第四章市場風險模型與測試資產組合基本模型成份風險值風險值增量正交投.pptVIP

假定在正常情況下，VaR模型的失誤率為1%，也就是說根據模型所算出的VaR，100次中有1次會失誤 (Exceptions) 的機率分配隸屬二項分配，其失誤次數的機率值以及累加機率值如下表 穿越次數 機率 累加機率 0 1 2 3 4 5 6 7 8 9 10＋ 8.1% 20.5% 25.7% 21.5% 13.4% 6.7% 2.7% 1.0% 0.3% 0.1% 0.01% 8.1% 28.6% 54.3% 75.8% 89.2% 95.9% 98.6% 99.6% 99.9% 99.98% 99.99% Kupiec檢定法 Model Backtesting, 95% Nonrejection Test Confidence Region Probability Level p VaR Confidence Level Nonrejection Region for Number of Failures N T = 255 days T = 510 days T = 1000 days 0.01 0.025 0.05 0.075 0.10 99% 97.5% 95% 92.5% 90% N＜7 2＜N＜12 6＜N＜21 11＜N＜28 16＜N＜36 1＜N＜11 6＜N＜21 16＜N＜36 27＜N＜51 38＜N＜65 4＜N＜17 15＜N＜36 37＜N＜65 59＜N＜92 81＜N＜120 巴塞爾協議規定 區域 例外數 (number of exceptions) 懲罰乘數(附加至安全系數k=3.00) 綠區 0 0.00 1 0.00 2 0.00 3 0.00 4 0.00 黃區 5 0.40 6 0.50 7 0.65 8 0.75 9 0.8 紅區 10次以上 1.00 巴塞爾協議規定 巴塞爾協議規定，以銀行過去一年的真實交易為樣本，如交易日250日，信賴水準為99%，VaR交易日為10天，則回溯測試結果，若為綠區，代表模型正確，若為黃區，代表模型可能有誤，應於以調整，並且其資本計提要受到懲罰，如例外數為5，則資本計提為VaR×(3+0.4)，如果為紅區，表示該內部模型有嚴重瑕疵。 巴塞爾參數 巴塞爾協定有關資本適足之內部模型法中規定，以10個營業日為一期，99%信賴水準，來計算VaR，並且將VaR乘以3倍的安全系數，以規範最低資本額要求。其根據來自Chebyshev’s 不等式 壓力測試 (Stress Testing) 壓力測試是假設市場在最不利的情形(如利率突然急升或股市突然重挫)時，分析對資產組合所造成之影響 Stress-testing – Micro vs. Macro Micro stress tests – Designed to assess resilience of individual financial institutions – Mainly run by individual financial institutions for the purpose of institutional risk management – Often ignores behaviour of competitors Macro stress tests – Designed to assess resilience of financial system as a whole rather than individual institutions only Run by central banks, IMF What is the purpose? When will be the next crisis? – Not really the purpose of stress testing – Empirical record of crisis prediction not convincing – Regular surveillance with macroprudential/financial stability indicators more appropriate What if there is a crisis? – Primary purpose of stress testing is to form a rough idea of possible impact of extreme (but still plausible) shocks on the financial system – Not an exact science (too many unknowns), can onlygive order of magnitude –