摘要
巴塞尔委员会已经批准用期望损失(Expected Shortfall,ES)作为市场风险指标对银行业进行监管,以替代现有的在险价值指标(Value-at-Risk,VaR)。这主要是因为期望损失满足风险度量应该满足的性质,而在险价值则不满足。在这个转变过程中,金融机构面临的主要困难是没有工具可以用来评估期望损失模型,即后验分析,而本文则提出了一套简单的ES后验分析工具。具体而言,我们基于累积碰撞序列(Cumulative Violations)构造了一套ES模型的检验方法,该方法是对VaR后验分析的自然推广。我们推导出了该检验的渐进分布性质,并且通过蒙特卡洛模拟研究了它们的有限样本表现。通过将该方法应用于全球三大股票指数,我们发现,在2007年金融危机期间,VaR模型无法识别出金融危机时期与正常时期市场风险模型的差异,而ES模型则可以。
The Basel Committee on Banking Supervision（BIS）has recently sanctioned Expected Shortfall（ES）as the market risk measure to be used for banking regulatory purposes, replacing the well--known Value--at--Risk（VaR）. This change is motivated by the appealing theoretical properties of ES as a measure of risk and the poor properties of VaR. In particular, VaR fails to control for ＂tail risk＂. In this transition, the major challenge faced by financial institutions is the unavailability of simple tools for evaluation of ES forecasts（i.e, backtesting ES）. The main purpose of this article is to propose such tools. Specifically, we propose backtests for ES based on cumulative violations, which are the natural analogue of the commonly used backtests for VaR. We establish the asymptotic properties of the tests, and investigate their finite sample performance through some Monte Carlo simulations. An empirical application to three major stock indexes shows that VaR is generally unresponsive to extreme events such as those experienced during the recent financial crisis, while ES provides a more accurate description of the risk involved.
出处
《财经研究》
CSSCI
北大核心
2017年第12期74-99,共26页
Journal of Finance and Economics
基金
国家自然科学基金(71401140)
the Spanish Plan Nacional de I+D+I(ECO2014-55858-P)
关键词
风险管理
期望损失
后验分析
尾部风险
在险价值
risk management
expected shortfall
backtesting
tail risk
Value-at- Risk.
