商业银行的 VaR 模型到底有多准确.pdf

How Accurate are Value-at-Risk Models at Commercial Banks? Jeremy Berkowitz* James OíBrien Graduate School of Management Division of Research and Statistics University of California, Irvine Federal Reserve Board April 17, 2001 Abstract: In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banksí trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value-at-Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use. Keywords: market risk, portfolio models, value-at-risk, volatility Acknowledgements: We gratefully acknowledge the support and comments of Jim Embersit and Denise Dittrich of the Federal Reserve Boardís Division of Supervision and Regulation, Philippe Jorion, Matt Pritsker, Mike Gibson, Hao Zhou, colleagues at the Federal Reserve Board and the New York Fed and an anonymous referee. The opinions expressed do not necessarily represent those of the Federal Reserve Board or its staff. *Corresponding author, Irvine, CA, 92697-3125, jberkowitz@gsm.uci.edu In recent years, the trading accounts at large commercial banks have grown rapidly and become progressively more complex. To a large extent, this reflects the sharp growth in the over-the-counter derivatives markets, in which commercial bank are the principal dealers. In order to manage