THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
为银行在巴塞尔新资本协议下管理每日风险价值（VaR）提供十条简单易懂的指导原则，涵盖理解风险模型、避免监管陷阱等，帮助从业者合规且有效地进行市场风险计量。
Abstract Under the Basel II Accord, banks and other authorized deposit‐taking institutions are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of value‐at‐risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index and interpreting commandments sensibly as guidelines.