Riesen judge from the mistakes of individuals to the whole collapse of Barings Bank, with financial derivatives to double the return on investment to enlarge the same to enlarge the investment risk multiplied. 这是金融衍生工具本身的“ 杠 杆” 特 性决定的 This is their own financial derivatives "leveraged" nature of the
著名的巴林银行破产事件堪称金融衍生工具操作失败的经典案例。 Well-known events of Barings Bank financial derivatives can be called a classic case of failure to operate.
此次的中航油事件与巴林银行事件有一个惊人的相似之处，就是高层个人失误导致的机构巨额损失。 The events of the China Aviation Oil and Bank of Bahrain has a striking similarities, that is, high-level body the individual errors led to huge losses. 必须建立机构高层人员的约束机制是两起事件带给业界的共同启示。 Necessary to establish an institutional mechanism for senior management is bound to two incidents of common enlightenment industry.
1995 年 2 月 26 日，新加坡巴林公司期货经理尼克 . 里森投资日经 225 股指期货失利，导致巴林银行遭受巨额损失，合计损失达 14 亿美元，最终无力继续经营而宣布破产。 February 26, 1995, Singapore companies futures manager Nick Bahrain. Riesen investment Nikkei 225 index futures lost, resulting in huge losses suffered by Barings, the total losses amounting to 1.4 billion U.S. dollars, and ultimately unable to continue to operate and declare bankruptcy. 从此，这个有着 233 年经营史和良好业绩的老牌商业银行在伦敦城乃至全球金融界消失。 Since then, this has a history of 233 years of operation and good performance of the old city commercial banks in London and even the disappearance of the global financial sector. 目前该行已由荷兰国际银行保险集团接管。 At present, the line from the Netherlands to take over the international banking group of insurance companies.
巴林银行集团曾经是英国伦敦城内历史最久、名声显赫的商业银行集团，素以发展稳健、信誉良好而驰名，其客户也多为显贵阶层，英国女王伊丽莎白二世也曾经是它的顾客之一。 Bahrain was once a banking group in London's oldest city, the reputation of a prominent group of commercial banks, ensure the development of sound, reputable and well-known, and its customers for Xiangui class, Britain's Queen Elizabeth II was also one of its customers . 巴林银行集团的业务专长是企业融资和投资管理，业务网点主要在亚洲及拉美新兴国家和地区。 Bahrain banking group's business expertise is corporate finance and investment management, business networks in Asia and Latin America, mainly in emerging countries and regions. 1994 年巴林银行的税前利润仍然高达 1.5 亿美元，银行曾经一度希望在中国拓展业务。 Bank of Bahrain in 1994 pre-tax profit of 150 million U.S. dollars is still up to the banks once hoped to expand their business in China. 然而，次年的一次金融投机彻底粉碎了该行的所有发展计划。 However, the following year, a financial speculation completely crush all of the line development.
巴林银行破产的直接原因是新加坡巴林公司期货经理尼克 . 里森错误地判断了日本股市的走向。 Barings Bank is the direct cause of the Singapore futures manager Nick Bahrain company. Riesen mistake to judge the direction of the Japanese stock market. 1995 年 1 月份，日本经济呈现复苏势头，里森看好日本股市，分别在东京和大阪等地买进大量期货合同，希望在日经指数上升时赚取大额利润。 In January 1995, the Japanese economy has shown signs of recovery, Riesen good Japanese stock market in Tokyo and Osaka and other places to buy a large number of futures contracts, would like to Nikkei Index rises to earn huge profits. 天有不测风云， 1995 年 1 月 17 日突发的日本阪神地震打击了日本股市的回升势头，股价持续下跌。 Days of the ominous clouds, January 17, 1995 Hanshin earthquake in Japan sudden blow to the upward trend in Japan's stock market, stock prices continued to fall. 巴林银行因此损失金额高达 14 亿美元，这几乎是巴林银行当时的所有资产，这座曾经辉煌的金融大厦就此倒塌。 Bahrain banks losses as high as 1.4 billion U.S. dollars, Bank of Bahrain which is virtually all the assets at the time, this has been brilliant this financial collapse of the building. 巴林银行集团破产的消息震动了国际金融市场，各地股市受到不同程度的冲击，英镑汇率急剧下跌，对马克的汇率跌至历史最低水平。 Bahrain Bank Group bankruptcy news shocked the international financial markets, stock markets around the affected to various extents, the pound sterling exchange rate fell sharply, the exchange rate of sterling fell to its lowest level in history. 巴林银行事件对于欧美金融业的隐性影响不可估量。 Bank of Bahrain's financial industry for Europe and the United States incalculable hidden influence.
事情表面看起来很简单，里森的判断失误是整个事件的导火线。 The surface of seemingly simple things, Nick is a miscalculation of the fuse the entire incident. 然而，正是这次事件引起了全世界密切关注，金融衍生工具的高风险被广泛认识。 However, this incident is caused by the whole world pay close attention to, financial derivatives have been widely recognized high-risk. 从里森个人的判断失误到整个巴林银行的倒闭，伴随着金融衍生工具成倍放大的投资回报率的是同样成倍放大的投资风险。 Riesen judge from the mistakes of individuals to the whole collapse of Barings Bank, with financial derivatives to double the return on investment to enlarge the same to enlarge the investment risk multiplied. 这是金融衍生工具本身的“ 杠 杆” 特 性决定的。 This is their own financial derivatives "leveraged" properties of the decision.
从巴林银行倒闭案开始，欧美金融界人士开始关注如何约束机构内部成员的个人行为，从而避免由个人行为导致的无可挽回的巨大损失。 The case of bank failure from the beginning of Bahrain, Europe and the United States began to pay attention to how the financial constraints of the individual members of the organization behavior from individual behavior so as to avoid irreparable damage caused by the huge losses. 业内关于完善监督机制、限制个人权限的讨论一直不曾间断。 The industry on improving the monitoring mechanism to limit the discussion of individual rights has not stopped. VaR 风险度量： VaR risk measure:
Jorin 在 1996 年给出了权威的定义，可将其表述为：“ 在 一定的概率水平下（置信度），某一金融资产或资产组合在未来特定的一段时间内的最大可能损失” 。 Jorin in 1996, the authority of the definition given, can be expressed as: "a certain level of probability (confidence level), a portfolio of financial assets or in the future a specific period of time may be the greatest loss." 表示为： Expressed as:
Prob=( △ ω≥VaR)=1 － c Prob = (△ ω ≥ VaR) = 1 - c
其中，△ ω 为资产或资产组合在持有期内的损失， VaR 为置信水平 c 下处于风险中的价值。 Which, △ ω as an asset or portfolio losses in the holding period, VaR confidence level is at risk under the c value.
VaR 是一种建立在 Downside － Risk 思想上的风险度量方法，它更侧重对影响投资绩效的消极收益的管理，与方差方法相比，更接近投资者对风险的真实心理感受，更适合于在收益一般分布情况下的风险精确计量和管理。 VaR is a kind of built on the Downside - Risk Risk ideological approach, which focuses more on investment performance of the negative impact of income management, with the variance method, closer to the real investors on the risks of psychological feelings, is more suitable for In general the distribution of proceeds under the precise risk measurement and management. 它可以将不同市场因子、不同市场的风险集成一个数值，较准确地测量由不同风险来源及其相互作用而产生的潜在损失，更好地适应了金融市场发展的动态性、复杂性和整合性趋势。 It can factor in different markets, different market risks of a numerical integration, a more accurate measurement of risk from different sources and their interactions and the potential loss, and better adapted to the dynamic development of the financial markets, complexity and integration trend. 其实质是在一定置信水平下经过某段时间的持有期资产价值损失的单边临界值，在实际应用时体现为作为临界点的金额数目。 Its essence is a certain confidence level after a certain period of time the value of the assets of the holding period of the unilateral loss threshold, when in actual application, as reflected in the amount of the number of critical points.
例如，某期货公司持有期货组合在未来 24 小时内，置信度为 95 ％，在期货市场正常波动的情况下， VaR 值为 100 万元。 For example, a combination of futures futures held in the next 24 hours, 95% confidence level, the normal fluctuations in the futures market circumstances, VaR value of one million yuan. 其含义是指，该期货公司在一天之内，由于市场价格变化而带来的最大损失超过 100 万元的概率只有 5 ％。 The implication is that the futures company in one day, due to changes in market prices caused the biggest loss of the probability of more than one million yuan, only 5%.
期货交易中 VaR 值的计算： Value of futures trading in the calculation of VaR:
在计算 VaR 值时，应采用整个期货合约的总值来估算，而不是投入保证金。 In the calculation of VaR values should be used throughout the futures contracts to estimate the total value, rather than input margin.
A 、计算样本报酬率。 A, a sample rate of return calculation. 取样本每日收盘价，并计算报酬率： Sampling of the daily closing price, and calculate the rate of return:
P t － P t － 1 P t - P t - 1
R t= (R 为报酬率， P 为收盘价， T 为时间） R t = (R for reward rate, P is the closing price, T for time)
P t － 1 P t - 1
B�计 算样本平均数（ū ） 及标准差（δ ） ： Calculation of sample B � average (ū) and standard deviation (δ):
R t R t
ū= ū =
n n
C�检 测样本平均数是否为零，采用统计数 Z 来检测。 C � detect whether the sample average to zero, the use of statistics to detect Z.
ū － 0 ū - 0
Z= Z =
δ/√n δ / √ n
D 、 D, 计算 VaR 值 VaR value calculated
VaR=μ－Z1 － cδ VaR = μ-Z1 - cδ
计算举例：买卖 1 手某期货合约，假设最新的收盘价为 4839 ，那么期货合约总值为 4839 ＊ 200=967800 ，选取大约半年的每日报酬率数据，再利用以上四个步骤来推算单位风险系数，最后将单位风险系数与合约总值相乘，即得 VaR 值。 Calculation, for example: a hand in a sale of futures contracts, the latest closing price assumptions for 4839, then the total value of futures contracts for 4839 * 200 = 967800, select about six months of daily return data, and then use these four steps to the projection unit of risk coefficient, the final unit risk factor multiplied with the total value of the contract, that is, the value of a VaR.
最新收盘价： 4839 ；合约总值： 967800 ；保证金： 140000 The latest closing price: 4839; contract value: 967,800; margin: 140000
置信水平 Confidence level 一日 VaR 值 Day VaR value 五日 VaR 值 VaR value on the 5th
单位风险系数 Unit risk factor 单位 VaR 值 VaR value units 单位风险系数 Unit risk factor 单位 VaR 值 VaR value units
95 ％ 95% － 0.31288771 － 30281 － 0.06996382 － 67711 - 0.31288771 - 30281 - 0.06996382 - 67711
90％ －0.024377953 －23593 －0.05451076 －52756 90% -0.024377953 -23593 -0.05451076 -52756
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