本文關(guān)鍵詞：開放式基金風(fēng)險價值測度模型的優(yōu)化與實(shí)證　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： Copula理論 TARCH模型 GPD模型 風(fēng)險價值

【摘要】：我國開放式基金的風(fēng)險管理需要更高的風(fēng)險測量技術(shù)。VaR是目前金融風(fēng)險度量的主流指標(biāo)，其計算有很多種方法。Copula模型可以刻畫變量間非線性、非對稱的相關(guān)結(jié)構(gòu)，并且不限制邊緣分布的類型，使得基于Copula理論的風(fēng)險價值測度模型相比傳統(tǒng)多元分布模型測度更能準(zhǔn)確的測量投資組合的風(fēng)險價值，本文針對現(xiàn)有的GARCH-Copula模型，通過引進(jìn)高斯核函數(shù)估計和GPD模型，提高對多元變量邊緣分布的尖峰厚尾特征擬合的準(zhǔn)確程度，，并考慮了波動集聚性的杠桿效應(yīng)，構(gòu)建了TARCH-GPD-Copula優(yōu)化模型。本文提出的優(yōu)化模型保留了原模型能夠刻畫邊緣分布的波動集聚性的優(yōu)點(diǎn)，同時彌補(bǔ)了原模型不能充分刻畫邊緣分布尖峰厚尾特征的缺陷，提高了對多元變量聯(lián)合分布的擬合準(zhǔn)確性，從而能夠更加準(zhǔn)確的計量投資組合資產(chǎn)的VaR值。優(yōu)化模型的理論意義還在于具有普遍適用性，適用于各類金融資產(chǎn)投資組合風(fēng)險價值的計算。 本文首先從我國開放式基金風(fēng)險管理現(xiàn)狀出發(fā)，引入Copula理論和極值理論，提出采用Copula理論研究風(fēng)險價值測度的必要性。其次在金融風(fēng)險測度的框架下，深入分析了GARCH-Copula模型優(yōu)缺點(diǎn)，在此基礎(chǔ)上提出測度VaR的TARCH-GPD-Copula優(yōu)化模型，并給出其求解步驟及源程序。 本文實(shí)證研究中，以華夏大盤精選混合開放式基金前十只重倉股投資組合為研究對象，運(yùn)用TARCH-GPD-Copula優(yōu)化模型，以蒙特卡洛模擬方法計算其VaR值。同時對比計算了GARCH-Copula模型、方差協(xié)方差法、歷史模擬法下投資組合的VaR值。通過Kupiec檢驗(yàn)比較這四種模型的計算的VaR值的有效性。結(jié)果表明TARCH-GPD-Copula優(yōu)化模型樣本外數(shù)據(jù)測試效果最好，估計的風(fēng)險價值最接近真實(shí)風(fēng)險價值，失敗率最低。實(shí)證結(jié)果與理論一致，從實(shí)證角度驗(yàn)證了理論推測的正確性，希望能為我國的基金管理公司或基金監(jiān)管部門對開放式基金投資組合進(jìn)行風(fēng)險測度提供參考依據(jù)。
[Abstract]:China's open-end fund risk management needs a higher risk measurement technology. VaR is the mainstream index of financial risk measurement. There are many methods. Copula model can describe the nonlinear, asymmetric correlation structure between variables, and does not limit the type of edge distribution. The risk value measurement model based on Copula theory can measure the risk value of portfolio more accurately than the traditional multivariate distribution model. Based on the existing GARCH-Copula model, Gao Si kernel function estimation and GPD model are introduced to improve the accuracy of feature fitting for the edge distribution of multivariate variables. The leverage effect of volatility agglomeration is considered. The optimization model proposed in this paper retains the advantage that the original model can describe the volatility agglomeration of the edge distribution. At the same time, it makes up the defect that the original model can not fully describe the sharp and thick tail features of the edge distribution, and improves the accuracy of fitting the joint distribution of multivariate variables. Therefore, the VaR value of portfolio assets can be measured more accurately. The theoretical significance of the optimization model lies in its universal applicability, which is applicable to the calculation of portfolio risk value of all kinds of financial assets. This paper firstly introduces Copula theory and extreme value theory from the current situation of risk management of open-end funds in China. The necessity of using Copula theory to study risk value measurement is put forward. Secondly, under the framework of financial risk measurement, the advantages and disadvantages of GARCH-Copula model are deeply analyzed. On this basis, the TARCH-GPD-Copula optimization model of measure VaR is proposed, and its solving steps and source program are given. In this paper, we use TARCH-GPD-Copula optimization model to study the portfolio of the top ten heavy stocks in China's large market selected open-end funds. Monte Carlo simulation method is used to calculate the VaR value, and the GARCH-Copula model, variance covariance method, is compared and calculated. The VaR value of the portfolio under the historical simulation method. The validity of the calculated VaR value of the four models is compared by Kupiec test. The results show that the TARCH-GPD-Copula optimization model is effective. The best test effect is out of sample data. The estimated value of risk is closest to the real value of risk, and the failure rate is the lowest. The empirical results are consistent with the theory, which verifies the correctness of the theoretical speculation from the empirical point of view. This paper hopes to provide a reference for fund management companies or fund regulators to measure the risk of open-end fund portfolio.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 梁睿;生命周期基金的資產(chǎn)配置研究[D];東南大學(xué);2016年

本文編號：1356514