Author(s)

Dehong Wang^1*, Jianbo Song^2*, Yongzhao Lin^1*

¹International Business School, Beijing Foreign Studies University, Beijing, China.
²School of Business, Renmin University of China, Beijing, China.

There are usually great demands for risk control in the banking industry. Value at risk (VaR) is an important risk measurement in the Basel Accords, and Monte-Carlo simulation is a common method for VaR measurement. We conduct a series of Monte-Carlo simulation for VaR measurement based on the banks listed in the China stock market. Our study thinks that it is reliable to use Monte-Carlo simulation to measure VaR in Chinese banks. Therefore, we think that such VaR measurement works in China.

Value at Risk (VaR), Monte-Carlo Simulation, Chinese Banks

Wang, D. , Song, J. and Lin, Y. (2017) Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks. Journal of Financial Risk Management, 6, 66-78. doi: 10.4236/jfrm.2017.61006.