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一些风险价值模型是否会引发金融市场动荡?-基于代理的金融市场视角
Do some Value-at-Risk Models Provoke Financial Market Destabilization? - An Agent-Based Financial Market Perspective |
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| 课程网址: |
http://videolectures.net/ccss09_hermsen_dsvarm/
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| 主讲教师: |
Oliver Hermsen
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| 开课单位: |
班堡大学
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| 开课时间: |
2009-07-10
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| 课程语种: |
英语
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| 中文简介: |
本文旨在探讨不同风险价值模型对金融市场稳定性的影响。在数值分析的基础上，我们检验了简单和复杂的风险价值模型如何影响金融市场的稳定性。这对于提前实施有效的监管措施，防范金融市场的不稳定具有重要意义。巴塞尔银行监管委员会(BCBS)并没有规定银行使用一种特殊类型的VaR模型。因此，在实际操作中，许多银行使用的方法都有相当简单的假设。检验不同VaR模型在不同假设下的有效性和可靠性，过去是、现在仍然是一个重要的研究方向。在这里，主要是利用了估计特殊分位数的准确性。在本研究中，我们从另一个角度探讨了VaR模型的充分性。我们通过整合巴塞尔协议II中有关市场风险的规定来调整异质代理模型。为此，我们使用Lux/Marchesi(1999/2000)的金融市场模型，它可以很好地复制金融市场的程式化事实。第一个结果表明，BCBS规定的市场风险监管资本水平的计算公式禁止使用更复杂的模型来提高市场稳定性。
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| 课程简介: |
The aim of this paper is to explore the impact of different Value-at-Risk (VaR) models on the stability of financial markets. Based on a numerical analysis, we test how simple and more sophisticated Value-at-Risk models affect financial market stability. This is important to implement effective regulations to prevent financial market instability in advance. The Basel Committee of Banking and Supervision (BCBS) does not stipulate that banks use a special type of VaR model. Therefore, in practice, many banks use methods with quite simple assumptions. Testing the efficiency and reliability of different VaR models with different underlying assumptions was and still is an important strand of research. Here, mostly the accuracy of estimating a special quantile is exploited. In this study, we explore the adequacy of VaR models from another perspective. We adjust a heterogeneous agent model by integrating regulations of Basel II concerning market risk. For this purpose, we use the financial market model by Lux/Marchesi (1999/2000) that can replicate stylized facts of financial markets quite well. First results indicate that the formula for calculating the level of regulatory capital for market risk prescribed by the BCBS prohibits more market stability by the use of more sophisticated models.
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| 关 键 词: |
风险价值模型; 金融市场稳定性; 监管措施; 巴塞尔银行监管委员会(BCBS); 巴塞尔协议
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| 课程来源: |
视频讲座网
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| 最后编审: |
2019-10-22：cwx
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| 阅读次数: |
70
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