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首页> 外文期刊>Journal of Financial Regulation and Compliance >Value at risk: a critical overview
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Value at risk: a critical overview

机译：风险价值：重要概述

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Purpose – A misplaced reliance on value at risk (VaR) has been focused on in the media as one of the main reasons for the current financial crisis, and the recently published Turner Review by the UK Financial Services Authority concurs. The purpose of this paper is to present an introductory overview of VaR and its weaknesses which will be easily understood by non-technical readers. Design/methodology/approach – Simple numerical examples utilising real and simulated data are employed to reinforce the main arguments. Findings – This paper explains that some of the main approaches employed by banks for computing VaR have serious weaknesses. These weaknesses have contributed to the current financial crisis. Research limitations/implications – Consistent with the introductory nature of this paper, the empirical research is limited to simple examples. Practical implications – The evidence here suggest that if VaR is to play a major role under future financial regulation then research is required to develop improved estimation techniques and backtesting procedures. Originality/value – This paper differs from many academic papers on VaR by assuming only a very basic knowledge of mathematics and statistics.
机译：目的–错误地依赖于风险价值（VaR）在媒体上已成为当前金融危机的主要原因之一，最近英国金融服务管理局（UK Financial Services Authority）发布的特纳评论（Turner Review）对此表示赞同。本文的目的是介绍VaR及其弱点的入门概述，非技术读者可以轻松理解。设计/方法/方法–利用利用实际数据和模拟数据的简单数值示例来加强主要论点。调查结果–本文解释说，银行用于计算VaR的一些主要方法存在严重缺陷。这些弱点导致了当前的金融危机。研究的局限性/含意-与本文的介绍性质一致，实证研究仅限于简单的例子。实际意义–这里的证据表明，如果VaR在未来的金融监管中起主要作用，则需要进行研究以开发改进的估算技术和回测程序。原创性/价值–这篇论文与许多有关VaR的学术论文不同，只是假设他们具有非常基本的数学和统计学知识。

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