本文關(guān)鍵詞：風(fēng)險評價的VaR方法及應(yīng)用　出處：《青島大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： VaR GARCH Cornish-Fisher Chebyshev-Markov

【摘要】：經(jīng)濟全球化帶來的全球競爭,使我國的金融市場在這幾年內(nèi)風(fēng)起云涌,變化不斷,全球各個國家的金融市場大都出現(xiàn)波動,使得各個國家都把風(fēng)險管理放在了比較首要的位置。一個主要的風(fēng)險度量方法就是VaR,即風(fēng)險價值,VaR方法使得金融產(chǎn)品或組合的風(fēng)險能夠用一個可與其收益匹配的簡單的數(shù)字來表示,方便地度量金融市場的風(fēng)險水平。本文介紹了VaR的一些基本概念和性質(zhì),建立了VaR的點估計以及區(qū)間估計。本文用VaR與GARCH類模型相結(jié)合,建立正態(tài)分布、t分布以及GED分布下GARCH類模型,得到VaR的點估計和區(qū)間估計,并將其與Cornish-Fisher展開式和Chebyshev-Markov近似分位數(shù)得到的VaR的點估計和區(qū)間估計進行比較,其中點估計利用Kupiec提出的返回檢驗的方法作為比較準(zhǔn)側(cè),區(qū)間估計利用覆蓋率(CP)、參數(shù)落在區(qū)間上側(cè)的錯誤概率(Upper)、參數(shù)落在區(qū)間下側(cè)的錯誤概率(Lower)以及區(qū)間長度的中位數(shù)(Med)來作為比較準(zhǔn)則,最后發(fā)現(xiàn)利用在GED分布的EGARCH模型下,Chebyshev-Markov(CM)近似分位數(shù)得到的VaR的估計效果較好。
[Abstract]:The global competition brought by economic globalization makes the financial market of our country surge and change in the past few years, the financial market of every country of the whole world appears the fluctuation mostly. Make each country put risk management in a more important position. One of the main risk measurement method is VaR, that is, the value of risk. The VaR approach enables the risk of a financial product or portfolio to be represented by a simple number that can match its earnings. This paper introduces some basic concepts and properties of VaR, establishes the point estimation and interval estimation of VaR. In this paper, we combine VaR with GARCH model. The model of GARCH class under normal distribution and GED distribution is established, and the point and interval estimates of VaR are obtained. It is compared with the point and interval estimates of VaR obtained by Cornish-Fisher expansion and Chebyshev-Markov approximate quantiles. The point estimation uses the method of return test proposed by Kupiec as the relative quasi-side, and the interval estimation uses the coverage rate to estimate the error probability of the parameter falling on the upper side of the interval (Upper). The error probability of the lower side of the interval and the median Meder of the interval length are used as the comparison criteria. Finally, it is found that the parameters are used in the EGARCH model of the GED distribution. The VaR estimated by Chebyshev-Markov-CM) approximate quantiles is effective.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F832.5

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本文編號：1413197