基于VaR的交易业务市场风险限额

VaR limits for trading business

VaR已经成为衡量市场风险的重要手段。如何为交易业务合理设置VaR限额,并将该限额纳入风险管理体系中已经成为我国各银行必须面对的问题。该限额的设置和分配涉及银行组织架构、风险偏好、业绩评价、收益目标等多个方面。目前我国银行尚未建立起风险资本管理机制和风险调整后的资本收益率评价机制,因此在核定VaR限额总量方面存在困难。该文综合了各文献对交易业务VaR限额和风险资本分配的研究和讨论,并尝试从四个方面给出设置该限额总量的技术参考指标。

Value at Risk （VaR） has become an important gauge of market risk. To control dsk, Chinese banks should establish VaR limits for their trading business and incorporate these limits into their risk management systems. VaR limit setting and allocation is a process related to organizational structure, risk preference, performance evaluation and profit budgeting of banks. However, currently Chinese banks have no effective capital management and RAROC measurement systems in place, so it＇s diifficult for them to establish a reasonable total amount of VaR limits. This articte summarizes the literature covering the topic and outlines four basic frameworks for reference.