论风险值波动率预测方法在风险管理中的运用  

Approaches to Predicting Volatility Inputs in Value-at-Risk and their Applications in Risk Management

作　　者：张湄[1] 

机构地区：[1]上海金融学院,上海浦东新区201209

出　　处：《上海金融学院学报》2005年第3期36-39,共4页Journal of Shanhai Finance University

摘　　要：风险值(VaR)是目前金融界广泛使用的衡量和管理金融市场风险的工具之一,也是巴塞尔委员会要求的银行评价市场风险资本充足率的数量依据。常用的方差-协方差法计算VaR的一个关键点是准确预测波动率。随着我国金融改革的不断深入,金融机构在风险管理中运用适当的标准和方法,可以提高金融机构的风险管理能力,提升其竞争力。Value-at-Risk (VaR) is one of the most commonly used tools for market risk management. Amendment to the Capital Accord to Incorporate Market Risks (Basle Committee on Banking Supervision, January 1996) requires that banks use VaR as minimum standard for the purpose of calculating their capital charge in relation to market risks. Volatility is one of the crucial inputs when using variance - covariance method, which is one of the commonly used methods for estimating VaR. This essay discusses several popular methods for predicting volatility, and their applications in market risk management. In line with the reforms of financial system in China, application of appropriate standards and methods in risk management is expected to improve risk management capability and enhance competitiveness of financial institutions in China.

关 键 词：市场风险 风险值(VaR) 波动率 方差-协方差法 

分 类 号：F830.39[经济管理—金融学]