本文關(guān)鍵詞：基于VaR方法我國股指期貨風(fēng)險(xiǎn)控制研究　出處：《鄭州大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：股指期貨從誕生之日起,至今已經(jīng)有三十年。它在活躍金融市場(chǎng)、風(fēng)險(xiǎn)對(duì)沖、價(jià)格發(fā)現(xiàn)上起到了很好的作用。世界各國紛紛建立股指期貨市場(chǎng),各種股指期貨相關(guān)品種也層出不窮。但是,股指期貨市場(chǎng)發(fā)生了很多重大風(fēng)險(xiǎn)事件,每一個(gè)重大事件都嚴(yán)重影響了金融市場(chǎng)的健康發(fā)展。我國股指期貨市場(chǎng)成立于2010年4月16日,成立到現(xiàn)在發(fā)展迅猛,但是作為新興的市場(chǎng),我國的市場(chǎng)機(jī)制還不健全,控制股指期貨的風(fēng)險(xiǎn),防患于未然,就顯得尤為重要。 本文首先分析了國內(nèi)外學(xué)者對(duì)股指期貨的研究現(xiàn)狀,提出了切入點(diǎn)和研究思路,接著對(duì)股指期貨的基本概念、特點(diǎn)、發(fā)展歷程和風(fēng)險(xiǎn)種類進(jìn)行了綜述,然后分析了我國股指期貨發(fā)展到目前的基本狀況、存在的風(fēng)險(xiǎn)；其次,本文對(duì)風(fēng)險(xiǎn)管理方法——波動(dòng)性分析和敏感性分析以及VaR方法優(yōu)缺點(diǎn)作了詳細(xì)探討和比較,選擇用VaR方法對(duì)我國股指期貨日內(nèi)波動(dòng)風(fēng)險(xiǎn)進(jìn)行實(shí)證計(jì)算和預(yù)測(cè),并且借助GARCH模型對(duì)未來三個(gè)月的VaR波動(dòng)風(fēng)險(xiǎn)作了預(yù)測(cè),對(duì)不能用VaR方法解決的重大事件產(chǎn)生的影響作了壓力測(cè)試,然后給出了實(shí)證分析結(jié)論和不足；最后,結(jié)合我國股指期貨運(yùn)行的現(xiàn)狀,提出了政策建議。
[Abstract]:Stock index futures has been 30 years since its birth. It has played a very good role in the active financial market, risk hedging, price discovery. Countries around the world have established stock index futures market. A variety of stock index futures related varieties are also emerging. However, a lot of major risk events have taken place in the stock index futures market. Every major event has seriously affected the healthy development of the financial market. China's stock index futures market was established in April 16th 2010, the establishment of the rapid development since now, but as a new market. The market mechanism of our country is not perfect, it is very important to control the risk of stock index futures and prevent trouble. This paper first analyzes the domestic and foreign scholars on the stock index futures research status, put forward the breakthrough point and research ideas, then the basic concept of stock index futures, characteristics, development process and risk types are summarized. Then it analyzes the development of stock index futures in China to the current basic situation, the existing risks; Secondly, this paper discusses and compares the risk management method-volatility analysis and sensitivity analysis, as well as the advantages and disadvantages of VaR method in detail. Choose to use VaR method to carry out empirical calculation and prediction of intraday volatility risk of stock index futures in China, and use GARCH model to predict the volatility risk of VaR in the next three months. The influence of major events that can not be solved by VaR method is tested, and the conclusions and shortcomings of empirical analysis are given. Finally, combined with the current situation of stock index futures in China, put forward policy recommendations.
【學(xué)位授予單位】：鄭州大學(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)：1380906