商业银行中VaR估值方法的检验

Assessment of VaR Evaluation in Commercial Bank

VaR模型,作为商业银行风险管理的重要工具之一,能较为准确地测量资产组合在金融市场正常波动下的市场风险。然而,在实际应用中,VaR模型仍存在一些缺陷,例如,在极端市场情况下,VaR存在较大的估计误差。压力测试,作为VaR模型的一个补充,可以用来测量极端市场状况下的金融市场风险。回溯测试,则可以用来检验VaR模型的准确性。巴塞尔委员会也对VaR模型制定了最低使用标准,文章最后将对此予以简单介绍并对我国商业银行在模型实施上提出一些建议。

VaR model, one of the most important tools in commercial banks＇ risk management, can almost accurately measure the market risk of asset portfolio under normal financial market fluctuation. However, VaR model has some drawbacks. For example, it results in estimation errors under extreme market situations. Stress testing, as a complement to VaR model, can be used to measure market risk even under extremes. Backtesting can be applied to evaluate the accuracy of VaR model. The last part of the paper introduces some minimum requirements specified by Basle Committee, and give recommendations to focal commercial banks when applying VaR model.