混合历史模拟法在金融风险度量中的应用

The Application of Hybrid Historical Simulation Method in Measuring Financial Risk

随着银行业务的不断发展和市场竞争的加剧,银行业风险呈现出复杂多变的特征,《新巴塞尔协议》的出台对银行风险管理提出了更高要求。由于中国大多数银行开展风险管理的时间不长,相关数据积累不足,因而选择合适的模型显得尤为重要。本文针对风险计量VaR模型的历史模拟法,运用回溯检验的原理,比较分析了混合历史模拟法与一般历史模拟法在小样本情形下的表现,得到了相对于一般历史模拟法而言,混合历史模拟法能更好地度量风险的结论。

With the development of financial market competition, the banking sector has encountered complex and changing risks. The Basel Ⅱ Accord requires banks to follow a higher standard of risk management. Since the majority of banks in China have just carried out risk management for a short time, and accumulated insufficient data, it is vital for them to select an appropriate model. In this paper, we use the historical simulation method of VaR model and back testing method to make a comparative analysis of performance between the hybrid historical simulation method and the general historical simulation method in the case of＇small sample. Finally we conclude that compared with the general historical simulation method, hybrid historical simulation method can better measure and predict the risk.