我国商业银行市场风险量化体系研究  

Study on Quantitative System for Commercial Bank's Market Risk in China

作　　者：李传乐 

机构地区：[1]招商银行博士后科研工作站,广东深圳518040

出　　处：《金融发展研究》2009年第3期62-66,共5页Journal Of Financial Development Research

基　　金：广东省自然科学基金博士科研启动项目(8451063101000726);国家自然科学基金青年项目(10801137)的资助。

摘　　要：在我国商业银行按照《巴塞尔协议》的要求加强风险管理的大背景下,本文探讨了我国商业银行市场风险量化体系的构建。本文给出了我国商业银行市场风险能够量化的基础;按照新资本协议和银监会的要求,探讨了我国商业银行市场风险计量体系的构建,主要是数据输入到VaR系统的方式、VaR系统定价模型的确认、模型中变量的选取方式及其依据;在此基础上,探讨了VaR模型的事后检验和压力测试;最后探讨了商业银行市场风险量化体系建设中市场风险VaR限额的设置及其管理。According to the Basel Ⅱ , Chinese commercial banks are strengthening the management of the market risk. This paper explores the construction of the quantitative system for the Chinese commercial banks. This paper gives the basement that the market risk can be quantitative.Consequently, studies the construction of the commercial bank＇s market risk according to the requirement of the Basel Ⅱ and CBRC, this includes that how the data imports to the VAR system, which type the pricing models are, and how to choose theses models＇ variables. On these basis, this paper studies the VAR model＇ s back testing and stress testing.Finally, this paper explores the setting and management of the VAR risk limit for the market risk.

关 键 词：新资本协议 VAR 内部模型法 事后检验 压力测试 VaR限额 

分 类 号：F830.33[经济管理—金融学]