摘要
在过去数十年里,数量金融革命产生的模型在为金融机构提供衡量和控制风险工具的同时,也使许多国家的监管者将防控金融风险之重任托付给金融机构的模型,新巴塞尔协议还将规制资本的确定以标准法和内部模型法实行"外包"。这场金融危机宣告了这些风险模型的失败。究其原因,这些模型存在着设计缺陷和实施缺陷。风险模型失败的重要原因是作为模型基础的假设存在缺陷,风险模型在进行预测时做出了不切合实际的假设。此外,人们在实施这些模型时也存在误差,如输入风险模型的信息有误等。故对风险模型做出的预测宜作为风险管理的参考,而不宜作为圭臬,金融监管机关更不宜以此推脱监管责任。
In the past decades, the risk models resuhed from quantitative finance revolution not only provided the financial institutions with the tools to measure and manage risks, but also led the supervisors in many countries to entrust the supervision of financial risks to the risk models of financial institutions, and Basel II even ＂outsourced＂ the determination of regulatory capital by way of standardized approach and internal ratings-based approach. This financial crisis made evident the failure of these models. The reasons are the drawbacks of the designs and implementation of the models. One of the main reasons is that the assumptions underlying the models have drawbacks. The risk models have made assumptions not conforming to the realities when making predictions. In addition, the persons implementing the models also suffered from errors, such as the wrong inputs to the risk models. So, the predictions made by the models should not be treated as benchmark for risk management but rather as reference instead, nor should the supervisors give up their supervisory responsibility by the virtue of models.
出处
《国际金融研究》
CSSCI
北大核心
2010年第7期68-78,共11页
Studies of International Finance
基金
韩龙教授主持的2008年国家社会科学基金重点项目:防范和化解国际金融风险和危机的制度建构研究(批准号:08AJY013)
中华人民共和国司法部2007年国家法治和法学理论研究项目:金融风险防范法律制度研究--以我国金融业对外开放为重心(批准号:07SFB2046)的阶段性研究成果
关键词
风险模型
监管“外包”
设计缺陷
实施缺陷
完善
Risk Models
Supervisory Outsourcing
Design Drawbacks
Implementation Drawbacks
Improvement
