本文選題：黃金市場　切入點：風(fēng)險管理　出處：《武漢理工大學(xué)》2013年碩士論文

【摘要】：2008年美國次貸危機(jī)爆發(fā),繼而引發(fā)全球金融危機(jī),全球主要金融資產(chǎn)競相貶值,使國家和個人承受了重大損失。而這段時期黃金價格大幅上揚,顯示了很好的保值增值能力,但黃金理財產(chǎn)品的漲幅經(jīng)常與投資者的預(yù)期背道而馳,在這種情況下對黃金市場進(jìn)行風(fēng)險管理研究顯得很有必要。 中國黃金市場發(fā)展十分迅速,現(xiàn)已成為全球第一產(chǎn)金大國和全球第二黃金消費國,黃金場內(nèi)交易量位居世界第一。但中國黃金市場從2002年開始市場化才經(jīng)歷了十多年的發(fā)展,存在很多問題尚待解決；我國黃金市場結(jié)構(gòu)不完善,黃金投資品種較少,法律法規(guī)滯后,政府存在一定的管制,對我國到黃金市場進(jìn)行風(fēng)險管理分析顯得很有現(xiàn)實意義。 本文重點對中國黃金市場進(jìn)行風(fēng)險管理研究。首先,分析近年來世界主要金融資產(chǎn)走勢和我國黃金市場的發(fā)展情況,說明對我國黃金市場進(jìn)行風(fēng)險管理的研究很有必要,并詳細(xì)介紹了文章的研究背景和研究意義,分析了國內(nèi)外學(xué)者在黃金市場和風(fēng)險管理方面做的一些研究工作,提出了文章的研究方法和創(chuàng)新點。其次,介紹了黃金產(chǎn)品在中國的使用歷史,研究了中國主要黃金市場的發(fā)展情況以及未來發(fā)展趨勢,分析了影響我國黃金價格變動的短期和中長期因素。然后,介紹了風(fēng)險的定義以及度量的方法,描述了VaR方法的定義、基本原理和計算方法；由于黃金時間序列具有尖峰厚尾的特點,直接使用VaR方法效果不好。GARCH類模型能夠很好地處理該類時間序列,這里介紹了5種主要的GARCH類模型,并把VaR方法和GARCH類模型結(jié)合構(gòu)建了VaR-GARCH類模型。接下來對我國黃金市場進(jìn)行實證分析,選取上海黃金交易所2002年10月31日至2013年5月2日的Au99.99現(xiàn)貨每日收盤價為研究對象,根據(jù)信息準(zhǔn)則,認(rèn)定基于t分布的VaR-FGARCH(1,1)模型最好地擬合黃金現(xiàn)貨產(chǎn)品Au99.99的收益率情況；用失敗檢驗法對模型的有效性和準(zhǔn)確性進(jìn)行測試,結(jié)果表明基于t分布的VaR-EGARCH(1,1)模型能夠非常有效的度量黃金現(xiàn)貨產(chǎn)品Au99.99的市場風(fēng)險；同時還對模型的條件方差進(jìn)行了分析,發(fā)現(xiàn)了黃金市場大幅波動時間段和國際國內(nèi)市場的高風(fēng)險區(qū)域相對應(yīng),國內(nèi)黃金市場和國際市場存在一定程度的聯(lián)動。最后,是本文的結(jié)論與建議,給投資者提供一些投資建議,并給出了以后的研究方向。
[Abstract]:In 2008, the subprime mortgage crisis broke out in the United States, which triggered the global financial crisis, and the major financial assets of the world began to depreciate, causing countries and individuals to bear heavy losses. During this period, gold prices rose sharply, showing a good ability to maintain and increase value. But the rise in gold wealth management products often runs counter to investors' expectations, and risk management research in the gold market is necessary. China's gold market has developed very rapidly and has now become the world's largest gold-producing country and the world's second largest gold consumer, with the largest volume of gold trading in the world. However, China's gold market has only experienced more than a decade of development since the beginning of marketization in 2002. There are many problems to be solved, such as the imperfect structure of gold market in our country, the lack of gold investment varieties, the lag of laws and regulations, the existence of certain regulation by the government, and the analysis of risk management to gold market in our country is of great practical significance. This paper focuses on the risk management of China's gold market. Firstly, it analyzes the trend of the world's major financial assets and the development of China's gold market in recent years, and shows that it is necessary to study the risk management of China's gold market. It also introduces the research background and significance of the article, analyzes some research work done by domestic and foreign scholars in gold market and risk management, and puts forward the research methods and innovation points of the article. This paper introduces the history of the use of gold products in China, studies the development of China's main gold markets and its future development trends, and analyzes the short- and medium- and long-term factors that affect the price changes of gold in China. The definition of risk and the method of measurement are introduced, and the definition, basic principle and calculation method of VaR method are described. The direct use of VaR method is not effective. GARCH class model can deal with this kind of time series very well. Five kinds of main GARCH class models are introduced here. The VaR method and the GARCH model are combined to construct the VaR-GARCH model. Then the empirical analysis of the gold market in China is carried out, and the spot daily closing price of Au99.99 from October 31, 2002 to May 2, 2013 is selected as the research object. According to the information criterion, it is concluded that the VaR-FGARCH1) model based on t distribution can best fit the yield of gold spot product Au99.99, and the validity and accuracy of the model are tested by the failure test method. The results show that the VaR-EGARCH1) model based on t distribution can measure the market risk of gold spot product Au99.99 very effectively, and the conditional variance of the model is also analyzed. It is found that there is a certain degree of linkage between the domestic gold market and the international market. Finally, the conclusions and suggestions of this paper are given. To provide investors with some investment advice, and give the direction of future research.
【學(xué)位授予單位】：武漢理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.54

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