1、基于VaR的金融风险度量研究中文摘要2008年，华尔街五大投行悉数倒塌，美国房地产市场快速发展引发的次贷危机逐步演变为全球性金融危机，全球经济经历了上世纪30年代以来最为严重的衰退。这也对我国金融经济产生了一定的影响，虽然次贷危机对我国金融机构直接资产损失有限，但对我国金融业发展的间接影响深远。因此在当前国际金融市场震荡的背景下，研究我国金融业风险防范管理，对防范和化解金融风险、维护金融稳定具有重要现实指导意义。1996年，“巴塞尔资本协议修正案”提出对市场风险的资本要求，规定银行必须要持有额外的监管资本，以应对交易中出现的市场风险，并提出了用VaR计算市场风险的方法。1999 年的新巴塞尔协
2、议征求意见稿中，委员会提倡用 VaR 度量信用风险。2001年巴塞尔委员会提出了操作风险管理，并于2004年6月得到了所有参与成员的同意，在2005年11月提案得到进一步更新，于2007年实施，即新巴塞尔资本协议（Basel ）。“Basel ”确定了金融风险管理的三大支柱，分别为最低资本金要求、监督审查过程和市场纪律。第一支柱中，新巴塞尔资本协议加强了操作风险的资本金内容，提出用 VaR 对市场风险、信用风险和操作风险进行综合的风险管理，对银行账户中的信用风险计算采用了新的计算方式。至此，VaR 作为一个重要的风险管理工具开始在各金融机构中获得应用和推广。在众多定量分析模型中，VaR方法被认
3、为是银行和其他金融机构度量市场风险的最佳方法，VaR是被全球各主要银行、非银行金融机构（包括证券公司、保险公司、基金管理公司、信托公司等）和金融监管机构广泛使用的一种金融风险评估和计量模型。VAR方法已从市场风险管理领域拓展到其他多种类型的金融风险领域，包括很多外贸企业也已经开始使用VaR作为风险管理的工具，VaR方法已经成为国际金融业风险管理的标准。利用VaR对风险的计量促使了金融风险管理从定性向定量转变，不仅大大提高了银行风险的透明度，也促成了银行风险管理的可视化（visualized）发展。大力开发和应用VaR方法，对我国金融风险管理技术从定性分析向定量管理的转变具有十分重要的意义。随着
4、我国资本市场开放程度越来越高、利率市场化、以及衍生金融工具的发展等，金融机构所面临的风险日益复杂，越来越有必要对市场风险、信用风险和操作风险进行全面综合的风险管理。VaR既可以衡量金融机构承担风险的各个方面，又可以对风险进行量化处理；既为金融机构防范风险提供了一种激励机制，也为金融机构之间衡量风险水平提供了一个市场标准。VaR方法在我国有广阔的发展空间，它的推广和应用有助于我国金融机构内部风险管理和外部监管能力能够迈上一个新台阶，与国际惯例相一致。本文基于VaR的原理对目前国际上流行的度量金融风险的技术做了全面的分析，主要根据新巴塞尔协议的要求，对市场风险、信用风险和操作风险的VaR度量方法以
5、及模型研究做了全面的阐述，并进一步做了实证分析。最后，结合我国的金融机构发展的现状，对VaR技术在我国风险管理中的应用所面对的实际问题做了详尽的分析，从而为VaR风险管理技术在我国的应用提供一个借鉴。关键词：VaR，市场风险，信用风险，操作风险。AbstractIn 2008, all five major Wall Street investment bank collapsed, the subprime crisis caused by the rapid development of the U.S. real estate market evolved into a global f
6、inancial crisis, the global economy has experienced since the 30s of last century the most serious recession. Certainly, this has also had influence to our country finance economy.Although the sub-prime crisis on China limited loss of assets of financial institutions directly, but indirectly the dev
7、elopment of Chinas financial industry far-reaching impact.Under the background of the shaking current international money market, the study of risk management system of our country financial industry , has important practical significance on guard against financial risks and maintain financial stabi
8、lity.In 1996, The amendment of The BIS Accordproposed the the market risk capital requirements, banks are required to hold additional regulatory capital to address market risk arising from the transactions and made a calculation of market risk using VaR. In the draf of “BIS II” in 1999 , the Basel C
9、ommittee promote to use VaR to measure credit risk. In 2001 the Basel Committee proposed the management of operational risk, and in June 2004 this proposal was agreed by all participating members ,and has been further updated in November 2005, in2007 it was implemented.This is said as “Basel ”. Base
10、l identified the three pillars of financial risk management, namely, minimum capital requirements, supervisory review process and market discipline. The first pillar, the new Basel Capital Accord maked to strengthen the operational risk capital content, promoted to make use of VaR method to measure
11、the market risk, credit risk and operational risk ,use the new calculation way to calculate credit risk in bank accounts. Thus, VaR as an important risk management tool began to get the application and promotion in financial institutions. Among the quantitative analysis models,VaR method is consider
12、ed to be the best way to measure market risk.It is to be widely used as a financial risk assessment and measurement model among the worlds major banks, non bank financial institutions (including securities companies, insurance companies, fund management companies, trust companies, etc.) and financia
13、l regulators.Now the range of using VAR method is from the mangment of market risk to the other various types of financial risk, even foreign trade enterprises. VaR method has become an international financial risk management standards. Using VaR method to measure the risks is not only greatly incre
14、ased the transparency of bank risk, also contributed to the bank risk management of visualization. Vigorous development and application of VaR, has the very great significance to our countrys finance risk management technology thansform from qualitative analysis to quantify analysis. As Chinas capit
15、al market is becoming more open, market-oriented interest rates, and development of derivative financial instruments, the risks financial institutions confronting become more complex, so it is more and more necessary to management market risk, credit risk and operational risk comprehensively and int
16、egrally. VaR method can measure not only all aspects of risk in financial institutions, but also the quantification of risk; VaR method not only provided an incentive mechanism for financial institutions guarding against the risk of ,aslo provided a market standard for financial institutions measuring risks. VaR method in China has a vast space for development, its promotion and application can make contributing for our int
