本文關(guān)鍵詞：基于VaR方法的滬深股市投資風(fēng)險(xiǎn)測(cè)度研究　出處：《河北工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： VaR方法 GARCH模型 滬深300指數(shù) 投資風(fēng)險(xiǎn)測(cè)度

【摘要】：一般來說，人們把風(fēng)險(xiǎn)定義為在未來一段時(shí)間內(nèi)凈收益的不確定性或者發(fā)生損失的可能性。通常，這種不確定性的表現(xiàn)形式會(huì)有所差異。為了更加精確地測(cè)度風(fēng)險(xiǎn)，后來人們引進(jìn)了名義值法，波動(dòng)性和敏感性測(cè)度方法。雖然名義值法，敏感性分析以及波動(dòng)性方法在一定歷史階段發(fā)揮了很大作用，從不同角度測(cè)度了投資組合或者投資的風(fēng)險(xiǎn)大小，但他們都對(duì)多大可能性會(huì)產(chǎn)生損失并沒有做出回答，，并且對(duì)于不同市場(chǎng)中的總風(fēng)險(xiǎn)也無法進(jìn)行測(cè)度。因此，在瞬息萬變的金融市場(chǎng)環(huán)境下，VaR(ValueatRisk，風(fēng)險(xiǎn)價(jià)值)才走上了金融風(fēng)險(xiǎn)測(cè)度的歷史舞臺(tái)。 本論文回顧了近幾年美國(guó)次貸危機(jī)、歐債危機(jī)等對(duì)全球經(jīng)濟(jì)的影響，以此為背景引申出金融風(fēng)險(xiǎn)管理的重要意義，認(rèn)真歸納了風(fēng)險(xiǎn)管理技術(shù)的在國(guó)內(nèi)外的發(fā)展情況，發(fā)現(xiàn)VaR技術(shù)已經(jīng)成為國(guó)內(nèi)外學(xué)者研究和關(guān)注的重點(diǎn)。VaR技術(shù)在學(xué)者們的關(guān)注和研究下得到了快速發(fā)展，日益成為主要的風(fēng)險(xiǎn)管理技術(shù)。 接下來，對(duì)金融風(fēng)險(xiǎn)管理的基本理論知識(shí)做了簡(jiǎn)單介紹，并重點(diǎn)介紹了證券投資風(fēng)險(xiǎn)管理的主要程序。并且進(jìn)一步講述了風(fēng)險(xiǎn)管理方法的歷史演進(jìn)過程。本論文還對(duì)各種VaR模型的優(yōu)缺點(diǎn)進(jìn)行了分析評(píng)價(jià)，并分析提出了在運(yùn)用過程中可能遇到的問題。 緊接著，本論文以滬深300指數(shù)為樣本數(shù)據(jù)運(yùn)用GARCH（1,1）模型對(duì)我國(guó)滬深股市的風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析，結(jié)果表明：VaR能夠準(zhǔn)確反映我國(guó)滬深股市的波動(dòng)性；GARCH（1,1）模型是適合對(duì)滬深300指數(shù)進(jìn)行建模，以求解我國(guó)股票市場(chǎng)的VaR估計(jì)值的。 隨著全球金融市場(chǎng)的日益開放，全球金融市場(chǎng)的聯(lián)系日益緊密，金融風(fēng)險(xiǎn)管理任重而道遠(yuǎn)。論文最后對(duì)該技術(shù)的進(jìn)一步發(fā)展進(jìn)行了展望。
[Abstract]:In general, the risk is defined as the possibility of a period of time in the future net income uncertainty or loss. Usually, manifestation of this uncertainty will be different. In order to accurately measure the risk, then we introduce the nominal value method, volatility and sensitivity measure method. Although the nominal value method. The sensitivity analysis and volatility methods play a significant role in a certain historical stage, from different angles to measure the size of the risk investment portfolio or investment, but they are more likely to have losses and did not answer, and for the total risk in different markets can not be measured. Therefore, in the rapidly changing financial market under the environment of VaR (ValueatRisk value at risk) on the financial risk measurement of the stage of history.
This paper reviews the recent subprime mortgage crisis, the European debt crisis on the global economy, it points out the important significance of financial risk management as the background, conscientiously summarize the risk management technology at home and abroad, found that VaR technology has become the focus of attention and study of.VaR technology at home and abroad to study and research in the attention of scholars has been rapid development, has become the main risk management techniques.
Next, the basic theory of financial risk management are introduced briefly, and introduces the main procedure of risk management of securities investment. And further describes the historical evolution of the risk management process. The advantages and disadvantages of the VaR model were analyzed, and put forward that may be encountered in the application process the problem.
Then, the Shanghai and Shenzhen 300 index as the sample data by GARCH (1,1) risk model of Chinese stock market through empirical analysis, the results show that VaR can accurately reflect the stock market volatility; GARCH (1,1) model is suitable for modeling of Shanghai and Shenzhen 300 index for China the stock market estimates of VaR.
With the increasingly opening of the global financial market and the increasingly close connection of the global financial market, financial risk management is still a long way to go. Finally, the future development of the technology is prospected.

【學(xué)位授予單位】：河北工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1361977