金融危机期间巴塞尔资本协议提升银行风险管理能力的效应

摘要

在巴塞尔协议规则下，运用VaR预测模型的组合构建风险管理策略，包括保守型和积极型策略。从实践应用出发，运用沪深300指数检验这两种风险管理策略在2008—2009年全球金融危机期间的表现。在此基础上，对不同市场风险模型的VaR和每日资本要求进行测算。研究结果表明：第一，在全球金融危机期间，巴塞尔资本协议能够有效覆盖存款类金融机构可能的市场风险损失。第二，从每日资本要求测算结果来看，保守型风险策略的违反次数最小，但会导致较高的资本要求，对于希望保持在巴塞尔协议II绿色区域的银行是更好的选择。%This paper propose combining alternative models of maker risk in the context of Basel II, in-cluding aggressive and conservative strategies. From a practical perspective, this paper use Shanghai and Shenzhen 300 index to examine how the new market risk management strategies performed during the 2008-09 global financial crises. The paper then forecasts VaR and daily capital charges for differ-ent models and strategies considered. The conclusion is:The Basel II Accord have succeeded in cover-ing the market losses of ADIs during global financial crisis. The conservative strategy has far fewer vio-lations, and higher mean daily capital charges. This strategy will be the preferred one if the ADIs want to stay in the green zone of the Basel II Accord penalties.