countries, regardless of the risk management system or risk management methods and techniques, there is a big gap. Chinese FHCs need to introduce and study the developed countries’ advanced market risk management experiences, methods and techniques, such as the now widely used VaR method, to improve the market risk assessment and measurement of Chinese FHCs and better guard against the market risks. The theme of this paper is the application of VaR method to quantify market risk in market risk management of Chinese FHCs. This paper uses the method of comparative analysis. Compare the market risk management and application of VaR method of domestic and foreign FHCs to draw Chinese FHCs’ shortage in this two areas. Then, it uses empirical analysis. Apply the VaR method to measure market risk of an actual operation of CITIC Holding Company, and compare with the result of traditional market risk measurement method of Chinese FHCs. We can get that the VaR method is very effective in Chinese FHCs. But there are some deficiencies because of lack of reliable overall data. Now, Chinese FHCs face increasing market risk. Through the comparative analysis and empirical analysis, this paper shows that the VaR method plays vary important role in Chinese FHCs’ market risk management, and will better manage market risk of Chinese FHCs as reference. Keywords financial hol