I-Value at Risk (i-VaR) ingenye yamathuluzi anamandla kakhulu ku-arsenal yosomabhizinisi. Cabanga ngokuba nebhola lekristalu elikukhombisa ukuthi ungalahlekelwa malini ekutshalweni kwakho. Nokho, i-VaR ayiwona umlingo, kodwa isondele kakhulu. Lo mqondo, owazalelwa ngaphakathi kwe-JP Morgan ngawo-90, waguqula indlela esilinganisa ngayo ubungozi bezezimali.
Kodwa ake sibheke ama-brass tacks, iyini ngempela i-VaR? Ngamafuphi, kuyisilinganiso sezibalo esikutshela ukulahlekelwa okuphezulu okulindelekile esikhathini esithile, ngaphansi kwezimo ezijwayelekile zemakethe kanye nezinga elithile lokuzethemba. Kuzwakala kuyinkimbinkimbi, akunjalo? Ungakhathazeki, sizokuhlaziya isinyathelo ngesinyathelo.
Ama-ABC e-VaR
Cabanga nge-VaR njengesibikezelo sezulu sezezimali . Njengoba nje isazi sezulu sikutshela ukuthi kunethuba elingama-90% lemvula kusasa, i-VaR ikutshela, isibonelo, ukuthi kunethuba elingama-99% lokuthi ngeke ulahlekelwe ngaphezu kwe-€100.000 kuphothifoliyo yakho yesitoko ezinsukwini eziyi-10 ezizayo.
Umlingo we-VaR usekukwazini kwayo ukuhlanganisa ingozi ibe yinombolo eyodwa . Kunjengokungathi uthatha konke ukungaqiniseki kwemakethe bese ukukucindezela kube yisibalo esingaqondwa ngisho nogogo wakho. "Sawubona, Gogo, kunethuba elingu-95% lokuthi ngeke silahlekelwe ngaphezu kwe-€50.000 kule nyanga." Kulula, akunjalo?
Kodwa qaphela, i-VaR ayiphelele. Inemikhawulo yayo kanye nokugxekwa kwayo , njengoba sizobona kamuva. Kodwa-ke, isalokhu iyithuluzi eliyisisekelo ekuphathweni kwezingozi zezimali.
I-VaR ibalwa kanjani
Manje kuza okujabulisayo (noma okwesabisayo, kuye ngokuthi ukubheka kanjani) ingxenye: ukubala i-VaR. Ungakhathazeki, ngeke singene olwandle lwamafomula ezibalo. Sizokugcina kulula futhi kusebenza.
Kunezindlela ezintathu eziyinhloko zokubala i-VaR:
- Indlela yomlando: Le ndlela ifana nokubheka isibuko sokubuka sangemuva sezimaliIthembele kudatha yomlando ukuze ibikezele ikusasa. Ilula futhi kulula ukuyiqonda, kodwa inemikhawulo yayo.
- Indlela ye-Vaance-covariance: Lona izibalo ezinhle emhlabeni we-VaR. Icabanga ukuthi ukubuyiselwa kwempahla kulandela ukusatshalaliswa okuvamile. Iyinkimbinkimbi kakhulu, kodwa ingadukisa ezimeni ezimbi kakhulu.
- Indlela yokulingisa yaseMonte Carlo: Lona umdlalo wevidiyo wokulawula ubungozi. Ilinganisa izinkulungwane zezimo ezingaba khona ukuze kutholwe ukusatshalaliswa kwemiphumela engaba khona. Iyinkimbinkimbi kakhulu futhi inamandla ngokwezibalo, kodwa futhi eguquguqukayo kakhulu.
Indlela ngayinye inobuhle nobubi bayo, futhi ukukhetha kuzoncika ezintweni ezifana nohlobo lwezimpahla ozihlaziyayo, inkimbinkimbi yephothifoliyo yakho, nezinsiza ezitholakalayo.
I-VaR iyasebenza
Manje njengoba usuyazi ukuthi i-VaR iyini nokuthi ibalwa kanjani, ake sibone ukuthi isetshenziswa kanjani emhlabeni wangempela. Amabhange nezikhungo zezimali bayisebenzisa nsuku zonke ukuhlola izingozi zabo nokulandela imithethonqubo . Isibonelo, iKomidi laseBasel, elibeka amazinga omhlaba wonke okulawulwa kwamabhange, lidinga amabhange ukuthi asebenzise i-VaR ukubala izidingo zawo zemali.
Kodwa i-VaR ayiyona nje eyabantu abakhulu baseWall Street. Abaphathi bezimali bayisebenzisela ukudlulisela ubungozi kumakhasimende abo ngendlela eqondakalayo. Futhi abatshalizimali ngabanye bangayisebenzisa ukwenza izinqumo ezinolwazi oluthe xaxa mayelana namaphothifoliyo abo.
Zicabange ucabanga ukutshala izimali ezikhwameni ezimbili ezahlukene. I-Fund A ine-VaR yansuku zonke engu-2% enezinga lokuzethemba elingu-95%, kanti i-Fund B ine-VaR ka-3% enezinga elifanayo lokuzethemba. Lokhu kusho ukuthi, ngosuku olujwayelekile, kunamathuba angama-95% okuthi i-Fund A ngeke ilahlekelwe ngaphezu kuka-2% yenani laso, kanti ku-Fund B lowo mkhawulo ungama-3%. Lolu lwazi lukusiza ukuthi uqhathanise ubungozi bazo zombili izinketho ngendlela ebonakalayo.
Izicupho ze-VaR
Njenganoma yiliphi ithuluzi elinamandla, i-VaR inezingozi zayo. Kubalulekile ukuqonda ukulinganiselwa kwayo ukuze ugweme ukuwela emqondweni wokulondeka ongamanga. Nazi ezinye zezigxeko eziyinhloko ze-VaR:
- Ayithwebuli imicimbi eyeqisayo: : I-VaR igxile ezimeni imakethe "evamile"., kodwa izimakethe zezimali zaziwa ngamadada amnyama kanye nezinkinga ezingalindelekile.
- Kungakhuthaza ukuthatha ingozi: Okuxakayo, ngokunikeza isilinganiso esinembile sengozi, i-VaR ingaholela abatshalizimali ukuthi bathathe ingozi enkulu kunalokho okufanele.
- Akukona okungeziwe: I-VaR yephothifoliyo ayiyona nje isamba sama-VaR ezingxenye zayo, okungaholela ekutheni bukela phansi ubungozi obuphelele.
Ngenxa yalezi zizathu, ochwepheshe abaningi batusa ukwengeza i-VaR nezinye izindlela zokuthatha ubungozi, njengokulindelekile kokuntuleka noma ukuhlolwa kokucindezeleka.
I-VaR
Ukuphathwa kwezingozi zezimali kuqhubeka nokuguquka. Nakuba i-VaR isalokhu iyithuluzi eliyisisekelo, izindlela ezintsha ziyanda. Ukushoda Okulindelwe , isibonelo, kulungisa eminye yemikhawulo ye-VaR ngokubheka ukulahlekelwa okungaphezu komkhawulo we-VaR.
Ngaphezu kwalokho, ukwanda kwedatha enkulu kanye nobuhlakani bokwenziwa kuvula amathuba amasha ekubikezeleni nasekuphatheni ubungozi . Amamodeli okufunda okujulile angahlaziya idatha eningi ukuze abone amaphethini nezingozi izindlela zendabuko ezingase zingaziboni.
I-VaR, nawo wonke amandla nobuthakathaka bayo, isalokhu iyingxenyana eyinhloko kuphazili yokulawula ubungozi bezezimali. Ukuliqonda kubalulekile kunoma ubani ofuna ukuzulazula emanzini aneziyaluyalu ezimakethe zezimali. Ngakho-ke ngokuzayo lapho uzwa nge-VaR, uzokwazi ukuthi akuyona imodeli yemoto entsha, kodwa ithuluzi elinamandla lokulinganisa nokulawula ubungozi bezezimali.