- 1、本文档共49页,可阅读全部内容。
- 2、有哪些信誉好的足球投注网站(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
商业银行的 VaR 模型到底有多准确
How Accurate are Value-at-Risk Models
at Commercial Banks?
Jeremy Berkowitz* James OíBrien
Graduate School of Management Division of Research and Statistics
University of California, Irvine Federal Reserve Board
April 17, 2001
Abstract: In recent years, the trading accounts at large commercial banks have grown
substantially and become progressively more diverse and complex. We provide descriptive
statistics on the trading revenues from such activities and on the associated Value-at-Risk
forecasts internally estimated by banks. For a sample of large bank holding companies, we
evaluate the performance of banksí trading risk models by examining the statistical accuracy of
the VaR forecasts. Although a substantial literature has examined the statistical and economic
meaning of Value-at-Risk models, this article is the first to provide a detailed analysis of the
performance of models actually in use.
Keywords: market risk, portfolio models, value-at-risk, volatility
Acknowledgements: We gratefully acknowledge the support and comments of Jim Embersit and
Denise Dittrich of the Federal Reserve Boardís Division of Supervision and Regulation, Philippe
Jorion, Matt Pritsker, Mike Gibson, Hao Zhou, colleagues at the Federal Reserve Board and the
New York Fed and an anonymous referee. The opinions expressed do not necessarily represent
those of the Federal Reserve Board or its staff.
*Corresponding author, Irvine, CA, 92697-3125, jberkowitz@gsm.uci.edu
In recent years, the trading accounts at large commercial banks have grown rapidly and
become progressively more complex. To a large extent, this reflects the sharp growth in the
over-the-counter derivatives markets, in which commercial bank are the principal dealers. In
order to manage
文档评论(0)