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首页> 外文期刊>Journal of banking & finance >An evaluation of bank measures for market risk before, during and after the financial crisis
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An evaluation of bank measures for market risk before, during and after the financial crisis

机译：对金融危机之前，之中和之后的银行衡量市场风险的措施的评估

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We study the performance and behavior of Value at Risk measures used by a number of large U.S. banks before, during and after the financial crisis. Alternative benchmark VaR measures, including GARCH-based measures, are estimated directly from the banks' trading revenues to explain the bank VaR performance results. While overly conservative in both the pre-crisis and post-crisis periods, bank VaR exceedances were excessive and clustered in the crisis period. This contrasted with mostly unbiased benchmark HS and GARCH VaRs in the pre-crisis and post-crisis periods, and vastly superior GARCH-based VaR performance in the crisis period with lower exceedance rates and no exceedance clustering. Our results document the bank VaRs very slow adjustment to changing market conditions and their systematic bias in all studied periods. Our results indicate that bank VaRs could be improved by the use of models with time-varying volatility, and built on banks' knowledge of their current positions. Published by Elsevier B.V.
机译：我们研究了许多大型美国银行在金融危机之前，之中和之后使用的“风险价值”衡量标准的绩效和行为。可以从银行的交易收入中直接估算替代基准VaR度量，包括基于GARCH的度量，以解释银行VaR的绩效结果。尽管在危机前和危机后时期都过于保守，但银行VaR的超额程度却过高，并且在危机时期较为集中。与此形成鲜明对比的是，危机前和危机后时期的基准HS和GARCH VaR基本没有偏见，而在危机时期基于GARCH的VaR表现极为出色，超标率较低且没有超标聚类。我们的结果表明，在所有研究期间，银行的风险价值对变化的市场条件及其系统性偏见的调整都非常缓慢。我们的结果表明，可以使用波动性随时间变化的模型并基于银行对当前头寸的了解来提高银行的风险价值。由Elsevier B.V.发布

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