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Implementing Quantitative Risk Management and VaR in a Chinese Investment Bank

案例編號 : UST034
HBP產品 : ST34
作者 : Dr Allen KUO and Ellen ORR
發布日期 : 19.07.2016


The protagonist, Jasper Wang, was originally from China, but had extensive risk management experience in overseas banks. With rapid Chinese economic growth, he was eager to return to China for the right opportunity, and was persuaded by the CEO of a domestic Chinese investment bank to head their Risk Management function. His remit was to introduce “international standards” in risk measurement and management to the firm.
After the initial “honeymoon” period, he began to encounter more and more resistance from his colleagues at the trading desk, expressing skepticism for the new “Value at Risk” based market risk control framework he wants to set up. He must decide how he will push a more quantitative risk and control framework within the organization in the face of domain issues, dismissal of risk management measures used outside of China, and basic cultural differences about how things may get done within a domestic firm.


This case introduces the VaR framework and the technique of backtesting, and provides a realistic example of the different goals of (and occasional tension between) front office and middle office staff, in courses on technical financial risk management and managing financial institutions. It also serves to illustrate different investment bank organizational structures and management priorities, particularly between the West and emerging markets such as China.

公司/機構 A Chinese Investment Bank (Fictitious)
行業 investment banking, finance, risk management
主要學科 Finance
主題 Quantitative Risk Management , Backtesting, Brokerage and proprietary, Chinese Investment Bank, International banking regulators (Basel rules), Value at Risk (VaR), volatile market, trading, securities, profit and loss
地區 Shanghai, China, USA
案例屬性 Fictional
案例頁數 13
教學筆記 12
補充資料 Datasheet