第九章-风险价值度课件

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,8.,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 2e,Chapter 8,Copyright John C.Hull 2009,*,Chapter 9,Value at Risk,Risk Management and Financial Institutions,3,e,Chapter,9,1,Chapter 9Value at RiskRisk M,9.1 Definition of VaR,9.1.1 VaR background,金融机构的交易组合往往取决于成百上千个市场变量（例如，股指、利率或商品价格），因此，交易员每天要,计算大量的,Delta,、,Gamma,和,Vega,，,但是它们却,并,不能,为,金融机构的高管及金融机构的监管人员,提供一个关于整体风险的完整图像。,风险价值度,试图对金融机构的资产组合,提供一个单一风险度量,，而这一度量恰恰能,体现金融机构的整体风险,。,Risk Management and Financial Institutions,3,e,Chapter,9,2,9.1 Definition of VaR9.1.1 Va,2,业界事例,9-1,：有关,VaR,的历史回顾,VaR,在今天的广泛应用归功于,J.P.,摩根,。,J.P.,摩根总裁对每天收到,冗长的报告,很不满意（敏感度报告），这些,报告对银行整体风险管理意义不大。,希望收到更为简洁的报告，报告应该阐明,银行的整体交易组合在今后的,24,小时所面临的风险,。,Risk Management and Financial Institutions,3,e,Chapter,9,3,业界事例9-1：有关VaR的历史回顾VaR在今天的广泛应,首先是基于马克维茨交易组合理论为基础建立了风险价值度报告。,为了产生风险价值度报告，,1990,年完成系统开发工作，这样系统的好处是使得,银行高管对于银行自身所面临的风险有了清醒的认识,。,截止,1993,年，风险价值度已经成了测定风险的一个重要工具。,巴塞尔委员会在,1996,年公布了基于风险价值度的协议修正案，这一修正案在,1998,年得到了执行。,Risk Management and Financial Institutions,3,e,Chapter,9,4,首先是基于马克维茨交易组合理论为基础建立了风险价值度报告。R,资料,:,J.P.Morgan&Company,J.P.,摩根公司是在世界上享有盛誉的一家,综合性金融公司,，主要,提供商业银行、投资银行和其他各种金融服务,。公司的,资产规模,名列著名财经杂志,财富,美国前,500,家大企业的前,20,位,，而且是全球金融机构中信用评级最高的公司之一，,J.P.,摩根公司经营商业银行业务的子公司纽约摩根担保信托公司是美国,惟一获得,AAA,信用评级的商业银行,。,2000,年,J.P.,摩根公司,与,大通银行,及,富林明集团,完成合并成立,摩根大通,(JP Morgan Chase),。,John Pierpoint Morgan,（,1837-1912,）,华尔街之子,5,John Pierpoint Morgan5,9.1.2 Definition of VaR,VaR,（,Value at Risk,）,：“风险价值”或“在险价值”，指在,一定的置信水平下,，某一金融资产（或证券组合）在,未来特定的一段时间内,的,最大可能损失,。,VaR is a function of two parameters:,the time horizon,T,and,the confidence level,X percent.,It is the loss level during a time period of length T that we are X%certain will not be exceeded.,Risk Management and Financial Institutions,3,e,Chapter,9,6,9.1.2 Definition of VaRVaR（Val,Example 1:,假定,J.P.,摩根公司在,2014,年,置信水平为,95%,的,日,VaR,值为,960,万美元,。,含义,:,该公司可以以,95%,的把握保证，,2014,年某一特定时点上的金融资产在未来,24,小时内，由于市场价格变动带来的损失不会超过,960,万美元。或者说，只有,5%,的可能损失超过,960,万美元。,Risk Management and Financial Institutions,3,e,Chapter,9,7,Example 1:假定J.P.摩根公司在2014年置信水平,Example 2:,一个投资组合持有,1,天,置信水平,95%,VaR,等于,45,美元,.,其含义是,:,1.,该组合在,1,天中只有,5%,的时间里损失超过,45,美元。,2.,给一天划分无穷多个时段，损失大于,45,美元的时段只有,5%,。,Risk Management and Financial Institutions,3,e,Chapter,9,8,Example 2:一个投资组合持有1天,置,VaR,的公式表示,公式表示为：,其中，,P,资产价值损失小于可能损失上限的概率，即英文,Probability,。,L,某一金融资产或组合在一定持有期,T,的价值损失额。,VaR,给定置信水平,X%,下的在险价值，即可能的损失上限。,X%,给定的置信水平。,Risk Management and Financial Institutions,3,e,Chapter,9,9,VaR的公式表示公式表示为：其中，P资产,9,Risk Management and Financial Institutions,3,e,Chapt