Allocation of Risk Capital in Financial Institutions
探讨金融机构如何将风险价值（VaR）指标用于资本配置过程，并分析不同业务单元特征下风险调整绩效评估方法的选择，对金融风险管理者和决策者有参考价值。
Francesco Saita is a Researcher at Universitii Bocconi. The attention devoted to risk management in recent years has mostly focused on risk measurement, whereas the use of such measures in actual decision processes has been unaddressed. This paper focuses on the implementation issues involved with using value-at-risk measures in the capital-allocation process. In particular, this paper deals with the process of capital allocation and its consequences on risk-adjusted performance evaluation. When defining a measure of risk-adjusted performance, there is no multipurpose solution: the measure must be chosen based on the characteristics of each business unit and the degree of centralization or decentralization of the allocation process. Greater attention to capital allocation is therefore required so that more sophisticated risk measures can produce the desired results.