本文選題：VaR + 深度學習��； 參考：《蘭州財經(jīng)大學》2017年碩士論文

【摘要】：在美國次貸危機的影響下,全球經(jīng)濟遭遇重創(chuàng)。盡管次貸危機現(xiàn)在已經(jīng)漸漸遠離,但它所產(chǎn)生的傷害仍然繼續(xù),使得人們不得不反思其背后的原因,金融風險管理就是在這個時候逐漸被重新強調(diào)起來的。金融市場風險是由金融資產(chǎn)未來波動的不確定性引起的。由于金融資產(chǎn)的波動會帶動其價值的波動,這些波動一方面造就了金融市場的活躍性和流動性,使得各種經(jīng)濟資產(chǎn)表現(xiàn)為價值運動,但另一方面也會導致經(jīng)濟過渡虛擬,風險和不確定性將被無限放大,給投資人、企業(yè)、社會、國家?guī)砭薮髶p失,甚至引發(fā)金融危機。金融風險管理就是要通過各種技術手段找出各個投資組合的最大可能損失,并在此基礎上進行分析與決策,從而維護金融市場健康穩(wěn)定的發(fā)展。金融風險度量(Financial risk metrics)是金融風險管理中的核心與根本,是金融風險管理的最優(yōu)先問題,它對金融風險管理起著杠桿的作用。傳統(tǒng)的金融風險度量方法是以國外學者發(fā)明的波動率方法為代表,通過測算金融資產(chǎn)收益率的方差或標準差來度量風險大小。由于它只描述了金融資產(chǎn)收益的偏離程度,不能對偏離的方向和損失水平進行說明,導致其應用有限,因而不再很好的適應快速變化的金融發(fā)展。VaR作為一種新的金融風險度量工具問世,打破了以波動率方法為代表的傳統(tǒng)度量方法的統(tǒng)治地位。它通過對金融風險進行定量的計算,從而有效的進行風險分析,更直觀的揭露風險,因而在對金融市場風險度量上得到了廣泛的應用,同時對金融風險的量化管理也起到了顯著的效果。這使得VaR迅速成為標桿,并普遍的被應用于金融市場風險的度量中。盡管VaR的研究歷史悠久。但現(xiàn)有的關于VaR計算方法改進的研究并不多,大部分都集中于研究VaR在各個領域中的應用。尤其是我國對VaR的研究起步相對較晚,其中較多的研究是基于國外已經(jīng)成熟的研究成果,從它們的概念、原理、方法以及運用VaR方法進行實證研究等方面來說明,鮮有學者對VaR計算方法提出架構(gòu),因而忽視了基于VaR的風險測量中存在的一些缺陷。VaR方法是通過對金融資產(chǎn)過去的收益特征進行統(tǒng)計分析來估算未來可能發(fā)生的最大損失。因此,在計算VaR的過程中其精度的高低依賴于對所研究的金融資產(chǎn)收益率的分布的假設和對其方差的估計。這意味著,基于VaR的風險測量方法存在著對樣本數(shù)據(jù)特征的認識不足問題,將導致風險測量的不準確,甚至產(chǎn)生較大的偏差。同時科技的進步,金融市場的不斷變革,使得人工智能在金融分析管理中越來越重要,并引起了學者的高度關注。近幾年,利用深度學習處理大數(shù)據(jù)更是掀起了一股技術方法創(chuàng)新浪潮。給量化金融市場風險上增添了強有力的工具,突破了金融風險度量的盲區(qū)。股票市場是預測未來實體經(jīng)濟發(fā)展和調(diào)動資金流向的重要場所,也是金融市場重要的極重要的一部分。因為股票市場不僅僅是募集資金的場所,它也是是公眾投資理財?shù)闹匾�。股票市場中的股票作為融資理財?shù)膽{證,與人們的經(jīng)濟活動息息相關。而且,股票投資的本身也是進行風險投資。因而,股票市場的波動性可以反映出金融風險的波動性,且可以用它來研究金融風險的度量方法。綜上,研究股票市場的波動性有著代表性意義。因此,本文以我國的股票市場為例,在已有文獻的基礎上,針對目前VaR方法存在的缺陷,提出了基于深度學習的VaR測算。首先對傳統(tǒng)意義上的損失進行改進,使用預期損失,從而更加符合現(xiàn)實中人們對損失的多樣化定義。其次,分別對股票收益率數(shù)據(jù)建立ARCH族模型以及對預期損失建立深度人工神經(jīng)網(wǎng)絡模型,進而對VaR進行更加精確的預測。經(jīng)實證發(fā)現(xiàn),在深度學習下的VaR計算比ARCH族模型下的VaR計算更加精確。說明基于深度學習的VaR計算具有更好的實用性。
[Abstract]:Under the impact of the American subprime crisis, the global economy has been hit hard. Although the subprime crisis is now getting far away, the damage it produces continues to cause people to reflect on the reasons behind it. Financial risk management is gradually reemphasized at this time. The risk of financial markets is the future of financial assets. The volatility of volatility causes the volatility of the value of financial assets. These fluctuations, on the one hand, create the activity and liquidity of the financial market, and make all kinds of economic assets as a value movement, but on the other hand, the economic transition will also lead to the virtual economic transition, and the risks and uncertainties will be magnified indefinitely. The enterprises, the society and the state bring huge losses and even lead to the financial crisis. Financial risk management means to find out the greatest possible losses of each portfolio by various technical means, and to analyze and make decisions on this basis so as to maintain the healthy and stable development of the financial market. The financial risk measurement (Financial risk metrics) is the finance. The core and fundamental of risk management is the most important problem in the management of financial risk. It plays a lever role in the management of financial risk. The traditional method of financial risk measurement is represented by the method of volatility invented by foreign scholars, measuring the risk by measuring the variance or standard deviation of the yield of financial assets. Because it is only described. The deviation degree of the financial assets income can not be explained in the direction of deviation and the level of loss, which leads to the limited application of the financial development, which is no longer good to adapt to the rapid change of financial development.VaR as a new financial risk measurement tool, breaking the dominant position of the traditional measurement method represented by the method of volatility. The quantitative calculation of financial risk, so as to effectively carry on the risk analysis, more intuitively expose the risk, has been widely used in the financial market risk measurement, and also has played a significant effect on the quantitative management of financial risk. This makes VaR quickly become a benchmark and is widely used in the financial market. In the measurement of risk, although VaR has a long history of research, there are few existing researches on the improvement of VaR computing methods. Most of them focus on the study of the application of VaR in various fields. Especially, the research on VaR is relatively late in our country. Many of them are based on the mature research results abroad, from their concepts. Theory, method and empirical research on the use of the VaR method show that few scholars have put forward the framework of VaR calculation method, so that some defects in the risk measurement based on VaR are ignored.VaR method is to estimate the possible maximum loss in the future by statistical analysis of the past income characteristics of financial assets. In the process of calculating VaR, its accuracy depends on the hypothesis of the distribution of the yield of the financial assets studied and the estimation of its variance. This means that the risk measurement method based on VaR has a lack of understanding of the characteristics of the sample data, which will lead to the inaccuracy of the risk measurement and even a larger deviation. The progress and the continuous change in the financial market make the artificial intelligence more and more important in the financial analysis and management, and have aroused the high attention of the scholars. In recent years, the use of deep learning to deal with large data has set off a wave of technological innovation. It has added a powerful tool to quantify the risk of the financial market and broke through the financial risk. The stock market is an important place to predict the development of the future real economy and to mobilize the flow of funds. It is also an important part of the financial market. Because the stock market is not only a place to raise funds, it is also an important channel for public investment in financial management. Stock market shares are used as a voucher for financing and financing. It is closely related to people's economic activities. Moreover, the stock investment itself is also a risk investment. Therefore, the volatility of the stock market can reflect the volatility of the financial risk, and can be used to study the measurement of financial risk. As an example of the stock market, on the basis of the existing literature, in view of the defects existing in the current VaR method, a VaR calculation based on depth learning is proposed. First, the loss in the traditional sense is improved and the expected loss is used, which is more consistent with the diversified definition of the loss in reality. Secondly, the stock return data is set up to be ARCH respectively. The model of the family and a deep artificial neural network model for the expected loss are set up to make a more accurate prediction of the VaR. It is found that the VaR calculation under the depth learning is more accurate than the VaR calculation under the ARCH model. It shows that the VaR calculation based on the depth learning is more practical.
【學位授予單位】：蘭州財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F831

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