康奈尔大学统计与金融课程含SAS程序英文讲义Slides.Value_at_Risk_Image_Marked.pdf

VaR 1 Need for Risk Management Example: (from Jorion (2001), Value at Risk) David Askin managed $600 million fund invested in collateralized mortgage obligations (CMOs) – somewhat like derivatives – difficult to price Askin claimed his funds were market neutral “with no default risk, high triple-A bonds, and zero correlation with other assets” Askin used his own model to identify, purchase, and hedge underpriced securities VaR 2 objective was 15% return leveraged so a total of $2 billion was invested Askin was betting on interest rates remaining low Feb – Apr 1994: – rates go up – collateral call VaR 3 $600 million hedge fund reduced to $30 million irate investors – claimed they were mislead – it is true that they had little idea of the risks Askin used valuation models to price his position – first reported a 2% loss – revised to 28% investors were subject to – market risk – liquidity risk – model risk VaR 4 Barings Feb 26, 1995: 233-year old Barings PLC goes bankrupt rogue trader – 28-year old Nicholas Leeson lost $1.3 billion (more than the firm’s equity capital) Leeson bought stock index futures on the Nikkei 225 ($7 billion position) beginning of 1995 – value fell more than 15% Barings was a conservative bank – so this was a wake-up call VaR