本文關(guān)鍵詞： 風(fēng)險(xiǎn)價(jià)值 蒙特卡羅模擬 二階嵌套模擬 條件期望方差　出處：《北京化工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：風(fēng)險(xiǎn)是金融市場不可避免的問題，隨著金融市場進(jìn)一步全球一體化，投資者們迫切需要更精確、更便捷的風(fēng)險(xiǎn)信息。VaR（風(fēng)險(xiǎn)價(jià)值）自被提出以來，一直作為金融機(jī)構(gòu)與投資者最常用的金融工具。風(fēng)險(xiǎn)價(jià)值能全面量化復(fù)雜投資組合的風(fēng)險(xiǎn)，已成為金融界熱點(diǎn)研究問題。 本文基于蒙特卡羅模擬法計(jì)算風(fēng)險(xiǎn)價(jià)值的基礎(chǔ)上，結(jié)合近幾年提出的二階蒙特卡羅模擬，將其結(jié)合中國金融實(shí)際環(huán)境，提出兩種新的計(jì)算風(fēng)險(xiǎn)價(jià)值的方法。論文中首先概述選題的背景和意義、國內(nèi)外文獻(xiàn)綜述、研究的內(nèi)容、方法和創(chuàng)新之處，接著介紹了VaR模型和利用蒙特卡羅模擬法計(jì)算VaR的方法，，隨后介紹了金融資產(chǎn)收益率的統(tǒng)計(jì)學(xué)特征以及傳統(tǒng)蒙特卡羅模擬法計(jì)算VaR的缺陷與不足，并在此基礎(chǔ)上介紹二階蒙特卡羅模擬，即嵌套模擬。我們分別提出用基于嵌套模擬的自適應(yīng)分配算法和基于嵌套模擬估計(jì)條件期望方差的方法來計(jì)算VaR，在理論上整理和論證了樣本抽取和誤差分析以及方差分析的漸近理論等，結(jié)合中國國內(nèi)實(shí)際的股票數(shù)據(jù)進(jìn)行實(shí)證研究，并分別對其模型進(jìn)行有效性檢驗(yàn)。本文的結(jié)論是：利用嵌套模擬來估計(jì)風(fēng)險(xiǎn)，能有效解決傳統(tǒng)蒙特卡羅模擬法的弊端，兩種新的、高效的計(jì)算VaR的方法在中國金融市場實(shí)證研究中得到了很好的印證。 本文針對國內(nèi)金融市場首次利用2階蒙特卡羅模擬來研究金融風(fēng)險(xiǎn)，并提出了能充分利用計(jì)算機(jī)性能的自適應(yīng)分配算法和根據(jù)條件期望的方差來估計(jì)VaR的方法，這兩種基于嵌套模擬的計(jì)算方法對中國股票市場的風(fēng)險(xiǎn)估計(jì)都有很不錯的結(jié)果。
[Abstract]:Risk is an inevitable problem in financial market. With the further globalization of financial market, investors urgently need more accurate and convenient risk information. As the most commonly used financial instrument for financial institutions and investors, the value of risk can comprehensively quantify the risk of complex portfolio, and has become a hot research issue in the financial field. In this paper, based on the Monte Carlo simulation method to calculate the value of risk, combined with the second order Monte Carlo simulation proposed in recent years, combined with the actual financial environment in China. This paper first summarizes the background and significance of the topic, literature review at home and abroad, research content, methods and innovations. Then it introduces the VaR model and the method of using Monte Carlo simulation to calculate VaR, and then introduces the statistical characteristics of the return on financial assets and the defects and shortcomings of the traditional Monte Carlo simulation method for calculating VaR. On this basis, we introduce second-order Monte Carlo simulation, that is, nested simulation. We propose an adaptive allocation algorithm based on nested simulation and a method based on nested simulation to estimate conditional expected variance to calculate VaR. In theory, the paper collates and demonstrates the asymptotic theory of sample sampling, error analysis and variance analysis, and carries out empirical research based on the actual stock data in China. The conclusion of this paper is that using nested simulation to estimate risk can effectively solve the disadvantages of traditional Monte Carlo simulation. The efficient method of calculating VaR is well confirmed in the empirical study of Chinese financial market. In this paper, the second order Monte Carlo simulation is used to study financial risk for the first time in the domestic financial market. An adaptive allocation algorithm which can make full use of computer performance and a method to estimate VaR based on conditional expected variance are proposed. The two methods based on nested simulation have good results for the risk estimation of Chinese stock market.
【學(xué)位授予單位】：北京化工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.9

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