目录
什么是日在险价值
什么是日在险价值
日在险价值（DailyValueatRisk，DVaR)
VaR(ValueatRisk)按字面解释就是“在险价值”，其含义指：在市场正常波动下，某一金融资产或证券组合的最大可能损失。更为确切的是指，在一定概率水平（置信度）下，某一金融资产或证券组合价值在未来特定时期内的最大可能损失。
日在险价值（DVaR）采用历史模拟法，利用两年的历史数据进行计算，同时利用返回检验（Back-testing）方法进行校验。而年在险收益（AnnualEarningsatRisk，AEaR）主要度量年收益对市场利率变动的敏感性，置信区间为99%，时间跨度为一年，主要用来度量结构性利率风险和结构资产管理风险。
DailyValueatRiskisafinancialservicesfirm'sestimateofthevolatilityitexpectsofitsinvestmentsinthecapitalmarkets.Specifically,itisthemostmoneythefirmthinksitwillloseinasingledayata99%confidencelevel.Statedotherwise,excludingtheveryworst1%ofdays,what'sthemostmoneyafirmexpectstoloseinasingleday?Valueatriskisausefulrelativemeasureofhowaggressivelyacompanyisinvestingitsownassets.Largervalueatriskindicatesacompanyhasmoretolose-butinalllikelihood,moretogainaswell.
Whilecompanieswillsometimeslosemoremoneyinasingledaythantheir"dailyvalueatrisk",thisshouldoccurinfrequentlyifthecompanyismodelingitsriskcorrectly.Ifthevalueatriskiscalculatedata99%confidenceinterval,losingmoremoneythanthedailyvalueatriskshouldoccuraround1in100days,orabout3or4daysoutoftheyear.However,firmscalculatedailyvalueatriskbymodelingoutpastmarketbehavior.Assumptionscanvarybetweenfirmsandflawedassumptionscanleadtoflawedresults.Additionally,ifmarketsbeginbehavinginwaystheyhaven'tbehavedinthepast,thehistoricalassumptionsunderlyingValueatRiskmodelsmaynolongerapply.
Althoughtheindustrystandardistocalculateaveragedailyvalueatriskata99%confidencelevel,bankscancalculatethisnumberatdifferenceconfidentintervals-forexample,ata95%confidenceinterval,whichwouldresultinasmallervalueatrisk-butlessconfidenceinwhetherthisdeclinewillbeexceededonanygivenday.ItisalsopossibletocalculateValueatRiskoverlargertimeframes,suchasweeklyormonthly.