著名的巴林銀行破產事件堪稱金融衍生工具操作失敗的經典案例。 Well-known events of Barings Bank financial derivatives can be called a classic case of failure to operate.
此次的中航油事件與巴林銀行事件有壹個驚人的相似之處，就是高層個人失誤導致的機構巨額損失。 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. 必須建立機構高層人員的約束機制是兩起事件帶給業界的***同啟示。 Necessary to establish an institutional mechanism for senior management is bound to two incidents of common enlightenment industry.
1995 年 2 月 26 日，新加坡巴林公司期貨經理尼克 . 裏森投資日經 225 股指期貨失利，導致巴林銀行遭受巨額損失，合計損失達 14 億美元，最終無力繼續經營而宣布破產。 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. 從此，這個有著 233 年經營史和良好業績的老牌商業銀行在倫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. 目前該行已由荷蘭國際銀行保險集團接管。 At present, the line from the Netherlands to take over the international banking group of insurance companies.
巴林銀行集團曾經是英國倫敦城內歷史最久、名聲顯赫的商業銀行集團，素以發展穩健、信譽良好而馳名，其客戶也多為顯貴階層，英國女王伊麗莎白二世也曾經是它的顧客之壹。 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 . 巴林銀行集團的業務專長是企業融資和投資管理，業務網點主要在亞洲及拉美新興國家和地區。 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 年巴林銀行的稅前利潤仍然高達 1.5 億美元，銀行曾經壹度希望在中國拓展業務。 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，次年的壹次金融投機徹底粉碎了該行的所有發展計劃。 However, the following year, a financial speculation completely crush all of the line development.
巴林銀行破產的直接原因是新加坡巴林公司期貨經理尼克 . 裏森錯誤地判斷了日本股市的走向。 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，日本經濟呈現復蘇勢頭，裏森看好日本股市，分別在東京和大阪等地買進大量期貨合同，希望在日經指數上升時賺取大額利潤。 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. 天有不測風雲， 1995 年 1 月 17 日突發的日本阪神地震打擊了日本股市的回升勢頭，股價持續下跌。 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. 巴林銀行因此損失金額高達 14 億美元，這幾乎是巴林銀行當時的所有資產，這座曾經輝煌的金融大廈就此倒塌。 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. 巴林銀行集團破產的消息震動了國際金融市場，各地股市受到不同程度的沖擊，英鎊匯率急劇下跌，對馬克的匯率跌至歷史最低水平。 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. 巴林銀行事件對於歐美金融業的隱性影響不可估量。 Bank of Bahrain's financial industry for Europe and the United States incalculable hidden influence.
事情表面看起來很簡單，裏森的判斷失誤是整個事件的導火線。 The surface of seemingly simple things, Nick is a miscalculation of the fuse the entire incident. 然而，正是這次事件引起了全世界密切關註，金融衍生工具的高風險被廣泛認識。 However, this incident is caused by the whole world pay close attention to, financial derivatives have been widely recognized high-risk. 從裏森個人的判斷失誤到整個巴林銀行的倒閉，伴隨著金融衍生工具成倍放大的投資回報率的是同樣成倍放大的投資風險。 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. 這是金融衍生工具本身的“ 杠 桿” 特 性決定的。 This is their own financial derivatives "leveraged" properties of the decision.
從巴林銀行倒閉案開始，歐美金融界人士開始關註如何約束機構內部成員的個人行為，從而避免由個人行為導致的無可挽回的巨大損失。 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. 業內關於完善監督機制、限制個人權限的討論壹直不曾間斷。 The industry on improving the monitoring mechanism to limit the discussion of individual rights has not stopped. VaR 風險度量： VaR risk measure:
Jorin 在 1996 年給出了權威的定義，可將其表述為：“ 在 壹定的概率水平下（置信度），某壹金融資產或資產組合在未來特定的壹段時間內的最大可能損失” 。 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." 表示為： Expressed as:
Prob=( △ ω≥VaR)=1 － c Prob = (△ ω ≥ VaR) = 1 - c
其中，△ ω 為資產或資產組合在持有期內的損失， VaR 為置信水平 c 下處於風險中的價值。 Which, △ ω as an asset or portfolio losses in the holding period, VaR confidence level is at risk under the c value.
VaR 是壹種建立在 Downside － Risk 思想上的風險度量方法，它更側重對影響投資績效的消極收益的管理，與方差方法相比，更接近投資者對風險的真實心理感受，更適合於在收益壹般分布情況下的風險精確計量和管理。 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. 它可以將不同市場因子、不同市場的風險集成壹個數值，較準確地測量由不同風險來源及其相互作用而產生的潛在損失，更好地適應了金融市場發展的動態性、復雜性和整合性趨勢。 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. 其實質是在壹定置信水平下經過某段時間的持有期資產價值損失的單邊臨界值，在實際應用時體現為作為臨界點的金額數目。 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，某期貨公司持有期貨組合在未來 24 小時內，置信度為 95 ％，在期貨市場正常波動的情況下， VaR 值為 100 萬元。 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. 其含義是指，該期貨公司在壹天之內，由於市場價格變化而帶來的最大損失超過 100 萬元的概率只有 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%.
期貨交易中 VaR 值的計算： Value of futures trading in the calculation of VaR:
在計算 VaR 值時，應采用整個期貨合約的總值來估算，而不是投入保證金。 In the calculation of VaR values should be used throughout the futures contracts to estimate the total value, rather than input margin.
A 、計算樣本報酬率。 A, a sample rate of return calculation. 取樣本每日收盤價，並計算報酬率： 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 為報酬率， P 為收盤價， T 為時間） R t = (R for reward rate, P is the closing price, T for time)
P t － 1 P t - 1
B?計 算樣本平均數（ū ） 及標準差（δ ） ： Calculation of sample B ? average (ū) and standard deviation (δ):
R t R t
ū= ū =
n n
C?檢 測樣本平均數是否為零，采用統計數 Z 來檢測。 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, 計算 VaR 值 VaR value calculated
VaR=μ－Z1 － cδ VaR = μ-Z1 - cδ
計算舉例：買賣 1 手某期貨合約，假設最新的收盤價為 4839 ，那麽期貨合約總值為 4839 ＊ 200=967800 ，選取大約半年的每日報酬率數據，再利用以上四個步驟來推算單位風險系數，最後將單位風險系數與合約總值相乘，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.
最新收盤價： 4839 ；合約總值： 967800 ；保證金： 140000 The latest closing price: 4839; contract value: 967,800; margin: 140000
置信水平 Confidence level 壹日 VaR 值 Day VaR value 五日 VaR 值 VaR value on the 5th
單位風險系數 Unit risk factor 單位 VaR 值 VaR value units 單位風險系數 Unit risk factor 單位 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