本文選題：VaR　切入點(diǎn)：Copula函數(shù)　出處：《蘭州大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文綜合介紹了VaR模型理論,對(duì)其產(chǎn)生背景、研究現(xiàn)狀、基本原理、計(jì)算過(guò)程以及方法進(jìn)行了綜述,同時(shí)對(duì)Copula函數(shù)進(jìn)行了系統(tǒng)的梳理和總結(jié).針對(duì)線性相關(guān)系數(shù)與以往常用的分析方法的不足,引入Copula函數(shù)來(lái)刻畫投資組合中不同資產(chǎn)間的相關(guān)結(jié)構(gòu)對(duì)組合的風(fēng)險(xiǎn)進(jìn)行更精確地度量. 通過(guò)VaR模型對(duì)我國(guó)的上證指數(shù)和深成指數(shù)2010年1月25日至2012年12月28日的波動(dòng)性加以實(shí)證分析,進(jìn)行模型檢驗(yàn),從而得出模型有效的結(jié)論.用Copula函數(shù)刻畫上證綜指和深成指數(shù)之間的相關(guān)結(jié)構(gòu)進(jìn)而得到投資組合收益率的聯(lián)合分布,建立了《Copula-VoR-GARCH模型,利用各項(xiàng)資產(chǎn)收盤價(jià)、成交量的歷史數(shù)據(jù),通過(guò)Monte Carlo模擬生成具有Copula相關(guān)結(jié)構(gòu)的收益率分布,得到組合的風(fēng)險(xiǎn)價(jià)值. 本文應(yīng)用Copula-VaR-GARCH模型通過(guò)Monte Carlo模擬計(jì)算投資組合的VaR值,考慮到中國(guó)證券市場(chǎng)收益率序列分布的非正態(tài)性,使用了既能描述方差時(shí)變性又能反映收益率分布的尖峰、厚尾特征的GARCH模型計(jì)算市場(chǎng)指數(shù)的VaR值.最后,在結(jié)論部分針對(duì)文章研究的的價(jià)值及不足之處進(jìn)行了總結(jié)歸納,通過(guò)以上研究,對(duì)探討股票市場(chǎng)波動(dòng)(風(fēng)險(xiǎn))以及與預(yù)期收益之間的關(guān)系具有重要的理論意義和實(shí)用價(jià)值.
[Abstract]:In this paper, the theory of VaR model is introduced, and its background, research status, basic principle, calculation process and methods are summarized. At the same time, the Copula function is systematically combed and summarized. The Copula function is introduced to describe the correlation structure between different assets in the portfolio to measure the risk of the portfolio more accurately. The volatility of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index from January 25th 2010 to December 28th 2012 is empirically analyzed by VaR model. The Copula function is used to depict the correlation structure between Shanghai Composite Index and Shenzhen Composite Index, and then the joint distribution of portfolio returns is obtained. The < Copula-VoR-GARCH model is established, and the historical data of closing price and trading volume of various assets are used. The yield distribution with Copula related structure is generated by Monte Carlo simulation, and the risk value of the portfolio is obtained. In this paper, the Copula-VaR-GARCH model is used to calculate the VaR value of the portfolio by Monte Carlo simulation. Considering the non-normal distribution of the return series in China's securities market, the peak which can describe the variance time-varying and the return distribution is used. The VaR value of the market index is calculated by the GARCH model with thick tail feature. Finally, in the conclusion part, the value and deficiency of the research are summarized and summarized. It is of great theoretical significance and practical value to explore the relationship between volatility (risk) and expected return in stock market.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1600199