HullRMFIndEdCh8金融风险管理.pptVIP

The Question Being Asked in VaR “What loss level is such that we are X% confident it will not be exceeded in N business days?” Risk Management and Financial Institutions 2e, Chapter 8, Copyright ? John C. Hull 2009 * VaR and Regulatory Capital Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10-day 99% VaR where k is at least 3.0 Under Basel II, capital for credit risk and operational risk is based on a one-year 99.9% VaR Risk Management and Financial Institutions 2e, Chapter 8, Copyright ? John C. Hull 2009 * Advantages of VaR It captur