市场风险资本监管制度的演进:以VaR模型为重点的研究

发布时间：2018-05-13 10:01

本文选题：市场风险 + 风险价值　；参考：《国际金融研究》2011年11期

【摘要】：风险价值(VaR)模型是市场风险资本监管框架的基础,本轮危机期间基于VaR计提的市场风险资本要求远远不能覆盖交易业务的损失,扩大了银行体系的亲周期效应。笔者认为,现行市场风险内部模型法监管框架的缺陷表现在三个方面:一是交易头寸持有期假设不合理;二是风险参数稳定性假设不成立;三是未充分考虑不同交易头寸的流动性差异,特别是内生流动性问题。理论上,VaR模型还存在着不满足次可加性等缺陷。虽然学术界提出了预期缺口模型、谱风险计量模型等VaR模型的替代方案,但可行性和有效性仍有待检验。2009年,巴塞尔委员会提出的市场风险资本计量修正方案大幅提高市场风险资本要求,一定程度上增强捕捉尾部风险的能力,但未能从根本上解决VaR模型的缺陷。完善市场风险资本监管制度必须解决交易账户与银行账户划分、风险计量模型的运用程度以及系统性风险三个关键问题。
[Abstract]:Value-at-risk model is the basis of the regulatory framework of market venture capital. During the crisis, the requirement of market venture capital based on VaR is far from covering the loss of trading business, which expands the pro-cyclical effect of banking system. The author believes that the defects of the current regulatory framework of the internal market risk model are as follows: first, the assumption of trading position holding period is unreasonable; second, the assumption of the stability of risk parameters is not established; Third, the liquidity differences of different trading positions, especially endogenous liquidity, are not fully considered. In theory, VaR model also has some defects such as subadditivity. Although the academic community has proposed alternative schemes such as expected gap model, spectral risk measurement model and so on, the feasibility and effectiveness of VaR model are still to be tested. The revised scheme of market venture capital measurement proposed by Basel Committee raises the requirement of market venture capital greatly and enhances the ability to capture tail risk to a certain extent, but it fails to solve the defect of VaR model fundamentally. To perfect the supervision system of market venture capital, we must solve three key problems: the division of transaction account and bank account, the degree of application of risk measurement model and systemic risk.
【作者单位】：中国银监会;中国人民银行研究生部;中国民生银行;
【分类号】：F224;F831.1

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