基于VaR方法我国股指期货风险控制研究

发布时间：2018-01-05 01:11

本文关键词：基于VaR方法我国股指期货风险控制研究　出处：《郑州大学》2012年硕士论文　论文类型：学位论文

【摘要】：股指期货从诞生之日起,至今已经有三十年。它在活跃金融市场、风险对冲、价格发现上起到了很好的作用。世界各国纷纷建立股指期货市场,各种股指期货相关品种也层出不穷。但是,股指期货市场发生了很多重大风险事件,每一个重大事件都严重影响了金融市场的健康发展。我国股指期货市场成立于2010年4月16日,成立到现在发展迅猛,但是作为新兴的市场,我国的市场机制还不健全,控制股指期货的风险,防患于未然,就显得尤为重要。本文首先分析了国内外学者对股指期货的研究现状,提出了切入点和研究思路,接着对股指期货的基本概念、特点、发展历程和风险种类进行了综述,然后分析了我国股指期货发展到目前的基本状况、存在的风险；其次,本文对风险管理方法——波动性分析和敏感性分析以及VaR方法优缺点作了详细探讨和比较,选择用VaR方法对我国股指期货日内波动风险进行实证计算和预测,并且借助GARCH模型对未来三个月的VaR波动风险作了预测,对不能用VaR方法解决的重大事件产生的影响作了压力测试,然后给出了实证分析结论和不足；最后,结合我国股指期货运行的现状,提出了政策建议。
[Abstract]:Stock index futures has been 30 years since its birth. It has played a very good role in the active financial market, risk hedging, price discovery. Countries around the world have established stock index futures market. A variety of stock index futures related varieties are also emerging. However, a lot of major risk events have taken place in the stock index futures market. Every major event has seriously affected the healthy development of the financial market. China's stock index futures market was established in April 16th 2010, the establishment of the rapid development since now, but as a new market. The market mechanism of our country is not perfect, it is very important to control the risk of stock index futures and prevent trouble. This paper first analyzes the domestic and foreign scholars on the stock index futures research status, put forward the breakthrough point and research ideas, then the basic concept of stock index futures, characteristics, development process and risk types are summarized. Then it analyzes the development of stock index futures in China to the current basic situation, the existing risks; Secondly, this paper discusses and compares the risk management method-volatility analysis and sensitivity analysis, as well as the advantages and disadvantages of VaR method in detail. Choose to use VaR method to carry out empirical calculation and prediction of intraday volatility risk of stock index futures in China, and use GARCH model to predict the volatility risk of VaR in the next three months. The influence of major events that can not be solved by VaR method is tested, and the conclusions and shortcomings of empirical analysis are given. Finally, combined with the current situation of stock index futures in China, put forward policy recommendations.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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