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CHINABOND VAR&CVAR

ChinaBond VaR (Value at Risk) indicates the threshold value of loss for a given bond or a bond portfolio, probability and time horizon. ChinaBond CVaR (Conditional Value at Risk) is an alternative to ChinaBond VaR that is more sensitive to the shape of the loss distribution in the tail of the distribution. It is the expected loss on the bond or portfolio when loss exceeds the threshold. 

ChinaBond VaR/CVaR products are compiled both for single bonds and for bond account portfolio. VaR/CVaR of a single bond reflects the threshold values of the bond with a par value of RMB100 at a given confidence level and holding period. VaR/CVaR of bond account portfolio reflects the threshold values of the portfolio at a given confidence level and holding period, based on the very account held by the member under CCDC’s depository. 

Main Functions

- A benchmark for regulatory capital calculation of banks 

- A basis for Measuring and managing market risk of bond assets 

- Can be used for Risk Adjustment of bond investment performance 

- Verifying the performance of risk indicators calculated by market participants or third parties

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