THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES
提出优化风险价值（VaR）和每日资本费用的十大戒律，涵盖波动率模型、相关性、参数估计等选择，并指出巴塞尔协议II可能鼓励过度风险承担。
Abstract Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments for optimizing value‐at‐risk (VaR) and daily capital charges, based on choosing wisely from (1) conditional, stochastic and realized volatility; (2) symmetry, asymmetry and leverage; (3) dynamic correlations and dynamic covariances; (4) single index and portfolio models; (5) parametric, semi‐parametric and non‐parametric models; (6) estimation, simulation and calibration of parameters; (7) assumptions, regularity conditions and statistical properties; (8) accuracy in calculating moments and forecasts; (9) optimizing threshold violations and economic benefits; and (10) optimizing private and public benefits of risk management. For practical purposes, it is found that the Basel II Accord would seem to encourage excessive risk taking at the expense of providing accurate measures and forecasts of risk and VaR.