《HullRMFICh》-课件设计(公开).pptVIP

 Chapter 8 The VaR Measure The Question Being Asked in VaR 揥hat loss level is such that we are X% confident it will not be exceeded in N business days?? 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 Advantages of VaR It captures an important aspect of risk in a single number It is easy to understand It asks the simple question: 揌ow bad can things get?? VaR vs. Expected