本文關(guān)鍵詞： 銀行間債券市場 企業(yè)債 綜合風(fēng)險評估 Copula函數(shù) VaR值　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來我國銀行間債券市場企業(yè)債的風(fēng)險問題逐漸引起社會的廣泛關(guān)注，如何科學(xué)評估企業(yè)債綜合風(fēng)險也成為學(xué)術(shù)界探討的重要問題。本文以我國銀行間債券市場企業(yè)債為研宄對象，探宄其綜合風(fēng)險的評估問題。首先，通過分析我國銀行間債券市場企業(yè)債的綜合風(fēng)險及其評估現(xiàn)狀后發(fā)現(xiàn)，當(dāng)前我國企業(yè)債實行國家信譽擔(dān)保，信用風(fēng)險不突出，而流動性風(fēng)險和市場風(fēng)險突顯。其次，構(gòu)建t-GARCH模型以描述流動性風(fēng)險因子和市場風(fēng)險因子的邊緣分布，，運用Copula函數(shù)度量兩類風(fēng)險因子間的相關(guān)關(guān)系，進(jìn)而采用蒙特卡洛模擬綜合評估銀行間債券市場企業(yè)債流動性風(fēng)險和市場風(fēng)險的整體VaR值。最后，將上述基于Copula函數(shù)的蒙特卡洛模擬方法與其他幾種傳統(tǒng)的風(fēng)險評估方法相比較，以探宄更為安全、準(zhǔn)確的綜合風(fēng)險評估方法。 經(jīng)過理論與實證研宄，本文得到如下結(jié)論：基于金融時間序列的尖峰厚尾性、條件方差時變性、波動聚群性-，本文采用的tGARCH模型能夠較好地擬合銀行間債券市場企業(yè)債流動性風(fēng)險因子與市場風(fēng)險因子的邊緣分布，且兩者的波動具有明顯的聚群性和持續(xù)性；同時Archimedean Copula函數(shù)族中的Frank Copula函數(shù)可以很好地描述兩類風(fēng)險因子之間的動態(tài)非線性耦合關(guān)系，且兩類風(fēng)險因子在尾部的相關(guān)性加強(qiáng)，呈現(xiàn)對稱性；通過實證對比簡單加和、聯(lián)合正態(tài)分布和基于Copula函數(shù)的蒙特卡洛模擬VaR方法后發(fā)現(xiàn)，引入Copula函數(shù)后的風(fēng)險度量更為安全、準(zhǔn)確。
[Abstract]:In recent years, the risk of corporate bonds in China's interbank bond market has gradually aroused widespread concern in the society. How to scientifically assess the comprehensive risk of corporate debt has also become an important issue in academic circles. This paper takes the corporate bonds in the interbank bond market of China as the object of study to explore the evaluation of their comprehensive risks. First of all, Based on the analysis of the comprehensive risk of corporate bonds in interbank bond market in China and the present situation of its evaluation, it is found that the credit risk is not prominent, while the liquidity risk and market risk are prominent. Secondly, The t-GARCH model is constructed to describe the edge distribution of liquidity risk factors and market risk factors. The correlation between these two risk factors is measured by Copula function. Then Monte Carlo simulation is used to evaluate the overall VaR value of corporate bond liquidity risk and market risk in the interbank bond market. Finally, The Monte Carlo simulation method based on Copula function is compared with other traditional risk assessment methods in order to explore a more secure and accurate comprehensive risk assessment method. Through theoretical and empirical studies, this paper draws the following conclusions: based on the financial time series, the peak and thick tail, conditional variance time variant, The tGARCH model used in this paper can fit the edge distribution of liquidity risk factor and market risk factor in interbank bond market, and their volatility has obvious clustering and persistence. At the same time, the Frank Copula function in the Archimedean Copula function family can well describe the dynamic nonlinear coupling relationship between the two kinds of risk factors, and the correlation between the two types of risk factors in the tail is strengthened, showing symmetry. After combining normal distribution with Monte Carlo simulation VaR method based on Copula function, it is found that the risk measurement with Copula function is more secure and accurate.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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