The bankruptcy of the famous Bahrain Bank is a classic case of the failure of financial derivatives operation. The well-known financial derivatives incident of Bahrain Bank is a classic case of operation failure.
There is a striking similarity between the Cao incident and the Bahrain Bank incident, that is, the huge losses caused by personal mistakes at the top. The incidents of China Aviation Oil and Bahrain Bank have a striking mechanism, that is, the individual mistakes of high-level institutions led to the loss of the group. The necessity of establishing a restraint mechanism for senior personnel in institutions is the same enlightenment brought by the two events to the industry. It is necessary to establish an institutional mechanism of high-level management, and these two events will inevitably enlighten the industry together.
1On February 26th, 1995, Nick Leeson, the futures manager of Singapore Bahrain Company, failed to invest in Nikkei 225 stock index futures, resulting in huge losses for Bahrain Bank, with a total loss of US$ 654,380.4 billion. In the end, he could not continue to operate and declared bankruptcy. On February 26th, 1995, Nick Bahrain, futures manager of Singapore company. Lisen's investment in Nikkei 225 index futures failed, which caused Baring to suffer huge losses, with a total loss of10.40 billion US dollars. Eventually, it could not continue to operate and declared bankruptcy. Since then, this established commercial bank with a history of 233 years and good performance has disappeared in the City of London and even the global financial community. Since then, this old London City Commercial Bank, which has a history of 233 years and good performance, has been disabled even in the global financial community. At present, the bank has been taken over by the Dutch International Bank Insurance Group. At present, the bank has taken over the insurance company of the International Banking Group from the Netherlands.
Bahrain Bank Group was once the oldest and most prestigious commercial banking group in London, England. It is famous for its stable development and good reputation, and its customers are mostly dignitaries. Queen Elizabeth II was one of her clients. Bahrain Bank Group, once the oldest city in London, is a well-known commercial banking group with steady development and outstanding reputation. Its customers are Xiangguiban, and Queen Elizabeth II is also one of its customers. Bahrain Bank Group specializes in enterprise financing and investment management, and its business outlets are mainly in emerging countries and regions in Asia and Latin America. Bahrain Bank Group specializes in enterprise financing and investment management, and its business network is mainly in emerging countries and regions in Asia and Latin America. 1994 The pre-tax profit of Bahrain Bank is still as high as $65,438+$500 million, and the bank once hoped to expand its business in China. The pre-tax profit of Bahrain Bank 19941500,000 US dollars is still as high as the business in China that these banks once hoped to expand. However, a financial speculation the following year completely shattered all the development plans of the bank. However, in the second year, a financial speculation completely shattered all the development of the bank.
The direct cause of the bankruptcy of Bahrain Bank is that Nick Leeson, the futures manager of Bahrain Company in Singapore, misjudged the trend of Japanese stock market. The direct cause of Bahrain Bank is Nick, the futures manager of Bahrain Company in Singapore. Allison misjudged the direction of the Japanese stock market. 1995 1 10, the Japanese economy showed a momentum of recovery. Allison is optimistic about the Japanese stock market, buying a large number of futures contracts in Tokyo and Osaka respectively, hoping to make a big profit when the Nikkei index rises. 1995 1 month, Japan's economy showed signs of recovery. Allison was optimistic about Japanese stock markets in Tokyo and Osaka, bought a large number of futures contracts, and wanted to earn huge profits by rising the Nikkei. There are unexpected events in the sky. June199565438+1October 17 The sudden Hanshin earthquake in Japan hit the recovery momentum of the Japanese stock market, and the stock price continued to fall. The sky was overcast, 1 month 17, 1995 Great Hanshin Earthquake in Japan suddenly hit the upward trend of Japanese stock market, and the stock price continued to fall. The loss of Bahrain Bank was as high as $654.38+04 billion, which was almost all the assets of Bahrain Bank at that time. This once brilliant financial building collapsed. The loss of Bank of Bahrain was as high as $/kloc-0.40 billion. At that time, Bank of Bahrain was almost all assets. The news of the bankruptcy of Bank of Bahrain Group shocked the international financial market, and the stock markets all over the world were affected to varying degrees. The exchange rate of the pound fell sharply, and the exchange rate against the mark fell to the lowest level in history. The news of the bankruptcy of Bahrain Bank Group shocked the international financial market, and the stock markets in various places were affected to varying degrees. The exchange rate of the pound fell sharply, and the exchange rate of the pound fell to the lowest level in history. The hidden influence of Bahrain Bank incident on European and American financial industry is immeasurable. Bahrain Bank has hidden immeasurable influence for European and American financial industry.
Things look simple on the surface, and Alison's misjudgment is the fuse of the whole incident. A seemingly simple thing, Nick's mistake was the fuse of the whole incident. However, it is this incident that has attracted close attention all over the world, and the high risk of financial derivatives has been widely recognized. In any case, this incident has attracted close attention all over the world, and the high risk of financial derivatives has been widely recognized. From Ellison's personal misjudgment to the collapse of the entire Bahrain Bank, the investment risk has also multiplied with the doubling of the return on investment in financial derivatives. From personal misjudgment to the overall collapse of Bahrain Bank, Leeson used financial derivatives to double the return on investment and also multiply the investment risk several times. This is determined by the "leverage" characteristics of financial derivatives themselves. This is determined by the "leverage" attribute of financial derivatives themselves.
Since the collapse of Bahrain Bank, European and American financial circles have begun to pay attention to how to restrain the personal behavior of members within the organization to avoid irreparable huge losses caused by personal behavior. Starting from the case of the collapse of Bahrain Bank, Europe and America began to pay attention to how financial constraints can separate individual behaviors of organization members from individual behaviors, so as to avoid huge losses caused by reportable losses. Discussions in the industry on improving the supervision mechanism and restricting individual rights have never stopped. The discussion on perfecting the supervision mechanism to limit individual rights has never stopped. Var risk measurement: VaR risk measurement:
Jorin gave an authoritative definition in 1996, which can be expressed as: "Under a certain probability level (confidence level), the maximum possible loss of a financial asset or portfolio in a specific period in the future". The authoritative definition given by Jorin in 1996 can be expressed as: "Under a certain probability level (confidence level), a financial asset portfolio may suffer the greatest loss in a certain period in the future." Expressed as:
Prob =(△ω≥VaR)= 1-c Prob =(△ω≥VaR)= 1-c
Where △ω is the loss of an asset or portfolio during the holding period, and VaR is the risk value at the confidence level C .. Where △ω is the loss of an asset or portfolio during the holding period, and the confidence level of VaR is the risk value C..
VaR is a risk measurement method based on downside risk, which focuses more on the management of negative returns that affect investment performance. Compared with variance method, VAR is closer to investors' real psychological feelings about risks, and is more suitable for accurate risk measurement and management under the general distribution of returns. VaR is a risk thinking method based on downside risk, which focuses more on the negative impact of investment performance on income management. The variance method is closer to the psychological feelings of real investors on risk, and is more suitable for accurate risk measurement and management under general distribution procedures. It can integrate different market factors and risks in different markets into a numerical value, more accurately measure the potential losses caused by different risk sources and their interactions, and better adapt to the dynamic, complex and comprehensive trend of financial market development. It can integrate the risk factors in different markets numerically, measure the risks from different sources and their interactions and potential losses more accurately, and better adapt to the dynamic development, complexity and integration trend of financial markets. Its essence is the unilateral critical value of asset value loss during the holding period after a certain level of confidence, which is reflected in the amount as the critical value in practical application. Its essence is the unilateral loss threshold of asset value in a certain period after a certain level of confidence, which is reflected in the number of critical points in practical application.
For example, if a futures company holds a futures portfolio in the next 24 hours, the confidence is 95%. Under the normal fluctuation of the futures market, the VaR value is 6.5438+0 million yuan. For example, a futures portfolio holds the futures in the next 24 hours, with a confidence level of 95%, and the normal logistics in the future market has a var value of1100,000 yuan. It means that the probability that a futures company loses more than 6.5438+0 million yuan due to market price changes in one day is only 5%. The implication is that the probability that a futures company will lose more than one million yuan due to market price changes in one day is only 5%.
Calculation of var value in futures trading: the value of futures trading in VaR calculation;
When calculating the VaR value, the total value of the whole futures contract should be used to estimate, not the investment margin. When calculating the VaR value, the whole futures contract should be used to estimate the total value, instead of entering the margin.
A, calculate the sample yield. First, the calculation of sample yield. Sampling the daily closing price of the account book and calculating the yield; Sampling the daily closing price and calculating the yield;
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R t= (R is the rate of return, P is the closing price and T is the time) R t = (R is the rate of return, P is the closing price and T is the time).
P t - 1 P t - 1
b？ Calculate the sample mean (ψ) and standard deviation (δ): the calculation of sample B? Mean value (σ) and standard deviation (δ):
R t R t
ū= ū =
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c？ Is the sample average zero? Is it detected by statistics Z. C? Detect whether the average value of the sample is zero, and use statistics to detect Z.
ū - 0 ū - 0
Z= Z =
δ/√n δ / √ n
D, d, calculate the VaR value. The VaR value is calculated.
VaR =μ-z 1-cδVaR =μ-z 1-cδ
Calculation example: buy and sell a 1 lot futures contract, assuming the latest closing price is 4839, then the total value of the futures contract is 4839 * 200 = 967800. Select the daily rate of return data of about half a year, then calculate the unit risk coefficient by the above four steps, and finally multiply the unit risk coefficient by the total contract value to get the VaR value. For example, calculation: assuming the latest closing price of the first-hand sold futures contract is 4839, then the total value of the futures contract is 4839 * 200 = 967800. Select the daily yield data of about six months, then use these four steps to project the unit risk coefficient, and finally multiply the unit risk coefficient by the total value of the contract, that is, the value of a VaR.
Latest closing price: 4839; Total contract price: 967800; Margin: 140000 Latest closing price: 4839; Contract amount: 967,800 yuan; Deposit: 140000
Confidence level One-day VaR value One-day VaR value Five-day VaR value Five-day VaR value.
Unit risk coefficient unit risk coefficient unit VaR value unit risk coefficient unit VaR value unit.
95 % 95% - 0.3 128877 1 - 3028 1 - 0.06996382 - 677 1 1 - 0.3 128877 1 - 3028 1 - 0.06996382 - 677 1 1
90% -0.024377953 -23593 -0.0545 1076 -52756 90% -0.024377953 -23593 -0.0545 1076 -52756