risk 2 measuring the risk in value at risk

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1、CHAPTER12RISK2:MEASURINGTHERISKINVALUEATRISK∗PhilippeJorionTherecentderivativesdisastershavefocusedtheattentionofthefinanceindustryontheneedtocontrolfinancialrisksbetter.Thissearchhasledtoauniformmea-sureofriskcalledvalueatrisk(VAR),whichistheexpectedworstlossoveragivenhorizo

2、natagivenconfidencelevel.VARnumbers,however,arethemselvesaffectedbysamplingvariation,or“estimationrisk”—thus,theriskinvalueatriskitself.Nevertheless,giventheselimitations,VARisanindispensabletooltocontrolfinan-cialrisks.Thisarticlelaysoutthestatisticalmethodologyforanalyzinge

3、stimationerrorinVARandshowshowtoimprovetheaccuracyofVARestimates.Theneedtoimprovecontroloffinancialriskshasledtoauniformmeasureofriskcalledvalueatrisk(VAR),whichtheprivatesectorisincreasinglyadoptingasafirstlineofdefenseagainstfinancialrisks.Regulatorsandcentralbanksalsoprovid

4、edtheimpetusbehindVAR.TheBasleCommitteeonBankingSupervisionannouncedinApril1995thatcapitalade-quacyrequirementsforcommercialbanksaretobebasedonVAR.1InDecember1995,theSecuritiesandExchangeCommissionissuedaproposalthatrequirespubliclytradedU.S.corporationstodiscloseinformatio

5、naboutderivativesactivity,withaVARmeasureasoneofthreepossiblemethodsformakingsuchdisclosures.Thus,theunmistakabletrendistowardmore-transparentfinancialriskreportingbasedonVARmeasures.VARsummarizestheworstexpectedlossoveratargethorizonwithinagivenconfidenceinterval.VARsummariz

6、esinasinglenumbertheglobalexposuretomarketrisksandtheprobabilityofadversemovesinfinancialvariables.Itmeasuresriskusingthesameunitsasthebottomline—dollars.BankersTrust,forexample,revealedinits1994annualreportthatitsdailyVARwasanaverageof$35millionatthe99percentconfidencelevelo

7、veroneday;∗ReprintedfromtheFinancialAnalystsJournal(November/December1996):47–56.175CH012.indd1758/28/108:23:40PM176PartII:MeasuringRiskthisnumbercanbereadilycomparedwithitsannualprofitof$615millionortotalequityof$4.7billion.Onthebasisofsuchdata,shareholdersandmanagerscandec

8、idewhethertheyfeelcomfortablewithalevelofrisk.Iftheanswerisno,theprocessthatledtot