VAR MODEL THEORY AND ITS POSITIVE APPLICATION IN FINANCIAL RISK MANAGEMENT OF CHINESE COMMERCIAL BANKS

摘要

Through the definition of the concepts of the VAR model and the discussion of the computation principles, an attempt has been made to use the VAR model to conduct a positive application analysis of the market risk of the assets combination of Commercial Bank A in China. It is pointed out that the VAR model can be used as a reference for the financial risk management of Chinese commercial banks with some problems of the model indicated simultaneously.