摘要
以巴林银行和LTCM案例为背景,通过分析指出:1.VaR是一种标准化的模型,明确量化投资组合的风险;2.VaR以历史资料为基础运算,一些概率小却十分致命的离群反常事件并不包含在内;3.基于VaR模型本身的风险,在应用此模型时,应与内部模型、回顾测试及压力测试相结合使用;4.风险管理不仅仅包括VaR等模型和公式,更包括公司风险控制与管理制度的完善,诸如内部稽核、外部审计和独立评估风险等。
The purpose of this article is to review the financial and related issues involved in Barings and LTCM and critically analyze the role of VaR method in risk management.The conclusion reads as follows:1.VaR is a benchmark for managing financial risk management.It clearly quantizes the risk of investment components.2.VaR calculations rely on the past data,excluding abnormal events with low but fatal prbability.3.VaR should accompany the tools of internal models,backtesting and stress testing because of the risk of VaR model itself.4.Good risk management encompasses VaR as well as internal check,external audit and independant risk evaluation,etc.
出处
《太原理工大学学报（社会科学版）》
2006年第S1期10-12,共3页
Journal of Taiyuan University of Technology(Social Science Edition)
关键词
巴林银行
美国长期资本管理公司
风险值
有效性评价
Barings PLC
Long-Term Capital Management(LTCM)
Value at Risk(VaR)
validity assessment
