VaR模型在我國股票市場中的實(shí)證研究
發(fā)布時(shí)間：2018-07-23 08:19
【摘要】：2007年爆發(fā)了新一輪的全球金融危機(jī),起因于美國次貸危機(jī)。這場危機(jī)使得華爾街五大投資銀行全軍覆沒,時(shí)至今日,仍然對全球經(jīng)濟(jì)產(chǎn)生巨大的負(fù)面作用。危機(jī)的背后,正是由于市場對于不斷開發(fā)的次貸衍生品缺乏全面有效地風(fēng)險(xiǎn)管理,最終釀成悲劇。近年來,VaR方法逐漸成為國外大多數(shù)金融機(jī)構(gòu)廣泛采用’的金融風(fēng)險(xiǎn)度量方法,這種方法在一定程度上彌補(bǔ)了其它風(fēng)險(xiǎn)度量方法的諸多不足。無疑,將VaR應(yīng)用于證券市場的風(fēng)險(xiǎn)度量對于風(fēng)險(xiǎn)管理方法的進(jìn)一步完善具有重大的理論和實(shí)用價(jià)值。 本文的主要工作如下： 引言闡述了本文研究的背景和意義以及文獻(xiàn)綜述,并介紹了本文的內(nèi)容結(jié)構(gòu)、研究思路。 第1章分析了風(fēng)險(xiǎn)及證券市場風(fēng)險(xiǎn)的含義、特征并進(jìn)行了分類。 第2章介紹了證券市場風(fēng)險(xiǎn)的各種度量方法。 第3章是具體闡述了VaR度量方法的相關(guān)理論,并進(jìn)行歸納、整理,重點(diǎn)對其中的歷史模擬法、Monte Carlo模擬方法和分析方法做了詳細(xì)論述,比較了三種方法的優(yōu)劣。 第4章介紹了VaR模型在我國股票市場中的實(shí)際運(yùn)用。以上證180指數(shù)為研究對象,通過三種方法計(jì)算VaR值,并利用失敗頻率檢驗(yàn)法對結(jié)果的準(zhǔn)確性進(jìn)行檢驗(yàn)與評估。 第5章為本文結(jié)論部分。在前文研究的基礎(chǔ)上總結(jié)出本論文的研究成果：運(yùn)用歷史數(shù)據(jù)法、Monte Carlo模擬法和分析方法的正態(tài)分布模型計(jì)算VaR值存在一定的局限性,無法準(zhǔn)確度量長期風(fēng)險(xiǎn)；我國股票市場的市場化不成熟,尚不能充分有效地運(yùn)用這三種模型對我國長時(shí)期內(nèi)的上證180指數(shù)進(jìn)行風(fēng)險(xiǎn)測量。最后對我國股市風(fēng)險(xiǎn)管理提出建議。
[Abstract]:In 2007, a new round of global financial crisis broke out, resulting from the subprime mortgage crisis in the United States. The crisis wiped out Wall Street's five biggest investment banks and still has a huge negative impact on the global economy. Behind the crisis, it was the market's lack of comprehensive and effective risk management for the ever-developing subprime derivatives that led to tragedy. In recent years, VaR method has gradually become a widely used 'financial risk measurement method in most foreign financial institutions. To some extent, this method has made up for many shortcomings of other risk measurement methods. Undoubtedly, it is of great theoretical and practical value to apply VaR to the risk measurement of securities market for the further improvement of risk management methods. The main work of this paper is as follows: the introduction describes the background and significance of this study and literature review, and introduces the content structure of this paper, research ideas. Chapter 1 analyzes the meaning, characteristics and classification of risk and securities market risk. Chapter 2 introduces various measures of securities market risk. In chapter 3, the related theory of VaR measurement method is elaborated, and summarized and sorted out. The historical simulation method, Monte Carlo simulation method and analysis method are discussed in detail, and the merits and demerits of the three methods are compared. Chapter 4 introduces the practical application of VaR model in Chinese stock market. Taking the 180 index of Shanghai Stock Exchange as the research object, the VaR value is calculated by three methods, and the accuracy of the result is tested and evaluated by using the failure frequency test method. Chapter 5 is the conclusion of this paper. Based on the previous studies, the research results of this paper are summarized: there are some limitations in the calculation of VaR by using the Monte Carlo simulation method and the normal distribution model of the historical data method, which can not accurately measure the long-term risk; The market of our country's stock market is immature, so we can not use these three models to measure the risk of Shanghai Stock Exchange 180 index for a long period of time. At last, some suggestions on risk management of stock market in China are put forward.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51
本文編號：2138778
[Abstract]:In 2007, a new round of global financial crisis broke out, resulting from the subprime mortgage crisis in the United States. The crisis wiped out Wall Street's five biggest investment banks and still has a huge negative impact on the global economy. Behind the crisis, it was the market's lack of comprehensive and effective risk management for the ever-developing subprime derivatives that led to tragedy. In recent years, VaR method has gradually become a widely used 'financial risk measurement method in most foreign financial institutions. To some extent, this method has made up for many shortcomings of other risk measurement methods. Undoubtedly, it is of great theoretical and practical value to apply VaR to the risk measurement of securities market for the further improvement of risk management methods. The main work of this paper is as follows: the introduction describes the background and significance of this study and literature review, and introduces the content structure of this paper, research ideas. Chapter 1 analyzes the meaning, characteristics and classification of risk and securities market risk. Chapter 2 introduces various measures of securities market risk. In chapter 3, the related theory of VaR measurement method is elaborated, and summarized and sorted out. The historical simulation method, Monte Carlo simulation method and analysis method are discussed in detail, and the merits and demerits of the three methods are compared. Chapter 4 introduces the practical application of VaR model in Chinese stock market. Taking the 180 index of Shanghai Stock Exchange as the research object, the VaR value is calculated by three methods, and the accuracy of the result is tested and evaluated by using the failure frequency test method. Chapter 5 is the conclusion of this paper. Based on the previous studies, the research results of this paper are summarized: there are some limitations in the calculation of VaR by using the Monte Carlo simulation method and the normal distribution model of the historical data method, which can not accurately measure the long-term risk; The market of our country's stock market is immature, so we can not use these three models to measure the risk of Shanghai Stock Exchange 180 index for a long period of time. At last, some suggestions on risk management of stock market in China are put forward.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51
【參考文獻(xiàn)】
相關(guān)期刊論文 前9條
1 鄭文通;金融風(fēng)險(xiǎn)管理的VAR方法及其應(yīng)用[J];國際金融研究;1997年09期
2 王春峰,萬海暉,張維;金融市場風(fēng)險(xiǎn)測量的總體框架[J];國際金融研究;1998年09期
3 孫寧華;;金融衍生產(chǎn)品風(fēng)險(xiǎn)度量:從靈敏度到VaR[J];生產(chǎn)力研究;2006年11期
4 吳禮斌;劉和劍;;金融風(fēng)險(xiǎn)度量的VaR方法綜述[J];市場周刊(理論研究);2009年01期
5 胡經(jīng)生,王榮,丁成;VaR方法及其拓展模型在投資組合風(fēng)險(xiǎn)管理中的應(yīng)用研究[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2005年05期
6 蔣中其;熊波;劉小明;;風(fēng)險(xiǎn)管理的VaR方法[J];統(tǒng)計(jì)與決策;2006年01期
7 彭正宇;;淺析VAR分析方法[J];現(xiàn)代經(jīng)濟(jì)(現(xiàn)代物業(yè)下半月刊);2008年01期
8 菊蕊;;VaR的產(chǎn)生、發(fā)展及其在中國股市中的應(yīng)用[J];中外企業(yè)家;2011年04期
9 宋延濤;辛國坤;;證券投資組合的VaR度量方法及實(shí)證分析[J];現(xiàn)代經(jīng)濟(jì)信息;2009年20期
，本文編號：2138778
本文鏈接：http://sikaile.net/guanlilunwen/zhqtouz/2138778.html
最近更新
教材專著
