从风险管理视角解析中航油事件

200711:100026788(2007)01200232101,2,1,1,1(11,510275;21,):().,(),,,,,.,(Value2at2Risk,VaR)().,.:;;;:F22413;F22417;F83019;F833P83715:AAnAnalysisoftheChinaAviationOil(Singapore)IncidentbasedonRiskManagementLIZhong2fei1,YENJerome2,YAOJing1,FANTing2ting1,CHANGLin1(11LingnanCollege,SunYat2SenUniversity,Guangzhou510275,China;21DeptofSystemsEngandEngManagement,ChineseUniversityofHongKong,HongKong,China)Abstract:ThispapergivesacomprehensiveanalysisoftheChinaAviationOil(Singapore)(CAO)incidentfromthepointofviewofriskmanagement.Fromqualitativeaspect,wesummarizethemajorrisksourcesoftheCAOincident,suchasmoralhazard,marketrisk,andoperationalrisk,anddevelopariskcirculationmodeltoillustratetheevolutionofriskintheCAOincident.Fromquantitativeaspect,weapplytheValue2at2Risk(VaR)techniquetoestimateempiricallythemarketriskoftheCAOincidentbydifferentmodels.Basedonthesequalitativeandquantitativeanalyses,attheendofthispaperwewillmakesomepoliticalsuggestionsforriskregulationandinnercontrollingofstate2ownoverseasenterprises.Keywords:riskmanagement;derivatives;state2ownoverseasenterprises;casestudy:2005208222:(NCET20420798);(200267);(70471018;70518001):(1963-),(),,,,,E2mail:[e-mail];,,E2mail:[e-mail];,(),;,(),;,(),.120041129,()[()]:515.1145(),.(),CEO.,,()(Baring).,()([13]),(),.(),,,,,,.,,,,,,.,,.(PricewaterhouseCoopers)200563,,.,,.,15.1015%.,,,.,.(),GARCH(Value2at2Risk,VaR).,.:(),,;()VaR,();(),.2()()19935(),.1997,(),.,.,()98%,().,().,2000,.,,,(),.2003,():,,,.(),,,,().,.(Mark2to2Market),(MarginCall),?,,,().,,().,.,,4220071.(),,,.()..()(),()().();.,.,(),,,.(),20041021(),,()15%,.(),(,,).,,,.,,.,,().,,.,,.,,,,.,,.,(),,..,,.233.(),,().(),().,()1999,,,2004.,20,;35,;50,.,.,500,.,.,.(),,..(PriceRisk),.,,.(),.(fundingliquidityrisk)(cash2flowrisk).:,,.521,.(),().,.,VaR,5200.(),,.,,:,();,.,:,..,.,(businessreasons),.,,,.,.1,.(),.,,,,.,().,,,,().,.(),5.5.11(),.:,.,,.3,VaR,(Jorion[4],DuffieandPan[5],Dowd[6]).Jorion[4]VaR:.,VaR.,VaR,Pr(P-VaR(P))=1-,Pt,1-.,VaR.r2,VaR:VaR(P)=-Pt(exp(r)-1),(1)Pt.6220071,(TheScotiaM&ADatabase()).,19981120041231Brent.:1):(19981120031231)VaR,;2)VaR:,(rollingwindow),VaR.2Brentptrt=lnpt-lnpt-1(19981120031231).,,.,QQ.2BrentQQ.1998P01P01-2003P12P31..,GARCH(Engle[7],Bollerslec[8],Glostenetal[9]).GARCH,.,GARCH(1,1):GARCH(1,1):rt=+t,tN(0,2t),2t=0+12t-1+12t-1,GARCH(1,1)2t:rt=+t,ttk(0,2t),2t=0+12t-1+12t-1,GJR(1,1):rt=+t,tN(0,2t),2t=0+12t-1+12t-1+S-t-12t-1,GJR(1,1)2t:rt=+t,ttk(0,2t),2t=0+12t-1+12t-1+S-t-12t-1.721rt,2tt,tkkt,N,S-t-1t-10,S-t-1=1{t1}.1.1GARCH(1,1)GARCH(1,1)2tGJR(1,1)GJR(1,1)2t0.001422(1.7659)0.0010539(1.5326)0.00084081(0.9952)0.00092147(1.3461)00.0002783(7.1473)0.00042095(3.5760)0.00026646(6.3301)0.00038454(4.0430)10.18152(8.1715)0.12391(3.7165)0.10994(8.6107)0.063463(2.3747)10.55702(10.9555)0.41403(3.0474)0.55402(9.5175)0.43929(3.9454)0.18289(3.7628)0.15905(2.2342)k4.4683(9.6503)4.4799(9.4945):t.:19981120031231.VaR,,VaR.Kupiec[10](LR),:VaR,VaR,VaR.rt(ex2post)VaRVaRt,:It=1{rt-Vart},{It}(failureprocess).KupiecLRuc=-2logn1(1-)n0^pn1(1-^p)n02(1),n1It=1,n0It=0,^p=n1P(n0+n1).LRuc,(conditionalcoverage),.VaR,Christoffersen[11],,.,,:LRind=-2log(1-^p2)(n00+n01)^p(n01+n11)2(1-^p01)n00^pn0101(1-^p11)n10^pn11112(1),nijItij(i,j=0,1),^p01=n01n00+n01,^p11=n11n10+n11,^p2=n01+n11n00+n01+n10+n11.,Christoffersen[11]VaR:LRcc=LRuc+LRind2(2),a.2VaRLRcc,.,VaR,Vart=-r,t=-(+tF-1()),F.,GARCH(1,1)2tGJR(1,1)2t,.=011,=01025,0105,011,GARCH(1,1)GJR(1,1).,.,zt=tPt.3QQ.GARCH(1,1)GJR(1,1)QQ,,8220071,.GARCH(1,1)2tGJR(1,1)2tQQt.,,VaR,.,GARCH(1,1)2t.GARCH(1,1)2t.2VaRChristoffersen=0101=01025=0105=011=0101=01025=0105=011GARCH(1,1)4.605931.08161.839712.14630.517757.173435.0496322.3563GARCH(1,1)2t0.319291.08160.0778690.858580.376063.40991.03710.8364GJR(1,1)2.61310.0278643.377415.55330.517754.636135.5518321.8953GJR(1,1)2t0.319291.13480.0410590.139911.12093.9790.869641.5108:310%(4161).VaR.(1)VaR:VaRt(P)=-pt(et+t+t+tF-1()-1),t+t,t+t,F.t+tt+tGARCH(1,1)2t.45200,99%,110VaR.()(101)(115).10VaR115,1011,().3QQ.1998P01P01-2003P12P31VaR.2,51NYMEX(19981120031231).,.QQ,,.3.9214GARCH(1,1)2tVaR,99%,.4VaRLRcc,.:=0101,01025,;GARCH(1,1)GJR(1,1)=011,=0105,011;GJR(1,1)2t=011.,zt=tPt.6QQ.,GARCH(1,1)GJR(1,1);GARCH(1,1)2tGJR(1,1)2tt,GJR(1,1)2t().3GJR(1,1)2t,VaR.31GARCH(1,1)GARCH(1,1)2tGJR(1,1)GJR(1,1)2t0.0008557(1.2885)0.0011708(1.9037)0.00080785(1.1703)0.0011352(1.8352)00.00024472(7.0570)0.00023659(2.5863)0.00025098(7.2363)0.00024494(2.6616)10.14924(6.9992)0.091946(3.2232)0.14059(5.9597)0.077325(2.2550)10.52157(9.2247)0.57776(4.0506)0.50959(9.1589)0.56389(3.9334)0.024333(0.7668)0.03156(0.6650)k5.2006(7.7917)5.2029(7.7758):t.:19981120031231.41VaRChristoffersen=0101=01025=0105=011=0101=01025=0105=011GARCH(1,1)3.57250.596310.204315.819830.495193.25619.7551315.5583GARCH(1,1)-t2.05430.596311.21191.53252.59453.25610.973235.77383GJR(1,1)3.57250.596310.986836.312630.495193.256110.243315.5583GJR(1,1)2t2.10.884421.45851.06693.65692.83630.887515.83113:310%(4161).VaR.75200,99%VaR.,110,10VaR115.10VaR()1011,.(riskassessment),.,(riskresponse):.,,,.0320