VaR与ES风险分析法之比较——以我国商业银行汇率风险度量为例  

Contrast between Two Risk Analysis Methods of VaR and ES——Taking the Exchange Risk Measurement of Chinese Commercial Banks for Example

作　　者：徐家旺[1] 王金玉[1] 

机构地区：[1]沈阳航空航天大学经济与管理学院,辽宁沈阳110136

出　　处：《湘潭大学自然科学学报》2013年第1期118-121,共4页Natural Science Journal of Xiangtan University

基　　金：教育部人文社科规划基金项目(11YJA630165);浙江省重大科技专项计划项目(2011C03004)

摘　　要：介绍了VaR风险分析法和ES风险度量法,给出了它们各自的计算模型,并对这两种方法各自的特点进行了对比.以我国对人民币汇率机制改革之日(2005年7月21日)起到2010年6月25日结束这段时期内由中国人民银行网站公布的人民币对美元和欧元汇率的中间价作为模型计算的样本观测值,计算了VaR模型和ES模型的相关指标并进行了对比分析.结果表明,从某种意义上讲,ES风险度量法-是一种较之VaR风险分析法更实用的风险度量工具,可为我国商业银行汇率风险管理提供更有价值的参考.The risk analysis method of VaR and the risk measurement method of ES are introduced in this paper, calculation models and the features of the two methods are also put forwarded and contrasted. Based on the sample observations of the middle rates of RMB exchange rates against USD and Euro published by the website of the People＇s Bank of China since July 21, 2005, the start of the reform on RMB exchange rate mechanism, till June 25, 2010, the relative indexes of VaR and ES models are calculated and contrasted. The results indicated that the risk measurement method of ES is much more practical than the risk analysis method of VaR in a sense and could be viewed as a more valuable reference for the exchange rate risk man- agement of Chinese commercial banks.

关 键 词：风险度量 VAR ES 汇率风险 

分 类 号：C812[社会学—统计学] C931.1