本文關(guān)鍵詞： 在險(xiǎn)價(jià)值VaR Copula GARCH R軟件　出處：《天津財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國(guó)外匯市場(chǎng)的不斷規(guī)范化,買賣股票得到的收益大幅縮減,不少個(gè)人或機(jī)構(gòu)投資者把目光逐漸轉(zhuǎn)入外匯市場(chǎng)。近十年來我國(guó)興起了一種新型的外匯交易方式一一外匯保證金交易。這類交易利用杠桿原理,只用少量的保證金就能進(jìn)行交易從而獲取較高收益。目前,外匯交易已成為我國(guó)股票市場(chǎng)以外最大的投資市場(chǎng)。保證金交易高收益的背后隱含著高風(fēng)險(xiǎn)。因此,對(duì)外匯投資的風(fēng)險(xiǎn)研究與管理對(duì)我們實(shí)際投資具有重要的實(shí)際意義。文章建立了在險(xiǎn)價(jià)值模型(VaR)來對(duì)風(fēng)險(xiǎn)進(jìn)行分析。降低風(fēng)險(xiǎn)的一個(gè)途徑是可以采用多元化投資的策略來規(guī)避風(fēng)險(xiǎn),文章對(duì)外匯的組合投資進(jìn)行了研究。兩種金融資產(chǎn),或兩種外匯組合之間的相關(guān)結(jié)構(gòu)是復(fù)雜的。對(duì)于相關(guān)結(jié)構(gòu),以前的學(xué)者在Copula模型上做了大量的研究,文章在之前學(xué)者研究的基礎(chǔ)之上,對(duì)外匯組合建立Copula模型。建立合適的Copula模型對(duì)于外匯組合的風(fēng)險(xiǎn)分析具有重要的理論意義與應(yīng)用價(jià)值。文章將前人所研究的GARCH模型理論、Copula理論與VaR理論系統(tǒng)地整合起來,并用GARCH-Copula-VaR這個(gè)體系對(duì)實(shí)際問題進(jìn)行實(shí)證研究。首先分別對(duì)美元、英鎊和日元的日對(duì)數(shù)收益率建立GARCH (1,1)模型得出邊緣分布,再對(duì)上述三支外匯的三種組合分別建立Copula模型,找到不同外匯之間的內(nèi)在關(guān)系,并計(jì)算分析各組合的在險(xiǎn)價(jià)值。各外匯組合的在險(xiǎn)價(jià)值VaR序列都通過了VaR的有效性檢驗(yàn),驗(yàn)證了文章理論部分所整合的系統(tǒng)模型GARCH-Copula-VaR的實(shí)用性。最后根據(jù)實(shí)證研究,針對(duì)外匯組合的投資,總結(jié)了規(guī)避風(fēng)險(xiǎn)的方法。文章的創(chuàng)新主要有以下三個(gè)方面：第一,系統(tǒng)地整合了GARCH-Copula-VaR模型,并對(duì)該模型進(jìn)行了改進(jìn)；第二,根據(jù)實(shí)證分析,總結(jié)出在外匯投資中規(guī)避風(fēng)險(xiǎn)的方法；第三,用R軟件對(duì)文章實(shí)證部分的建模進(jìn)行了編程,方便日后的應(yīng)用。
[Abstract]:With the constant standardization of the foreign exchange market in our country, the income from buying and selling stocks has been greatly reduced. Many individuals or institutional investors have gradually turned their attention to the foreign exchange market. In the past decade, a new foreign exchange trading method, foreign exchange margin trading, has emerged in our country. This kind of trading makes use of the principle of leverage. At present, foreign exchange trading has become the largest investment market outside the stock market of our country. There is a high risk behind the high yield of margin trading. The risk research and management of foreign exchange investment is of great practical significance to our actual investment. This paper establishes the value at risk model (VaR) to analyze the risk. One way to reduce the risk is to adopt diversified investment. To avoid risk, This paper studies the portfolio investment of foreign exchange. The correlation structure between two kinds of financial assets or two foreign exchange combinations is complex. For the related structure, previous scholars have done a lot of research on the Copula model. On the basis of previous studies by scholars, The Copula model of foreign exchange combination is established. The establishment of appropriate Copula model is of great theoretical significance and practical value for the risk analysis of foreign exchange portfolio. This paper systematically integrates the GARCH model theory and VaR theory, which have been studied before. The GARCH-Copula-VaR system is used to make an empirical study on the practical problems. Firstly, the GARCH model of the daily logarithmic rate of return of US dollar, sterling and Japanese yen is established to obtain the marginal distribution, and then the Copula model is established for the three combinations of the three foreign currencies mentioned above. Find out the internal relationship between different foreign exchange, and calculate and analyze the risk value of each combination. The VaR sequence of the risk value of each foreign exchange combination has passed the validity test of VaR. The practicability of the system model GARCH-Copula-VaR integrated in the theoretical part of the paper is verified. Finally, according to the empirical research, the paper summarizes the methods of avoiding risk in view of the foreign exchange portfolio investment. The innovation of this paper mainly includes the following three aspects: first, The GARCH-Copula-VaR model is systematically integrated and improved. Secondly, according to the empirical analysis, the methods of avoiding risk in foreign exchange investment are summarized. Thirdly, the modeling of the empirical part of the paper is programmed with R software. Facilitate future applications.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6;F224

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 鄭可;;人民幣加息后的外匯投資亮點(diǎn)[J];新財(cái)經(jīng);2006年10期

2 安妮;;外匯投資“五要”“五不要”[J];卓越理財(cái);2009年06期

3 胡金盛;外匯投資:儲(chǔ)蓄、炒匯、B股交易如何選擇[J];時(shí)代財(cái)會(huì);2001年06期

4 ;外匯投資崇尚“短平快”[J];時(shí)代金融;2004年12期

5 ;吳曉靈:央行首次確認(rèn)成立外匯投資公司[J];金融縱橫;2007年04期

6 柏寶春;王曉藝;;外匯投資實(shí)驗(yàn)教學(xué)方法創(chuàng)新與內(nèi)容設(shè)計(jì)[J];江西金融職工大學(xué)學(xué)報(bào);2009年03期

7 ;外匯投資的幾大心理誤區(qū)[J];中國(guó)工會(huì)財(cái)會(huì);2010年08期

8 張志華;;民間自主外匯投資不再遙遠(yuǎn)[J];金融博覽(財(cái)富);2011年12期

9 胡芳;楊穎君;;中國(guó)擬建3000億美元新外匯投資機(jī)構(gòu) 欲一石二鳥[J];中國(guó)民營(yíng)科技與經(jīng)濟(jì);2011年12期

10 張鶴;;外匯投資巧獲利[J];卓越理財(cái);2008年05期

相關(guān)重要報(bào)紙文章 前10條

1 記者 周自進(jìn) 實(shí)習(xí)記者 呂磊;上海舉辦黃金外匯投資知識(shí)和技巧講座[N];中國(guó)黃金報(bào);2007年

2 本報(bào)記者 白琳;外匯投資市場(chǎng)撲朔迷離[N];中國(guó)商報(bào);2013年

3 張旭東 王宇;央行建議從五方面拓寬外匯投資方式[N];中國(guó)改革報(bào);2007年

4 王保東;外匯投資盡善盡美不易[N];財(cái)經(jīng)時(shí)報(bào);2007年

5 ;外匯投資需要全球戰(zhàn)略眼光[N];中國(guó)聯(lián)合商報(bào);2007年

6 高松濤;日本“藏匯于民”分散央行風(fēng)險(xiǎn)[N];中國(guó)城鄉(xiāng)金融報(bào);2006年

7 俞燕;中人壽獲批14億美元外匯投資額度[N];第一財(cái)經(jīng)日?qǐng)?bào);2006年

8 李濤;俱樂部交易：外匯投資公司“新航路”[N];第一財(cái)經(jīng)日?qǐng)?bào);2007年

9 馬光遠(yuǎn);外匯投資公司應(yīng)先解己憂[N];中國(guó)經(jīng)營(yíng)報(bào);2007年

10 ;外匯投資多元當(dāng)以市場(chǎng)自由為重托[N];21世紀(jì)經(jīng)濟(jì)報(bào)道;2012年

相關(guān)碩士學(xué)位論文 前2條

1 李楠;外匯投資組合的風(fēng)險(xiǎn)分析[D];天津財(cái)經(jīng)大學(xué);2014年

2 張巖;外匯投資組合決策研究[D];天津財(cái)經(jīng)大學(xué);2008年

，

本文編號(hào)：1516138