Modelling Value-at-Risk

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• 研討會日期 : 2009-06-16
• 時間 : 15:00
• 主講人 : Professor Michael McAleer
• 地點 : B110
• 演講者簡介 : Professor Michael McAleer為Ph.D. in Economics，Queen’s University (1981)。現為澳洲社會科學院院士（FASSA, Academy of the Social Sciences in Australia）。其主要研究領域為Econometrics、Financial Econometrics、Intellectual Property、Macroeconometrics、Statistics、Modelling Environmental Systems、Time Series Modelling。
• 演講摘要 : 1. The Ten Commandments for Managing Value-at-Risk under the Basel II Accord Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index, and interpreting commandments sensibly as guidelines. 2. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic and realized volatility; (2) symmetry, asymmetry and leverage; (3) dynamic correlations and dynamic covariances; (4) single index and portfolio models; (5) parametric, semiparametric and nonparametric models; (6) estimation, simulation and calibration of parameters; (7) assumptions, regularity conditions and statistical properties; (8) accuracy in calculating moments and forecasts; (9) optimizing threshold violations and economic benefits; and (10) optimizing private and public benefits of risk management. For practical purposes, it is found that the Basel II Accord would seem to encourage excessive risk taking at the expense of providing accurate measures and forecasts of risk and VaR.