金融风险管理中ES度量的非参数方法的比较及其应用

发布时间：2019-02-13 16:23

【摘要】：预期不足(ES)是近几年发展起来的用于测量和控制金融风险的量化工具.在金融时间序列中,将两步核估计应用于两步ES非参数估计之中,得到了ES模型的两步核光滑估计.通过计算其期望和方差,比较了两步核光滑ES估计与ES完全经验估计及一步核光滑估计的优劣,得到了有趣的结论:与VaR模型不同,两步光滑化并不能减小ES估计的方差,反而会增大其方差,并通过计算机模拟证实了理论获得的结论.对国内沪深两市中的封闭式基金进行了实证分析,计算了样本基金的ES完全经验估计、一步核光滑估计和两步核光滑估计,并计算了样本基金基于周收益率和ES的两步核光滑估计的风险调整收益(RAROC),以此对样本基金的业绩做出了评价.实证分析表明:在不同的置信水平下,基于周收益率和ES计算的风险调整收益排名比基于周收益率和VaR计算的风险调整收益排名要更加稳定.
[Abstract]:The expected shortage (ES) is a quantitative tool developed in recent years to measure and control financial risks. In the financial time series, the two-step kernel estimation is applied to the two-step ES non-parameter estimation, and the two-step kernel smooth estimation of the ES model is obtained. By calculating the expectation and variance of the two-step kernel, the advantages and disadvantages of the two-step kernel smooth ES estimation and the ES's complete empirical estimation and the one-step kernel smooth estimation are compared, and the interesting conclusion is obtained that the two-step smoothing is different from the VaR model, and the variance of the ES estimation can not be reduced, and the variance is increased. The conclusions of the theory are verified by computer simulation. Based on the empirical analysis of the closed-end funds in the two cities of Shanghai and Shenzhen, the ES full-experience estimation, one-step kernel smooth estimation and two-step kernel smooth estimation of the sample fund are calculated, and the risk adjustment benefit (RAROC) of the two-step kernel smooth estimation of the sample fund based on the weekly rate of return and the ES is calculated. The performance of the sample fund was evaluated. The empirical analysis shows that at different confidence levels, the ranking of the risk-adjusted returns based on the weekly rate of return and the ES calculation is more stable than the risk-adjusted benefit ranking based on the weekly rate of return and the VaR calculation.
【作者单位】：上海财经大学统计与管理学院;中国科学院数学与系统科学研究院;
【基金】：国家杰出青年基金(70825004) 上海财经大学“211工程”三期重点学科建设项目上海财经大学研究生科研创新基金项目(CXJJ-2010-351) 上海市重点学科建设项目(B803)
【分类号】：F830.9;F224

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