风险值(VaR)度量模型新进展(上)

RECENT DEVELOPMENT OF MODEL FOR MEASURING VALUE AT RISK

风险一直都是金融机构所面临和关心的主要问题。认真作好风险度量和管理工作,保持金融机构的稳健经营,是现代经济运行的基石。BCCI、英国巴林银行,美国长期资本管理公司和亚洲金融危机中许多金融机构失败的案例皆起源于缺乏风险管理的观念和技能。近年来,为了更好地衡量资产损失的风险,人们提出了风险值(Value at Risk)的概念,目前,风险值(VaR)已经成为风险管理目标的同义词。本文讨论的是风险值度量方法的新进展。具体包括三部分内容。第一部分是对风险管理概念VaR讨论,指出国内一些文章对VaR概念的一些不恰当理解和应用;第二部分是完善VaR度量方法的分类标准及名称,介绍了风险值度量方法的新进展,并给出了VaR度量方法的实施程序;第三部分是对风险值度量方法研究的展望。

Value at risk is a new concept for measuring the loss of assets, and recently it has become the concern of risk management. This paper introduces the latest development of methods for measuring VaR. There are three sections in this paper. Section 1 discusses the concept of risk management---VaR,and points out the misunderstanding and inappropriate application of VaR in academic field; section 2 presents a better classification standard for the methods of measuring VaR, the latest development and its implementary procedures; section 3 presents the prospect of VaR measuring methods research.