| VaR与CVaR在商业银行风险度量中的比较分析及应用 |
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| 引用本文： | 胡杰,郭晓辉,邱亚光.VaR与CVaR在商业银行风险度量中的比较分析及应用[J].金融论坛,2005,10(7):40-44. |
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| 作者姓名： | 胡杰 郭晓辉 邱亚光 |
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| 作者单位： | 西安交通大学经济与金融学院;中国工商银行江苏省分行 |
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| 摘 要： | 本文系统地阐述了时下银行流行的VaR(ValueatRisk)风险度量技术,并分析了该理论存在的缺陷和使用上的局限性,从而提出以CVaR(ConditionalValueatRisk)模型作为风险度量的替代方法,详细分析了CVaR的原理、特长以及在银行业应用前景,包括风险度量、绩效分析和行为指引等方面的突出作用。最后研究了CVaR在我国商业银行的具体应用。
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| 关 键 词： | 风险度量 VaR CVaR 银行管理 |
| 文章编号： | 1009-9190(2005)7-0040-05 |
A Comparative Analysis of VaR and CVaR in Risk Measurement by Commercial Banks and Their Application |
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| Hu Jie,Guo Xiaohui,Qiu Yaguang.A Comparative Analysis of VaR and CVaR in Risk Measurement by Commercial Banks and Their Application[J].Finance Forum,2005,10(7):40-44. |
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| Authors: | Hu Jie Guo Xiaohui Qiu Yaguang |
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| Institution: | Hu Jie Guo Xiaohui Qiu Yaguang |
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| Abstract: | This paper expounds the Value at Risk,a popular technique that finds application in banks and pinpoints its theoretical loopholes and applicational limitations.Conditional value at risk model is initiated as an alternative approach to measure risks.Detailed analysis is made of CVaR in terms of its principles,features and applicational prospects in banks,including its distinctive role in risk measurement,performance analysis and behavior direction.Finally discussion is shifted on how CVaR is to be applied to commercial banks in China. |
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| Keywords: | VaR CVaR |
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