从资产负债管理到全面风险管理――金融市场风险管理实践的简要回

1988VaR2070,9000Gap()1938F.R.MacaulayttinkVAKjVLj*DiVLDVADwkjjjLkkA∆−−−=∆∑∑*])*()*([**iwDiVLDVADwwLA∆≈∆−≈∆***)**(***WVLDVADDLAw)**(***−=0*φwD0*πwDLev0*)(***=−+LevDDDLAA**LADDφ*wD*wDVaRCVaRESLaVaR··0WRµσR()RWW+=10c()*0*1RWW+=()()µ−−=−=*0*R*0*0R−=−=()wf*Wc*W()*WwPp≤=c()()**1WwPdwwfcW≤==−∫∞−()wf()εϕ()()()∫∫∫−∞−−∞−∞−===−αεεϕddrrfdwwfcRW**1*R*Wε()εϕα−σµ−*Rσµε−=rααcαααµασ+−=*R*Rµσt∆()tWRWVaR∆=−−=ασµ0*0()ttWR∆−∆=−=−=µασ0*0*0VaRESExpectedShortfallCVaR(ConditionalValueatRisk)LaVaRLaVaRiVaRArtznerii2090VaRCVaRVaRaVaRXf(X)})({axFxECVaR≤−=CVaRCVaR,ESAcerbi2001iiiESX][)(xXpxF≤=})(inf{)(1pxFxpF≥=−dppFaXESaa)(1)(01)(∫−−=ES[]∫∫∫−∞−−∞−∞−∗−==−=)(22221)()()(xVaRdxxtqqatatexdxxfdxxxfqXXExESσπασtqqtxVaRtXVaRxtteeeettttσπαπασπασσπασαααασσσσ222*21222)()(2222222222−−−−∞−−===−−=αqVaR,90,,,,BDSSivH-Wv_s**αασσ)]([21)1(**_))((ssPePLaVaRtrEtBDSSαασ++−=−θ)]([21)1(**_))((ssPePLaVaRtrEtBDSSααθσ++−=−)3/ln(1kηθ+=kη99%η=0.4))]()(([21))2)(1(1()(QSQSPeQSPLaVaRPpttptWH−−−−−+−−=ασ)(QSp−)(QSP−t:VaRVaRTRMTotalRiskManagementEnterprise-WideRiskManagementERMRAROCVaRERM(FTP)6Laeven,RogerJ.A.Goovaerts,MarcJ.20047ZKMVCreditMetrics()1Lawrence,C.&Robinson,G.(1996),'Liquidity,dynamichedgingandvar',RiskManagementforFinancialInstitutionspp.63-72.Haberle,R.&Persson,P.(2000),'Incorporatingmarketliquidityconstraintsinvar',Banque&March'es(44),14-19.AlainFran,cois-HeudeaandPascalVanWynendaeleIntegratingLiquidityRiskinaParametricIntradayVaRFramework,:203-228.3CarloAcerbi,DirkTasche??.ExpectedShortfall:ANaturalCoherentAlternativetoValueatRisk[R]workingpaper,2001.4Bangia1A,Diebold1F1,Schuermann,T&Stroughair,J.1999,Modelingliquidityriskwithimplicationsfortraditionalmarketriskmeasurementandmanagement,WorkingPaper,TheWhartonSchool-UniversityPennsylvania.5AlainFrancois-HeudeandPascalVanWynendaele,IntegratingLiquidityRiskinaParametricIntradayVaRFramework,=liquidity&ID=4530559056200327RogerJ.A.Laeven,MarcJ.GoovaertsAnoptimizationapproachtothedynamicallocationofeconomiccapitalMathematicsandEconomics35(2004)299-319iLawrence,C.&Robinson,G.(1996),‘Liquidity,dynamichedgingandvar’,RiskManagementforFinancialInstitutionspp.63–72.Haberle,R.&Persson,P.(2000),‘Incorporatingmarketliquidityconstraintsinvar’,Banque&March´es(44),14–19.AlainFran¸cois-HeudeaandPascalVanWynendaeleIntegratingLiquidityRiskinaParametricIntradayVaRFramework,:203–228.iiiCarloAcerbiDirkTasche†.ExpectedShortfall:ANaturalCoherentAlternativetoValueatRisk[R]workingpaper,2001ivBangia1A,Diebold1F1,Schuermann,T&Stroughair,J.1999,Modelingliquidityriskwithimplicationsfortraditionalmarketriskmeasurementandmanagement,WorkingPaper,TheWhartonSchool-UniversityPennsylvaniavAlainFrancois-HeudeandPascalVanWynendaele,IntegratingLiquidityRiskinaParametricIntradayVaRFramework,=liquidity&ID=453055905