開放式股票型基金風(fēng)險度量與控制實(shí)證研究
發(fā)布時間：2018-08-16 17:12
【摘要】：自金融危機(jī)和歐洲主權(quán)債務(wù)危機(jī)爆發(fā)，“金融風(fēng)險的度量和控制”成為了經(jīng)濟(jì)和金融領(lǐng)域出現(xiàn)頻率最高的詞匯，大量由于風(fēng)險控制不足而導(dǎo)致的巨額虧損現(xiàn)象使得金融風(fēng)險的度量和控制變得更為重要。在西方發(fā)達(dá)經(jīng)濟(jì)體國家中，包括銀行、證券公司、投資公司等金融機(jī)構(gòu)，對金融風(fēng)險進(jìn)行定量分析的方法主要使用以VaR模型為代表的風(fēng)險管理工具，其控制體系業(yè)已成熟，VaR模型度量金融風(fēng)險最大的優(yōu)勢在于可以在數(shù)量上給出控制風(fēng)險的幅度，使一些金融風(fēng)險管理的對沖手段得以實(shí)施。在巴塞爾委員會的努力下，VaR模型成為協(xié)會成員的標(biāo)準(zhǔn)風(fēng)險管理工具。但由于VaR模型本身存在著一定的局限性，導(dǎo)致其在極端市場條件下該模型對風(fēng)險的預(yù)估不足，因此，利用改進(jìn)后的CVaR模型度量在市場極端狀態(tài)下的金融風(fēng)險的手段，在近年來發(fā)展得十分迅速，CVaR模型的使用大大提高了金融風(fēng)險管理水平。在我國銀行系統(tǒng)中，作為風(fēng)險管理工具的VaR模型被運(yùn)用得較早，風(fēng)險控制體系也趨于成熟，但是在我國龐大的基金市場上，風(fēng)險控制這個關(guān)鍵環(huán)節(jié)還存在著很多問題，單純運(yùn)用VaR模型研究控制金融風(fēng)險的手段已經(jīng)無法達(dá)到抵御金融風(fēng)險多重性的要求。 本文針對這個問題進(jìn)行深入的研究，并將我國股票型開放式基金的風(fēng)險度量和控制作為重點(diǎn)進(jìn)行研究。在對股票型開放式基金風(fēng)險進(jìn)行充分討論的基礎(chǔ)上，基于VaR及擴(kuò)展模型，對以下問題進(jìn)行了分析：首先，對于基金收益表現(xiàn)的一些統(tǒng)計(jì)特征，，如尖峰、厚尾等，本文運(yùn)用VaR-GARCH模型對基金的風(fēng)險進(jìn)行估計(jì)；其次，對于基金收益可能出現(xiàn)的非對稱性，本文使用VaR-TARCH模型和VaR-EGARCH模型進(jìn)行測量，進(jìn)一步，本文使用蒙特卡洛模擬法，利用計(jì)算機(jī)模擬方式估算VaR；第三，對于各種計(jì)算方法的有效性問題，本文基于Kupiec在1995年提出的失敗率檢驗(yàn)法對各種方法的有效性進(jìn)行評價。第四，由于金融市場經(jīng)常會出現(xiàn)一些極端的市場現(xiàn)象，其主要的表現(xiàn)是市場指數(shù)短期內(nèi)的大幅下降，在面對這樣的極端現(xiàn)象時，VaR方法往往不能有效地度量風(fēng)險，所以本文將利用CVaR對市場的極端現(xiàn)象做出分析和判斷，并得出了相關(guān)的結(jié)論。 本論文實(shí)證研究和分析中所采用的數(shù)據(jù)，均引用2009-2010年34只股票型開放式基金的日凈值數(shù)據(jù)，在此基礎(chǔ)上計(jì)算股票型開放式基金的日收益率。實(shí)證分析、檢驗(yàn)和計(jì)算工作由Eviews計(jì)量軟件和Matlab軟件完成。通過理論分析、模型設(shè)定和實(shí)證檢驗(yàn)，本文得出基本結(jié)論和政策建議：在我國股票型開放式基金業(yè)的風(fēng)險控制過程中，使用VaR和CVaR相結(jié)合的手段是有效的；建立股票型開放式基金風(fēng)險預(yù)警機(jī)制應(yīng)以VaR和CVaR模型相結(jié)合作為研究基礎(chǔ)。
[Abstract]:Since the onset of the financial crisis and the European sovereign debt crisis, "Financial risk measurement and control" has become the most frequently used term in the economic and financial fields. A large number of losses caused by inadequate risk control make the measurement and control of financial risk more important. In the developed western countries, including banks, securities companies, investment companies and other financial institutions, the quantitative analysis of financial risk mainly uses the risk management tools represented by VaR model. The biggest advantage of VaR model in measuring financial risk is that it can give the range of controlling risk in quantity, so that some hedging means of financial risk management can be implemented. With the efforts of Basel Committee, VaR model becomes the standard risk management tool for association members. However, due to the limitations of the VaR model itself, the model does not estimate the risk in the extreme market conditions. Therefore, the improved CVaR model is used to measure the financial risk in the extreme market. In recent years, the application of CVaR model has greatly improved the level of financial risk management. In China's banking system, the VaR model, as a risk management tool, was used earlier and the risk control system tended to be mature. However, in the huge fund market in China, there are still many problems in the key link of risk control. Simply using VaR model to study the means of controlling financial risk can not meet the requirement of resisting the multiplicity of financial risk. This paper focuses on the risk measurement and control of equity open-end funds in China. Based on the full discussion of the risk of equity open-end fund, based on VaR and extended model, the following problems are analyzed: firstly, some statistical characteristics of fund income performance, such as peak, thick tail and so on, are analyzed. This paper uses the VaR-GARCH model to estimate the risk of the fund. Secondly, the paper uses the VaR-TARCH model and the VaR-EGARCH model to measure the potential asymmetry of the fund returns. Furthermore, this paper uses Monte Carlo simulation method. The method of computer simulation is used to estimate VaR. Thirdly, for the validity of various calculation methods, this paper evaluates the effectiveness of these methods based on the failure rate test method proposed by Kupiec in 1995. Fourth, because financial markets often appear some extreme market phenomena, their main performance is the sharp decline of market index in the short term. In the face of such extreme phenomena, VaR method is often unable to effectively measure risk. So this paper will use CVaR to analyze and judge the extreme phenomenon of the market, and draw the relevant conclusions. The data used in the empirical research and analysis in this paper are based on the daily net worth data of 34 open-end stock funds from 2009-2010 to then calculate the daily return rate of equity open-end funds. The empirical analysis, test and calculation are done by Eviews software and Matlab software. Through theoretical analysis, model setting and empirical test, this paper draws the basic conclusions and policy recommendations: in the process of risk control of equity open-ended fund industry in China, the combination of VaR and CVaR is effective; The establishment of stock-based open-end fund risk warning mechanism should be based on the combination of VaR and CVaR model.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
本文編號：2186643
[Abstract]:Since the onset of the financial crisis and the European sovereign debt crisis, "Financial risk measurement and control" has become the most frequently used term in the economic and financial fields. A large number of losses caused by inadequate risk control make the measurement and control of financial risk more important. In the developed western countries, including banks, securities companies, investment companies and other financial institutions, the quantitative analysis of financial risk mainly uses the risk management tools represented by VaR model. The biggest advantage of VaR model in measuring financial risk is that it can give the range of controlling risk in quantity, so that some hedging means of financial risk management can be implemented. With the efforts of Basel Committee, VaR model becomes the standard risk management tool for association members. However, due to the limitations of the VaR model itself, the model does not estimate the risk in the extreme market conditions. Therefore, the improved CVaR model is used to measure the financial risk in the extreme market. In recent years, the application of CVaR model has greatly improved the level of financial risk management. In China's banking system, the VaR model, as a risk management tool, was used earlier and the risk control system tended to be mature. However, in the huge fund market in China, there are still many problems in the key link of risk control. Simply using VaR model to study the means of controlling financial risk can not meet the requirement of resisting the multiplicity of financial risk. This paper focuses on the risk measurement and control of equity open-end funds in China. Based on the full discussion of the risk of equity open-end fund, based on VaR and extended model, the following problems are analyzed: firstly, some statistical characteristics of fund income performance, such as peak, thick tail and so on, are analyzed. This paper uses the VaR-GARCH model to estimate the risk of the fund. Secondly, the paper uses the VaR-TARCH model and the VaR-EGARCH model to measure the potential asymmetry of the fund returns. Furthermore, this paper uses Monte Carlo simulation method. The method of computer simulation is used to estimate VaR. Thirdly, for the validity of various calculation methods, this paper evaluates the effectiveness of these methods based on the failure rate test method proposed by Kupiec in 1995. Fourth, because financial markets often appear some extreme market phenomena, their main performance is the sharp decline of market index in the short term. In the face of such extreme phenomena, VaR method is often unable to effectively measure risk. So this paper will use CVaR to analyze and judge the extreme phenomenon of the market, and draw the relevant conclusions. The data used in the empirical research and analysis in this paper are based on the daily net worth data of 34 open-end stock funds from 2009-2010 to then calculate the daily return rate of equity open-end funds. The empirical analysis, test and calculation are done by Eviews software and Matlab software. Through theoretical analysis, model setting and empirical test, this paper draws the basic conclusions and policy recommendations: in the process of risk control of equity open-ended fund industry in China, the combination of VaR and CVaR is effective; The establishment of stock-based open-end fund risk warning mechanism should be based on the combination of VaR and CVaR model.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
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