在结构性衍生产品市场中的定位与运用

Orientation and application of VaR in the structured derivatives market

近年来,结构性金融工具和基于多重资产的金融衍生品发展迅速,对市场风险管理提出了新的问题,使得银行将客户整体风险视作信贷风险和市场风险的组合。风险管理整体观念正在改变,这将令减少相关性和风险的方法发生巨大变化。

The rapid growth of structured financial instruments and multiple-asset based derivatives has raised new issues for market risk management,leading banks to consider clients'exposure as portfolios of credit and market risks.The entire concept of risk management is changing.As a result,the approach to correlation and risk mitigation effects has been modified.