基于VaR方法的沪深股市投资风险测度研究

发布时间：2017-12-31 23:31

本文关键词：基于VaR方法的沪深股市投资风险测度研究　出处：《河北工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：一般来说，人们把风险定义为在未来一段时间内净收益的不确定性或者发生损失的可能性。通常，这种不确定性的表现形式会有所差异。为了更加精确地测度风险，后来人们引进了名义值法，波动性和敏感性测度方法。虽然名义值法，敏感性分析以及波动性方法在一定历史阶段发挥了很大作用，从不同角度测度了投资组合或者投资的风险大小，但他们都对多大可能性会产生损失并没有做出回答，，并且对于不同市场中的总风险也无法进行测度。因此，在瞬息万变的金融市场环境下，VaR(ValueatRisk，风险价值)才走上了金融风险测度的历史舞台。本论文回顾了近几年美国次贷危机、欧债危机等对全球经济的影响，以此为背景引申出金融风险管理的重要意义，认真归纳了风险管理技术的在国内外的发展情况，发现VaR技术已经成为国内外学者研究和关注的重点。VaR技术在学者们的关注和研究下得到了快速发展，日益成为主要的风险管理技术。接下来，对金融风险管理的基本理论知识做了简单介绍，并重点介绍了证券投资风险管理的主要程序。并且进一步讲述了风险管理方法的历史演进过程。本论文还对各种VaR模型的优缺点进行了分析评价，并分析提出了在运用过程中可能遇到的问题。紧接着，本论文以沪深300指数为样本数据运用GARCH（1,1）模型对我国沪深股市的风险进行了实证分析，结果表明：VaR能够准确反映我国沪深股市的波动性；GARCH（1,1）模型是适合对沪深300指数进行建模，以求解我国股票市场的VaR估计值的。随着全球金融市场的日益开放，全球金融市场的联系日益紧密，金融风险管理任重而道远。论文最后对该技术的进一步发展进行了展望。
[Abstract]:In general, the risk is defined as the possibility of a period of time in the future net income uncertainty or loss. Usually, manifestation of this uncertainty will be different. In order to accurately measure the risk, then we introduce the nominal value method, volatility and sensitivity measure method. Although the nominal value method. The sensitivity analysis and volatility methods play a significant role in a certain historical stage, from different angles to measure the size of the risk investment portfolio or investment, but they are more likely to have losses and did not answer, and for the total risk in different markets can not be measured. Therefore, in the rapidly changing financial market under the environment of VaR (ValueatRisk value at risk) on the financial risk measurement of the stage of history.
This paper reviews the recent subprime mortgage crisis, the European debt crisis on the global economy, it points out the important significance of financial risk management as the background, conscientiously summarize the risk management technology at home and abroad, found that VaR technology has become the focus of attention and study of.VaR technology at home and abroad to study and research in the attention of scholars has been rapid development, has become the main risk management techniques.
Next, the basic theory of financial risk management are introduced briefly, and introduces the main procedure of risk management of securities investment. And further describes the historical evolution of the risk management process. The advantages and disadvantages of the VaR model were analyzed, and put forward that may be encountered in the application process the problem.
Then, the Shanghai and Shenzhen 300 index as the sample data by GARCH (1,1) risk model of Chinese stock market through empirical analysis, the results show that VaR can accurately reflect the stock market volatility; GARCH (1,1) model is suitable for modeling of Shanghai and Shenzhen 300 index for China the stock market estimates of VaR.
With the increasingly opening of the global financial market and the increasingly close connection of the global financial market, financial risk management is still a long way to go. Finally, the future development of the technology is prospected.

【学位授予单位】：河北工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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