新巴塞尔协议框架与VaR方法的运用

作为当前最重要的风险管理方法之一 ,VaR被运用于金融风险管理的各个方面 ,商业银行的风险管理也是其应用的重要领域。在新巴塞尔协议的框架下 ,基于VaR的风险度量模型已被应用于商业银行面临的全部三类风险 :信用风险、市场风险和操作风险。该模型运用先进的数量技术 ,定量地分析了商业银行的风险程度 ,为商业银行度量风险并相应地配置风险资本金给出了明确的依据。

As one of the most important risk management approaches, VaR is applied in all aspects of risk management, including the risk management of commercial banks. According to the New Basle Capital Accord, VaR approach has been used in the models which deal with all the three types of commercial bank risks (credit risk, market risk and operational risk). These models provide evidence to the commercial banks for their risk measurement and risk capital preparation by analyzing the risks of them.