摘要
本文系统地阐述了时下银行流行的VaR(ValueatRisk)风险度量技术,并分析了该理论存在的缺陷和使用上的局限性,从而提出以CVaR(ConditionalValueatRisk)模型作为风险度量的替代方法,详细分析了CVaR的原理、特长以及在银行业应用前景,包括风险度量、绩效分析和行为指引等方面的突出作用。最后研究了CVaR在我国商业银行的具体应用。
This paper expounds the Value at Risk,a popular technique that finds application in banks and pinpoints its theoretical loopholes and applicational limitations.Conditional value at risk model is initiated as an alternative approach to measure risks.Detailed analysis is made of CVaR in terms of its principles,features and applicational prospects in banks,including its distinctive role in risk measurement,performance analysis and behavior direction.Finally discussion is shifted on how CVaR is to be applied to commercial banks in China.
出处
《金融论坛》
CSSCI
北大核心
2005年第7期40-44,共5页
Finance Forum
