期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2017
期号：162
页码：54-59
出版社：European Journals Inc.
摘要：Daily Value-at-Risk (VaR) is frequently reported by banks and financial institutions as a result of regulatory requirements, competitive pressures, and risk management standards. However, recent events of economic crises, such as the US subprime mortgage crisis, the European Debt Crisis, and the downfall of the China Stock Market, have provided strong evidence that bad days come in streaks and also that the reported daily VaR may be misleading in order to prevent losses. This paper compares VaR measures of an S&P 500 index portfolio under systematic risks to ones under normal market conditions using a historical simulation method. Analysis indicates that the reported VaR under normal conditions seriously masks and understates the true losses of the portfolio when systematic risks are present. For highly leveraged positions, this means only one VaR hit during a single day or a single week can wipe the firms out of business.
