An Analysis of Var-Based Capital Requirements
An Analysis of Var-Based Capital Requirements
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基于Var的资本要求分析
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
D. Cuoco
中科院分区：
文献类型：
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作者：
Hong Liu;D. Cuoco
我们研究了动态投资和报告问题的金融机构的资本要求的基础上自我报告的风险价值估计，在巴塞尔委员会的内部模型方法（IMA）。我们使用鞅对偶和参数二次规划技术来描述这个问题的解决方案。在价格系数不变的情况下，我们证明了最优投资组合具有局部三基金分离特性。基于风险价值的资本要求促使金融机构将其投资组合向具有高预期回报（和高系统风险）的资产倾斜，但仍然导致交易组合的总体风险降低。一般而言，一家机构可能会根据其风险厌恶程度和资本要求的严格程度，以最佳方式低估或高估其真实风险价值。总的来说，我们发现，资本要求的基础上确定的IMA可以是非常有效的，不仅在抑制投资组合风险，而且在诱导真实的披露这种风险。
We study the dynamic investment and reporting problem of a Financial institution subject to capital requirements based on self-reported VaR estimates, as in the Basel Committee's Internal Models Approach (IMA). We characterize the solution of this problem using martingale duality and parametric quadratic programming techniques. With constant price coefficients, we show that optimal portfolios display a local three-fund separation property. VaR-based capital requirements induce financial institutions to tilt their portfolios towards assets with high expected return (and high systematic risk), but result nevertheless in a decrease of the overall risk of trading portfolios. In general, an institution may optimally under-report or over-report its true VaR, depending on its risk aversion and the stringency of capital requirements. Overall, we find that capital requirements determined on the basis of the IMA can be very effective not only in curbing portfolio risk but also in inducing truthful revelation of this risk.