无知者无畏

revolver

不过出于好心，我还是要多嘴给胡同里的街坊们解释一下。

Goldman Sachs Boosts Risk-Taking at Fastest Pace on Wall Street

Goldman Sachs’s so-called value-at-risk, the amount the New York-based bank estimates it could lose from trading in a day, jumped 22 percent to $240 million in the first quarter, twice what Morgan Stanley stands to lose, company reports show. VaR climbed 2.8 percent in the same period at JPMorgan Chase & Co. and dropped 14 percent at Credit Suisse Group AG.

要理解上面这段新闻，首先要明白什么是VaR的定义。VaR是Value at Risk的缩写，文中所指的实际上是Daily Dollar VaR，即在95%的信心水平上GS在单个交易日可能损失的最大上限。这牵涉到在统计学上对GS total portfolio前一个时期动荡幅度的计算，需要知道GS的采样周期是多长及其portfolio的value和组成，这些我们是不知道的，但很普遍的采样周期是选用两年。如果你留意去年一整年（特别是第四季）市场的动荡情况，可以肯定的说整体市场的standard deviation有了很大的提高，跟前一个时期相比都很有可能远超22%。因此从这一点上说，这是一篇很具误导性的新闻。

starfish111

good catch, expect more similar analysis.

colderdown

Thanks. Good one

buctusa

xiaobailong

那么同一时期别的金融机构是不是也这样呢？

revolver

5# xiaobailong

Still different, because different institutions have different portfolio structures.

For example, the asset allocation for GS is 70% equity, 20% fixed income, 10% cash; but for ML it is 40% equity, 40% fixed income, 20% cash. Even though both 2 portfolio have the same market value and the same sampling period, GS's VaR would still be higher because it has more allocation on equity which tends to be more volatile than fixed income.

roamerroamer