基于VaR模型的银行风险管理

The Banks Risk Management Based on Value at Risk Model

VaR模型在风险管理中是一个常用工具,介绍了改进的连续VaR计算方法,说明如何利用VaR对银行的风险进行管理,包括那些虽在中途突破阈值但期末又恢复到阈值以上的损失概率,弥补了常规VaR的缺陷,是一种比常规VaR更稳健的风险估计方法,并以银行风险资本估计为例,通过实证对比指出了两种方法的差异。

The Value at Risk Model（VaR） is a common tool in risk management It presents a modified method, which is also effective when the price first breaks the loss threshold value at the holding period but recovers at the end of the period. This is a steadier continuous monitoring way than conventional VaR. The application case shows the difference between these two methods with bank capital requirements.