發(fā)布時間：2018-05-23 19:23

  本文選題：人民幣兌美元匯率 + CVaR��； 參考：《成都理工大學(xué)》2017年碩士論文

【摘要】：2014年5月以來,美元對全球貨幣走強,進入長期升值通道,在此新背景下,人民幣相對于美元進入貶值周期。在當今錯綜復(fù)雜的國際經(jīng)濟背景下,中國經(jīng)濟結(jié)構(gòu)正在轉(zhuǎn)型,從以前國際貿(mào)易順差過大、外匯儲備高速增長的舊常態(tài)轉(zhuǎn)向國際收支趨于平衡、外匯儲備數(shù)量逐漸減少的新常態(tài)。國際外匯市場匯率變動起伏不定,國與國之間匯率博弈變得更加頻繁,這就使得涉外經(jīng)濟主體處于一種更加嚴峻的匯率風險環(huán)境中,匯率市場的劇烈波動勢必會對其造成很大的影響,這就需要我們對新形勢下的匯率市場風險度量進行更深一步研究。國內(nèi)外學(xué)者已經(jīng)從多個方面對關(guān)于金融市場風險的相關(guān)領(lǐng)域進行了深層次的研究,建立了多種能夠測度全球金融市場風險的研究方法,并將其應(yīng)用到股票、基金、債券等市場風險度量當中進行實證研究,取得了非常好的效果。本文選用了目前國際上最流行的風險測度方法VaR,這也是全球各大金融機構(gòu)采用的風險管理新標準。盡管VaR風險測度方法本身存在著一些缺陷,不滿足一致性公理以及不能預(yù)測極端風險的情況,但是不妨礙本文的應(yīng)用。為了彌補這些不足,國外學(xué)者對VaR風險測度方法進行了擴展,提出了CVaR方法來預(yù)測極端情況下的風險發(fā)生,同時也滿足一致性公理,該方法已經(jīng)在很多研究領(lǐng)域得到了廣泛應(yīng)用,證實了方法的實用性,因此本文也采用了CVaR方法對人民幣匯率風險進行度量,并與VaR風險測度方法計算結(jié)果進行比較。本文以人民幣兌美元匯率作為研究對象,建立人民幣兌美元匯率的對數(shù)收益率時間序列,運用GARCH和EGARCH兩個模型來對匯率波動性進行刻畫,并假設(shè)條件收益率分別服從正態(tài)、學(xué)生t、GED分布進行動態(tài)風險價值VaR和CVaR測度。最終結(jié)果表明在對人民幣兌美元的匯率市場上使用基于EGARCH模型的GED分布下的CVaR方法進行風險價值測度可以有效刻畫極端風險。
[Abstract]:Since May 2014, the dollar has strengthened to the global currency and entered a long-term appreciation channel. Under this new background, the RMB is entering a devaluation period relative to the dollar. Under the complex international economic background, China's economic structure is transforming, from the former international trade surplus, the old normal state of the foreign exchange reserve to the international balance of payments. The exchange rate fluctuations in the international foreign exchange market are fluctuating, and the exchange rate game between countries and countries becomes more frequent. This makes the foreign economy subject in a more severe exchange rate risk environment, which is bound to have a great impact on the exchange rate market, which is necessary. We should make a deeper study of the risk measurement of the exchange rate market under the new situation. Scholars at home and abroad have made a deep study on the related fields of financial market risk from many aspects, and have established a variety of research methods that can measure the risks of global financial markets, and apply them to the market winds of stocks, funds and bonds. This paper selects the most popular risk measurement method VaR in the world, which is also the new risk management standard adopted by the world's major financial institutions. Although the VaR risk measurement method itself has some defects, it does not meet the conformance axiom and can not predict the extreme risk. In order to make up for these shortcomings, in order to make up for these shortcomings, foreign scholars have extended the risk measurement method of VaR, proposed CVaR method to predict the occurrence of risk in extreme cases, and also meet the consistency axiom. This method has been widely used in many research fields, and proved the practicability of the method. This paper also uses the CVaR method to measure the RMB exchange rate risk and compares it with the results of the VaR risk measurement method. In this paper, the RMB / US dollar exchange rate is used as the research object to establish the time series of the RMB's exchange rate on the US dollar exchange rate, and use the two models of GARCH and EGARCH to describe the exchange rate volatility. And assuming that the rate of conditional return obeys normal, the dynamic value VaR and CVaR measure of Student t and GED distribution are measured. The final result shows that using the CVaR method based on the GED distribution based on EGARCH model in the exchange rate market of the RMB against US dollar can effectively depict the extreme risk.
【學(xué)位授予單位】：成都理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F832.6

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本文編號：1926028