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英文标题：
《Which measure for PFE? The Risk Appetite Measure, A》
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作者：
Chris Kenyon, Andrew Green and Mourad Berrahoui
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最新提交年份：
2015
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英文摘要：
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has been whether to use one of many historical (\"physical\") measures (one per calibration setup), or one of many risk-neutral measures (one per numeraire). However, we argue that limits should be based on the bank\'s own risk appetite provided that this is consistent with regulatory backtesting and that whichever measure is used it should behave (in a sense made precise) like a historical measure. Backtesting is only required by regulators for banks with IMM approval but we expect that similar methods are part of limit maintenance generally. We provide three methods for computing the bank price of risk from readily available business unit data, i.e. business unit budgets (rate of return) and limits (e.g. exposure percentiles). Hence we define and propose a Risk Appetite Measure, A, for PFE and suggest that this is uniquely consistent with the bank\'s Risk Appetite Framework as required by sound governance.
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中文摘要：
潜在未来风险敞口（PFE）是管理业务部门交易对手信用风险的标准风险指标，但关于该如何计算存在争议。争论的焦点是，是使用许多历史（“物理”）测量方法中的一种（每个校准设置一个），还是使用许多风险中性测量方法中的一种（每个数字一个）。然而，我们认为，限额应基于银行自身的风险偏好，前提是这与监管回溯测试一致，并且无论使用哪种衡量标准，其行为（在某种意义上说是精确的）都应像历史衡量标准一样。只有获得IMM批准的银行，监管机构才需要进行回溯测试，但我们预计，类似的方法通常是限额维护的一部分。我们提供了三种方法，用于根据现成的业务部门数据计算银行风险价格，即业务部门预算（回报率）和限额（例如风险敞口百分比）。因此，我们为PFE定义并提出了一个风险偏好度量a，并建议该度量与银行的风险偏好框架保持一致，这符合健全治理的要求。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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