本文選題：風(fēng)險管理 + CVaR　； 參考：《湖南大學(xué)》2012年碩士論文

【摘要】：自2006年QDⅡ制度推出以來，QDⅡ產(chǎn)品的整體跌幅遠(yuǎn)超海外各指數(shù)，其業(yè)績慘淡除了因為全球經(jīng)濟低迷，另一主要原因是QDⅡ產(chǎn)品主要投資于海外和香港上市的中國境內(nèi)公司，資產(chǎn)配置缺乏國際性。采用CVaR度量QDⅡ產(chǎn)品風(fēng)險，并從投資組合優(yōu)化的角度對我國QDⅡ產(chǎn)品的資產(chǎn)配置進(jìn)行分析，對我國QDⅡ產(chǎn)品的管理和發(fā)展具有實際意義。 CVaR作為一致性風(fēng)險度量方法，在投資組合風(fēng)險度量和優(yōu)化中得到廣泛應(yīng)用，但CVaR作為一種尾部風(fēng)險度量方法，受收益率尾部分布影響很大。因此，應(yīng)用EVT對資產(chǎn)收益率尾部分布建模，能比較準(zhǔn)確地刻畫收益率尾部分布，從而更精確度量投資組合CVaR。Copula函數(shù)能夠有效解決投資組合收益率多元正態(tài)分布假設(shè)存在的問題，而傳統(tǒng)靜態(tài)Copula方法在實際應(yīng)用中存在局限性。因此，采用Engle提出的DCC方法將條件Gaussian Copula和t Copula的相關(guān)結(jié)構(gòu)動態(tài)化，對資產(chǎn)收益率新息過程之間的相依結(jié)構(gòu)進(jìn)行度量，構(gòu)造投資組合收益率的多元聯(lián)合分布函數(shù)。然后，結(jié)合Monte Carlo方法，應(yīng)用均值-CVaR模型進(jìn)行QDⅡ產(chǎn)品組合優(yōu)化和風(fēng)險分析。最后利用來自MSCI公司的四個指數(shù)進(jìn)行實證研究。 實證結(jié)果表明DCC-Gaussian Copula和DCC-t Copula模型下的CVaR值均小于相應(yīng)常態(tài)Copula計算的風(fēng)險值，靜態(tài)Copula在一定程度上夸大了投資組合的風(fēng)險；收益率一定時，DCC-t Copula度量的QDⅡ產(chǎn)品的風(fēng)險值總小于相應(yīng)DCC-Gaussian Copula度量的風(fēng)險值；風(fēng)險規(guī)避型投資者的資產(chǎn)配置應(yīng)以發(fā)達(dá)市場為主，在發(fā)達(dá)市場的資產(chǎn)配置高達(dá)45%左右；基于投資組合的優(yōu)化理論，為了獲得更高的收益，QDⅡ產(chǎn)品應(yīng)降低在發(fā)達(dá)國家和新興市場的資產(chǎn)配置比例，將更多的資金投向中國A股和在海外上市的中資股票。綜合來看，QDⅡ產(chǎn)品管理人應(yīng)該采取“自上而下”資產(chǎn)配置策略，現(xiàn)階段的投資方式應(yīng)以“被動型”投資策略為主，，精選個股策略為輔。
[Abstract]:Since the introduction of the QD II system in 2006, the overall decline of the QD II product is far beyond the overseas index, with a dismal performance in addition to the global economic downturn, another major reason is that the QD II products are mainly invested in overseas and Hongkong listed Chinese domestic companies, and the asset allocation is not international. The risk of QD II products is measured by CVaR and from the investment portfolio. The analysis of asset allocation of QD II products in China from the perspective of optimization has practical significance for the management and development of QD II products in China.
As a method of consistency risk measurement, CVaR is widely used in portfolio risk measurement and optimization, but as a tail risk measurement method, CVaR is greatly influenced by the tail distribution of return rate. Therefore, using EVT to model the tail distribution of asset yield rate can depict the tail distribution of yield more accurately and thus more accurate. The portfolio CVaR.Copula function can effectively solve the problem of the multivariate normal distribution hypothesis of the portfolio return rate, while the traditional static Copula method has limitations in the practical application. Therefore, the DCC method proposed by Engle is used to dynamically change the related structure of the conditional Gaussian Copula and t Copula. The dependent structure of the interdependence is measured and the multiple joint distribution function of investment portfolio returns is constructed. Then, combined with the Monte Carlo method, the combination optimization and risk analysis of QD II products are carried out by means of the mean -CVaR model. Finally, the four indices from MSCI company are used to carry out an empirical study.
The empirical results show that the CVaR value under the DCC-Gaussian Copula and DCC-t Copula model is less than the corresponding normal Copula calculation, and the static Copula exaggerates the risk of the portfolio to a certain extent; when the return rate is certain, the risk value of the QD II product of DCC-t Copula measure is less than the risk value of the corresponding DCC-Gaussian Copula measure. The asset allocation of risk averse investors should be based on the developed market, and the asset allocation in the developed market is up to 45%. Based on the portfolio optimization theory, in order to obtain higher income, QD II products should reduce the proportion of asset allocation in developed and emerging markets and invest more funds in China's A shares and overseas listing. In a comprehensive view, the QD II product manager should adopt the "top-down" asset allocation strategy. The current investment mode should be based on the "passive" investment strategy and select the strategy as a supplement.

【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】：F224;F832.51

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