本文選題：市場(chǎng)風(fēng)險(xiǎn)　切入點(diǎn)：VaR方法　出處：《安徽大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：我國(guó)股票市場(chǎng)經(jīng)歷了二十多年的發(fā)展,取得了不小的成就,市場(chǎng)規(guī)模不斷擴(kuò)大,交易品種不斷創(chuàng)新,同時(shí),所面臨的風(fēng)險(xiǎn)也日益多樣化、復(fù)雜化�！肮墒杏酗L(fēng)險(xiǎn),入市須謹(jǐn)慎”,這句家喻戶曉的話既提醒了每一位股市參與者所必須面對(duì)的市場(chǎng)風(fēng)險(xiǎn),又告訴我們應(yīng)當(dāng)正確衡量和把握風(fēng)險(xiǎn),這是投資者們需要關(guān)注的重點(diǎn),也是金融機(jī)構(gòu)和監(jiān)管部門建立風(fēng)險(xiǎn)管理體系的核心。圍繞股票市場(chǎng)風(fēng)險(xiǎn)管理這一焦點(diǎn),曾提出過(guò)許多風(fēng)險(xiǎn)度量的技術(shù)和方法,如可以。值作為單只股票總體風(fēng)險(xiǎn)的測(cè)量,CAMP模型中以β值來(lái)決定股票系統(tǒng)風(fēng)險(xiǎn)的大小,敏感性分析法可以揭示股票投資組合價(jià)值如何受市場(chǎng)因素變化影響等等,目前,最為主流的風(fēng)險(xiǎn)度量方法是由G30.J. P. Morgan提出的VaR方法,它較以前的方法能夠更加科學(xué)、準(zhǔn)確、實(shí)用而綜合地衡量風(fēng)險(xiǎn),并且與情景分析、壓力測(cè)試和返回檢驗(yàn)等一系列方法融合成為了完備的VaR風(fēng)險(xiǎn)管理體系,被廣泛應(yīng)用于市場(chǎng)風(fēng)險(xiǎn)的計(jì)量與管理,在短期內(nèi)迅速獲得包括國(guó)際清算銀行、巴塞爾委員會(huì)等官方機(jī)構(gòu)以及銀行、保險(xiǎn)、證券等金融機(jī)構(gòu)的青睞,已發(fā)展為國(guó)際通用的金融風(fēng)險(xiǎn)管理的的新標(biāo)準(zhǔn)。 通過(guò)VaR方法來(lái)研究和分析股票市場(chǎng)風(fēng)險(xiǎn)狀況以實(shí)現(xiàn)有效風(fēng)險(xiǎn)管理的目標(biāo)具有重大的理論與現(xiàn)實(shí)意義。國(guó)外關(guān)于這方面的研究已較為成熟和完善,計(jì)算方法也層出不窮,與之相比,國(guó)內(nèi)的研究則比較落后。近幾年來(lái),隨著我國(guó)股市“大小非”解禁帶來(lái)流通股市值的劇增,以及融資融券、賣空等交易機(jī)制的形成,市場(chǎng)的波動(dòng)已變得更加頻繁,股市風(fēng)險(xiǎn)與日俱增,因而,按照國(guó)際慣例建立起符合標(biāo)準(zhǔn)的VaR風(fēng)險(xiǎn)管理體系將成為必然,而對(duì)VaR做進(jìn)一步深入的研究以掌握其精確的風(fēng)險(xiǎn)度量技術(shù)正是關(guān)鍵所在。 本文即從理論與實(shí)證兩方面來(lái)詳細(xì)闡述VaR方法的內(nèi)容及其在我國(guó)股票市場(chǎng)中的應(yīng)用。首先,理論上主要介紹了VaR產(chǎn)生的背景、意義、國(guó)內(nèi)外相關(guān)的研究,闡述了VaR的基本內(nèi)涵、特點(diǎn)以及主要的計(jì)算方法,并對(duì)各種方法加以適當(dāng)?shù)谋容^分析。其次,實(shí)證方面則研究了VaR方法在我國(guó)股市風(fēng)險(xiǎn)度量中的應(yīng)用,主要是以滬深300指數(shù)為研究對(duì)象,對(duì)其日收益率序列分別建立ARCH模型和不同滯后期下的GARCH模型,基于所建立的模型對(duì)VaR值進(jìn)行計(jì)算,并比較不同模型所估計(jì)結(jié)果的優(yōu)劣。研究結(jié)果表明,在正常的市場(chǎng)狀況下,利用GARCH(1,1)模型對(duì)我國(guó)滬深股市風(fēng)險(xiǎn)價(jià)值(VaR)的估計(jì)最為有效,并通過(guò)返回檢驗(yàn)發(fā)現(xiàn)使用VaR方法得到的單日可能最大損失值比股市傳統(tǒng)的10%漲跌幅限制下可能的最大損失值要小,即能夠更加精確的衡量股票市場(chǎng)風(fēng)險(xiǎn)損失,從而為設(shè)置風(fēng)險(xiǎn)資本規(guī)模提供合理的依據(jù),這樣既能有效規(guī)避市場(chǎng)風(fēng)險(xiǎn),又能防止資本浪費(fèi),提高資金使用效率,因而體現(xiàn)了論文研究的核心價(jià)值。
[Abstract]:After more than 20 years of development, the stock market of our country has made great achievements, the market scale is expanding constantly, the trading variety is constantly innovating, at the same time, the risks are becoming more and more diversified and complicated. "there are risks in the stock market. "be cautious in entering the market." this household word reminds every participant of the market risks that they have to face, and tells us that risk should be properly measured and grasped, which is the focus of investors' attention. It is also the core of the risk management system established by financial institutions and regulatory authorities. Around the focus of risk management in the stock market, many techniques and methods for risk measurement have been put forward. If the value can be used as a measure of the overall risk of a single stock, the size of the stock system risk is determined by the 尾 value in the camp model, the sensitivity analysis method can reveal how the value of the stock portfolio is affected by the changes of market factors and so on. The most popular method of risk measurement is the VaR method proposed by G30. J. Morgan, which is more scientific, accurate, practical and comprehensive in measuring risk than previous methods, and can be used in conjunction with scenario analysis. A series of methods, such as stress test and return test, have been integrated into a complete VaR risk management system, which has been widely used in the measurement and management of market risk. In the short term, it has been quickly acquired, including the Bank for International Settlements (BIS). The favor of official institutions such as the Basel Committee and financial institutions such as banks, insurance and securities has developed into a new international standard for financial risk management. It is of great theoretical and practical significance to study and analyze the risk situation of stock market by VaR method in order to realize the goal of effective risk management. By contrast, domestic research has lagged behind. In recent years, with the sharp increase of market value in circulation brought about by the lifting of the ban on the stock market, as well as the formation of trading mechanisms such as margin trading, short selling and so on, market fluctuations have become more frequent. The stock market risks are increasing day by day, therefore, it is inevitable to establish a VaR risk management system in accordance with international practice, and it is the key to do further in-depth research on VaR to master its accurate risk measurement technology. This paper elaborates the content of VaR method and its application in Chinese stock market from both theoretical and empirical aspects. Firstly, it introduces the background, significance and related research of VaR in theory. This paper expounds the basic connotation, characteristics and main calculation methods of VaR, and makes a proper comparative analysis of various methods. Secondly, the paper studies the application of VaR method in China's stock market risk measurement. Taking the CSI 300 index as the research object, the ARCH model and the GARCH model under different lag periods are established for the daily yield series, and the VaR value is calculated based on the established model. The results show that under normal market conditions, the GARCH1) model is the most effective method to estimate the risk value of Shanghai and Shenzhen stock markets. And through the return test, we find that the maximum loss value obtained by using the VaR method is smaller than the possible maximum loss value under the limit of the stock market's traditional rise and fall of 10%, that is, it can measure the risk loss of the stock market more accurately. Thus it can provide a reasonable basis for setting up the scale of venture capital, which can effectively avoid market risk, prevent the waste of capital and improve the efficiency of capital utilization, so it reflects the core value of the thesis.
【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

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