Measuring Market Risk in Chinese Banking Based on the VaR Method

Lin Ye

doi:10.47297/wspdecWSP2515-797304.20250908

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Measuring Market Risk in Chinese Banking Based on the VaR Method

9卷第8期

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Measuring Market Risk in Chinese Banking Based on the VaR Method
Measuring Market Risk in Chinese Banking Based on the VaR Method
School of Economics and Management, Guangxi Normal University, Guilin, Guangxi, 541006, China
2025年9卷第8期页码：17-25
纸质出版：2025-08-30
DOI：10.47297/wspdecWSP2515-797304.20250908
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Lin Ye. (2025). Measuring Market Risk in Chinese Banking Based on the VaR Method. 发展经济学, 9(8), 17-25.

Lin Ye.Measuring Market Risk in Chinese Banking Based on the VaR Method[J].Development Economics of China,2025,09(08):17-25.
Lin Ye. (2025). Measuring Market Risk in Chinese Banking Based on the VaR Method. 发展经济学, 9(8), 17-25. DOI： 10.47297/wspdecWSP2515-797304.20250908.

Lin Ye.Measuring Market Risk in Chinese Banking Based on the VaR Method[J].Development Economics of China,2025,09(08):17-25. DOI： 10.47297/wspdecWSP2515-797304.20250908.

摘要

Abstract

Under the impact of financial technology

the operational performance of the banking industry has been declining

with most banks experiencing suboptimal asset quality. As a central entity in the financial system

commercial banks play a crucial role in resisting financial "black swan" events. Accurately assessing and predicting market risks is essential for commercial banks to convey correct information to investors. However

the application of algorithms in risk assessment has not yet reached its full potential

and measuring the market risks of commercial banks remains challenging. Drawing on existing literature

this paper employs the VaR method to attempt to measure the market risks of commercial banks.Furthermore

regarding market risk prevention for commercial banks

this paper suggests that commercial banks should address three aspects: interest rate risk

exchange rate risk

and stock price risk. First

optimize and improve the benchmark interest rate system to mitigate the impact of interest rate liberalization on financial operations. Second

enhance the awareness of "neutral" exchange rate risk and accelerate the development of RMB foreign exchange futures. Third

optimize asset allocation financialization for stock prices and strengthen the application of financial technology in stock price prediction.

关键词

Keywords

references

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