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I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk

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  • Flavio Bazzana

    (DISA, Faculty of Economics, Trento University)

Abstract

La metodologia del Value at Risk è diventata lo standard de-facto per la misurazione del rischio di mercato nel sistema bancario internazionale. In questo lavoro si è analizzato tale metodo sotto diverse prospettive: la procedura di calcolo, lo sviluppo della normativa e degli utilizzi operativi nelle banche, lo stato di implementazione nei principali gruppi bancari europei e da parte delle autorità di vigilanza. Per la parte analitica è stata costruita una originale struttura formale per evidenziare le differenze tra i vari metodi di calcolo del VaR, che sono stati poi sviluppati nel linguaggio Matlab per le opportune prove empiriche. Sono stati analizzati i principali utilizzi operativi nell'area finanza di tale metodologia: fissazione di limiti operativi, calcolo della performance, allocazione del capitale. Il lavoro prosegue con la rassegna di alcune esperienze di gruppi bancari europei. Nelle conclusioni vengono evidenziati due aspetti specifici della diffusione del VaR: le modifiche organizzative nelle banche e l'impatto a livello sistemico. Oltre al paper è possibile scaricare le routine in Matlab v. 5 e v. 6

Suggested Citation

  • Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:011
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    1. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic Learning in Co-ordination Games: a Simulation Approach," ROCK Working Papers 001, Department of Computer and Management Sciences, University of Trento, Italy, revised 21 May 1999.
    2. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

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