资源描述：
《Value-at-Risk and Derivatives Risk风险价值》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、1Value-at-RiskandDerivativesRiskThecapitalcostassociatedwithoperatingriskismorethanthatduetomarketandcreditrisk.Asthemostrelevantrisktoatradingoperation,operatingriskistheprimaryreasontradingoperationsfailimplyingthatemphasisonrefiningVaRseemstomissthepoint.Datasuggeststhat
2、tradingroomsmakeprofitsprimarilyfrommarket-makingandnotposition-taking;thattheinternalinformationandincentiveenvironmentiswhatmainlyaffectsequitycapital;andthatmosthigh-profileproblemsarethresultsofoperatingrisks.Anoptimalriskmanagementprocessshouldworkmoreatgettingrelevant
3、risksontheradarscreenthanmreasuringwhatalreadyappearsontehscreenmoreprecisely.EricFalkensteinefalken@ix.netcom.comDerivativesQuarterlyVolume4,Number1Fall19972Value-at-RiskandDerivativesRiskValue-at-Risk(VaR)hasbecomeanindispensabletoolformonitoringriskandanintegralpartofmet
4、hodologiesthatallocatecapitaltovariouslinesofbusiness.ItsuseisbeingencouragedbytheBankforInternationalSettlements,theFederalReserveBank,theOCCandtheSecuritiesandExchangeCommissionforjustabouteveryderivativesuser.AmajorprobleminequatingVaRtoriskcapital,however,isthatitiscont
5、radictedbyhowactualfirmshavehistoricallyuseduptheircapital(i.e.,defaulted)fromlossesduetopositiontaking.Considersuchrecenthigh-profiletradingfiascoesasDaiwa,Metallgesellschaft,OrangeCounty,andBarings.Thesewerenotproperlycalculatedrisksthatwentawry,norweretheyoutrightfraudwh
6、ereanunauthorizedintradaypositionblewup.Theyweretheresultofinvestorsormanagementnotfullyunderstandingtherisksthatwerebeingtaken.Theserisksbreakdownsininformation,communication,strategy,etc.arecalledoperatingrisks,andrepresentaresidualofallthingsthatarenotcleanlywithincredit
7、ormarketrisks.Ifoperatingriskaretheprimaryreasonwhytradingoperationsfail,emphasisonrefiningVaRseeminglymissesthepoint.Operatingriskistheneglectedstep-childofriskmanagementforgoodreason.Itisextremelydifficulttoquantifyexistingoperatingrisks,whichinturnmakesitnearimpossibleto
8、evaluatemethodsofmonitoringandreducingtheserisks.Acommonapproachtothisproblemis1to
