本文關(guān)鍵詞： 外匯投資 風(fēng)險(xiǎn)度量 外匯投資組合　出處：《哈爾濱工業(yè)大學(xué)》2015年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：2008年美國(guó)金融危機(jī)爆發(fā)后,各國(guó)資產(chǎn)開(kāi)始重新配置,全球外匯市場(chǎng)波動(dòng)的加劇。在后金融危機(jī)這一背景下研究處于匯改攻堅(jiān)階段的中國(guó)外匯市場(chǎng)的風(fēng)險(xiǎn),并對(duì)其進(jìn)行度量對(duì)于國(guó)內(nèi)的投資者意義重大。通過(guò)對(duì)2008年1月2日到2015年3月9日美元、歐元、日元以及港幣對(duì)人民幣的匯率中間價(jià)的對(duì)數(shù)收益率進(jìn)行統(tǒng)計(jì)檢驗(yàn)研究,可以看出4組外匯數(shù)據(jù)收益率序列都存在“有偏尖峰且薄尾”的特征,均存在自相關(guān)與偏自相關(guān)效應(yīng)以及異方差效應(yīng),基于以上特征建立的GARCH模型可以較好地反映出中國(guó)外匯市場(chǎng)收益率的波動(dòng)性。通過(guò)實(shí)證檢驗(yàn)可以發(fā)現(xiàn),GARCH模型在描述數(shù)據(jù)波動(dòng)性方面效果良好,但是對(duì)序列的尾部擬合不是很好。因此,將極值理論引入到描述模型的殘差中來(lái)彌補(bǔ)GARCH模型的不足,以對(duì)殘差尾部的點(diǎn)進(jìn)行有效描述。通過(guò)Hill估計(jì)法確定POT模型的閾值u,進(jìn)而估計(jì)出POT閾值模型的上下尾參數(shù),將POT模型與Va R、CVa R風(fēng)險(xiǎn)度量方法聯(lián)立,計(jì)算出單支外匯的風(fēng)險(xiǎn)值Va R和條件風(fēng)險(xiǎn)值CVa R�？梢詫�(duì)30天的單支外匯風(fēng)險(xiǎn)值進(jìn)行較準(zhǔn)確地預(yù)測(cè)。在建立GATCH-POT模型的基礎(chǔ)上,通過(guò)引入多元正態(tài)Copula模型、多元t-Copula模型以及多元時(shí)變Copula模型,聯(lián)立美元、歐元、日元以及港幣4組外匯殘差序列的邊緣分布進(jìn)而形成一個(gè)統(tǒng)一的聯(lián)合分布,可以計(jì)算出中國(guó)外匯投資組合的風(fēng)險(xiǎn)價(jià)值。并在風(fēng)險(xiǎn)最小原則下,度量出4種外匯的最優(yōu)投資比例,進(jìn)而計(jì)算出4組外匯投資的最佳比例,為投資者提供了投資決策的重要依據(jù)。
[Abstract]:In 2008, after the outbreak of the American financial crisis, the assets of various countries began to be redistributed, and the volatility of the global foreign exchange market intensified. Under the background of the post-financial crisis, the risk of China's foreign exchange market in the stage of foreign exchange reform was studied. And to measure it is significant for domestic investors. Through the January 2nd 2008 to March 9th 2015 dollar, the euro. The logarithmic rate of return of the exchange rate of yen and Hong Kong dollar to RMB is statistically tested, and it can be seen that the series of four groups of foreign exchange data rate of return all have the characteristics of "biased peak and thin tail". There are autocorrelation, partial autocorrelation and heteroscedasticity effects. The GARCH model based on the above characteristics can well reflect the volatility of China's foreign exchange market returns. The GARCH model is effective in describing the data volatility, but the tail fitting of the sequence is not very good. Therefore, the extreme value theory is introduced into the residual of the description model to compensate for the shortage of the GARCH model. In order to describe the point of residual tail effectively, the threshold value u of POT model is determined by Hill estimation method, and then the upper and lower tail parameters of POT threshold model are estimated. CVa R risk measurement method is simultaneous. The risk value V a R and the conditional risk value CVa R of a single foreign exchange can be calculated. The risk value of a single foreign exchange for 30 days can be accurately predicted. Based on the establishment of GATCH-POT model. By introducing the multivariate normal Copula model, the multivariate t-Copula model and the multivariate time-varying Copula model, the United States dollar and euro are established. The marginal distribution of the four groups of foreign exchange residuals in yen and Hong Kong dollars forms a unified joint distribution, which can calculate the risk value of China's foreign exchange portfolio, and under the principle of minimum risk. The optimal investment proportion of four kinds of foreign exchange is measured, and the best proportion of four groups of foreign exchange investment is calculated, which provides an important basis for investors to make investment decisions.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類(lèi)號(hào)】：F832.6;F224

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