本文選題：外匯儲備 + 熵式風險��； 參考：《東北財經(jīng)大學》2012年碩士論文

【摘要】：隨著經(jīng)濟全球化和我國金融市場改革與對外開放的不斷深化,我國龐大的外匯儲備一方面可以為進口貿(mào)易提供強有力的支撐,另一方面也面臨著越來越復雜的金融風險。同一般商業(yè)銀行外匯資金一樣,中央銀行的外匯儲備在經(jīng)營中也面臨著各式各樣的風險。 長期以來,我國以美元資產(chǎn)為主的外匯儲備結構面臨極大的匯率風險,尤其是在美元貶值的大背景下,美元匯率的走低會直接引起我國外匯儲備賬面資產(chǎn)的縮水。2008年金融危機嚴重打擊了美國經(jīng)濟,導致美元疲軟。從2007年8月美國次貸危機全面爆發(fā)到2008年底,美元對人民幣匯率從7.5600降到6.8346,貶值高達9.6%。若以我國1.9萬億美元的外匯儲備測算,匯率風險造成的損失就高達13782.6億元。 我國大量的美元資產(chǎn)以美國國債形式存在,資產(chǎn)結構較為單一,導致風險較為集中。為擺脫金融危機,美國政府通過的7000億美元的救市計劃需要通過發(fā)行大量的國債來實現(xiàn),這導致已發(fā)行的國債市場價格下跌,而且美聯(lián)儲為刺激經(jīng)濟所采取的連續(xù)降息政策,也導致國債收益率下降。這無疑進一步給我國外匯儲備造成損失。 我國的外匯儲備結構存在期限錯配問題,期限錯配帶來了流動性風險。從我國投資于美元證券的結構可以看出,長期證券投資所占比重較大,相比較而言短期投資所占比重不大。中國持有的美元資產(chǎn)的投資工具和期限結構在不斷調(diào)整。截止至2011年6月中國共持有美元資產(chǎn)1.61萬億。其中,長期債券14793億,短期債券49億,股權投資1265億。長期債中國債、機構債和公司債分別約為11081億、3600億和111億,短期債中國債、機構債和公司債分別約為40億、0.75億和8.47億。 根據(jù)美國財政部公布的各國持有美國證券的資產(chǎn)組合顯示中國的長期債券投資占證券投資總額的90%以上,而短期債券投資僅占證券投資總額的7%。而人民幣升值引發(fā)了大量的國際資本流入,這些資本主要投資于國內(nèi)的債券、股票等流動性較強的金融工具上,也就是說中國把長期投資投到國外,卻引入了大量的短期投資。期限錯配把中國置于巨大的流動性風險面前,一旦資本外逃,東南亞金融危機就可能重演。 短期內(nèi),我國的外匯儲備還會繼續(xù)主要投資于美元,美元資產(chǎn)內(nèi)部的結構調(diào)整更適合中國當前外匯儲備管理現(xiàn)狀。綜上所述,巨額美元資產(chǎn)的有效管理對于研究如何有效地察覺和防范我國外匯儲備資產(chǎn)面臨的風險,得到我國外匯儲備的最優(yōu)投資組合意義重大。金融風險管理的基礎與前提是風險度量。只有科學準確地度量風險的大小,才可以為風險管理奠定良好的基礎。資產(chǎn)管理者及監(jiān)管者對風險進行管理時,需要知道風險的大小,如果不能對風險進行科學計量,就不能對風險進行有效管理,所以,對于巨額美元資產(chǎn)的有效管理離不開對其可能帶來的風險的科學計量。 Shannon在研究數(shù)學通訊理論時發(fā)現(xiàn)了信息熵理論,它是研究信息系統(tǒng)不確定性測度的指標。由于金融投資風險是金融投資收益不確定性的體現(xiàn),所以,這一理論也被用于金融投資風險的計量中。 信息熵作為金融投資風險(不確定性)的計量指標概念清晰、意思明了,將系統(tǒng)的不確定性用統(tǒng)一的數(shù)字來反映,為不同系統(tǒng)不確定性之間的比較提供了客觀的標準,除此之外,熵式風險計量的結果與投資者對資產(chǎn)的預期收益率有關,因此,它具有風險事先計量的特征。采用風險的熵式度量原理,本文度量了我國外匯儲備中的短期和中期美國國債的熵式風險。 但是,該指標沒有突出損失與收益的差別,這與投資者的心理感受不同,而且,沒有考慮損失的大小,而僅考慮各種狀態(tài)分布的概率。為了使得金融資產(chǎn)的風險能夠具體量化為一個與收益相配比的數(shù)字,突出損失與收益的差別,從而符合投資者的心理感受,引入風險計量的VaR方法。 VaR方法計量金融風險含義簡潔、價值判斷比較直觀,使得金融資產(chǎn)的風險能夠具體量化為一個與收益相配比的數(shù)字,突出了損失與收益的差別,這與投資者的心理感受相符,從而有利于資產(chǎn)管理目標的實現(xiàn)。并且,VaR方法計量金融風險時,考慮了投資決策者所處的具體環(huán)境,使風險度量及決策更具有可操作性。 在完成金融風險計量的基礎上我們開始研究金融風險管理。馬柯維茲的資產(chǎn)組合理論是研究期望收益和方差的組合,馬柯維茲的資產(chǎn)組合理論一個最基本的假設就是投資者期望在給定的風險水平下獲得最大的投資收益,或者在相同的收益水平下,能夠承擔最小的風險。資產(chǎn)組合理論假設投資者都是風險厭惡的,也就是說,在收益相同的兩種資產(chǎn)之間他們會選擇風險水平較低的。 馬柯維茲的經(jīng)典理論的思路可以表述為如下四個階段：首先,區(qū)分有效的資產(chǎn)組合和無效的資產(chǎn)組合；其次,描述有效資產(chǎn)組合的收益性與不確定性(風險),即用期望收益和方差來描述有效資產(chǎn)組合；再次,選擇最能滿足投資者期望效用的收益和不確定性的組合：最后,確定滿足投資者效用最大化的這種投資組合的資產(chǎn)構成。但是,均值-方差的資產(chǎn)組合的分析方法只是提供收益率相對于均值對稱性離散的程度,馬柯維茲自己也指出應該用其他方法來代替和補充。 針對模型中以方差或標準差作為風險計量的指標,許多學者提出批評：其中顯而易見的一點是,方差是用來反應收益率的易變性或不確定性的,正負偏差之間具有對稱性,然而損失和利得對于風險的貢獻度是不同的,投資者對于偏離均值的上下偏差具有明顯不同的看法,所以,收益率的方差計量風險違背了投資者對風險的真實心理感受。因此,有必要將“均值-方差”資產(chǎn)組合管理中的風險計量指標替換為VaR,從而引出如下的“均值-VaR”資產(chǎn)組合管理模型。我們運用“均值-VaR”資產(chǎn)組合管理模型,利用LING012實證研究了不同收益率要求下的非長期國債、長期國債、抵押債、公司債、股權等美元資產(chǎn)的最優(yōu)投資組合。
[Abstract]:With the economic globalization and the deepening of China's financial market reform and opening to the outside world, China's huge foreign exchange reserves can provide strong support for import trade on the one hand, and more and more complex financial risks on the other hand. The foreign exchange reserve of the central bank, like the foreign exchange funds of the general commercial banks, is also in operation. There are all kinds of risks.
For a long time, the foreign exchange reserve structure based on US dollar assets is facing great exchange rate risk, especially in the background of the depreciation of the dollar. The decline of the dollar exchange rate will directly cause the shrinking of the foreign exchange reserve account assets of our country in.2008 years. The financial crisis has severely hit the United States economy and led to the weakening of the dollar. From August 2007, the subprime mortgage in the United States was subprime. The crisis broke out by the end of 2008, the dollar fell from 7.5600 to 6.8346 of the RMB exchange rate from 7.5600 to 9.6%., as high as $1 trillion and 900 billion of foreign exchange reserves in China, and the loss caused by exchange rate risk was up to 1 trillion and 378 billion 260 million yuan.
In order to get rid of the financial crisis, the US government's $700 billion bailout plan needs to be realized by issuing a large amount of treasury bonds to get rid of the financial crisis. This leads to the decline in the price of the issued treasury bond market and the fed to stimulate the economy. The continuous interest rate reduction policy has also led to a decline in the yield of treasury bonds, which will undoubtedly further cause losses to China's foreign exchange reserves.
China's foreign exchange reserve structure has a period of mismatch, which brings liquidity risk. From the structure of our investment in US dollar securities, it can be seen that the proportion of long-term securities investment is larger than that of short-term investment. The investment tools and term structure of China's dollar assets are constantly adjusted. As of June 2011, China held a total of 1 trillion and 610 billion dollar assets, including long-term bonds of 14793 billion, short-term bonds 4 billion 900 million, equity investment 126 billion 500 million. Long term debt of China, institutional bonds and corporate bonds were about 11081 billion, 360 billion and 11 billion 100 million, short term debt of China, institutional debt and corporate debt of 4 billion, 75 million and 847 million, respectively.
According to the United States Treasury's portfolio of assets held by the US securities, China's long-term bond investment accounts for more than 90% of the total stock investment, while the short-term bond investment accounts for only 7%. of the total amount of securities investment, while the appreciation of the RMB has triggered a large amount of international capital inflows, which are mainly invested in domestic bonds, stocks and other flows. On the more dynamic financial instruments, that is to say, China has invested long term investment abroad, but has introduced a large amount of short-term investment. The mismatch put China in the face of huge liquidity risk. Once capital escaping, the financial crisis in Southeast Asia may repeat itself.
In the short term, China's foreign exchange reserves will continue to be mainly invested in US dollars, and the structural adjustment within the US dollar assets is more suitable for the current situation of China's current foreign exchange reserve management. In summary, the effective management of the huge dollar assets will be used to study how to effectively detect and prevent the risks faced by our foreign exchange reserve assets. The basis and premise of the financial risk management is the risk measurement. Only the scientific and accurate measurement of the size of the risk can lay a good foundation for the risk management. When the asset manager and the supervisor are managing the risk, it needs to know the size of the risk, and if the risk is not measured scientifically, it will not be possible. It can effectively manage risks, so the effective management of huge dollar assets is inseparable from the scientific measurement of the risks it may bring.
Shannon found the theory of information entropy in the study of the theory of mathematical communication. It is an indicator of the uncertainty measurement of the information system. Because the risk of financial investment is the embodiment of the uncertainty of the financial investment income, this theory is also used in the measurement of the risk of financial investment.
The concept of information entropy as a measurement index of financial investment risk (uncertainty) is clear. It is clear that the uncertainty of the system is reflected by a unified number, which provides an objective standard for the comparison of the uncertainty of different systems. In addition, the results of entropy risk measurement are related to the expected rate of return on assets by the investors, so the results of the entropy risk measurement are related to the expected returns of the assets. It has the characteristics of risk beforehand measurement. By using the entropy measure principle of risk, this paper measures the entropy risk of the short-term and medium-term treasury bonds in China's foreign exchange reserve.
However, the index does not highlight the difference between the loss and the income, which is different from the investor's psychological feeling, and does not consider the size of the loss, but only considers the probability of a variety of state distribution. In order to make the risk of the financial asset specific as a number that matches the income ratio, the difference between the loss and the income is highlighted, thus conforming to the investment. The psychological experience of investors and the VaR method of risk measurement are introduced.
The VaR method is simple to measure financial risk and is more intuitionistic in value judgment. The risk of financial assets can be quantified as a figure matched with income, which highlights the difference between loss and income. This is in accordance with the psychological feelings of investors and is conducive to the realization of the target of asset management. And when the VaR method is to measure the financial risk, Considering the specific environment of investment decision-makers, risk measurement and decision making are more operational.
On the basis of financial risk measurement, we begin to study financial risk management. Makavitz's portfolio theory is a combination of expected returns and variance. The most basic hypothesis of makovitz's portfolio theory is that investors expect to obtain maximum investment returns at a given risk level, or in the same way. The portfolio theory assumes that investors are all risk aversion, that is, they will choose lower risk levels between the two assets with the same income.
The thinking of makecviz's classic theory can be expressed as four stages as follows: first, distinguish effective portfolio and invalid portfolio; secondly, describe the income and uncertainty (risk) of the effective portfolio, that is, the effective asset portfolio is described with the expected return and variance; and again, the choice is best to meet the investor expectations. The combination of utility's income and uncertainty: finally, determine the asset composition of this portfolio that satisfies the maximization of investor utility. However, the mean variance portfolio analysis method only provides the degree of return relative to the mean symmetry, and makovitz has also pointed out that other methods should be used instead of and supplemented.
In view of the variance or standard deviation as an indicator of risk measurement, many scholars have put forward criticism: the obvious one is that the variance is used to respond to the volatility or uncertainty of the rate of return, and the positive and negative deviations are symmetrical. However, the contribution of loss and gain to risk is different, and the investor's deviation is the same. There is a distinct difference between the upper and lower deviations of the value, so the variance measurement risk of the yield is contrary to the real psychological feeling of the investor. Therefore, it is necessary to replace the risk measurement index of "mean variance" portfolio management to VaR, which leads to the following "mean -VaR" portfolio management model. "Mean -VaR" portfolio management model, using LING012 empirical research on the optimal portfolio of non long-term treasury bonds, long-term treasury bonds, mortgage debt, corporate debt, equity and other dollar assets under the requirements of different rates of return.

【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.6;F224

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本文編號：1810661