VaR方法在我国证券投资基金中的应用研究

发布时间：2018-02-09 05:40

  本文关键词： 金融风险管理 VaR 证券投资基金 GARCH模型　出处：《贵州财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来，随着我国金融市场的高速发展，证券投资基金以其专业化、规模化和系统化的优势，逐步成为推动我国证券市场发展的重要力量之一。因此，基金业如何健康有序的发展，成为近年来我国金融投资理论界和实务界关注的热点问题。借鉴国外基金业发展的历史经验，基金要实现长期稳定持续收益的目标，风险管理水平是其中的决定性因素，而准确辨识、测量金融风险已成为风险管理中的关键环节。VaR全称是“Value at Risk”，是一种近年来被国外大多数金融机构采用衡量风险的新方法，它的含义是在一定的置信度条件下，某一金融资产或者证券组合在一定时间内发生的最大损失。由于它直观、规范、便于操作的特点得到了国际金融监管的大力推广。VaR作为一种新的风险管理标准最早在银行机构运用较多，从目前的趋势来看，除银行外的金融机构与非金融机构等都在积极的将VaR技术纳入其风险管理系统之中。本文在这一背景条件下，尝试将VaR运用于我国证券投资基金的风险度量和控制方面的研究。 为此，本文从金融风险管理的理论框架出发，以VaR原理的角度引出观点：风险测量的效果是金融风险管理技术应用的关键。梳理了投资基金的概念之后，对投资基金在国内外发展的历程进行了回顾，从发展的角度来阐述风险管理系统在证券投资基金中的重要性。然后全面介绍VaR测量技术的原理和常用方法，在此基础上提出用GARCH模型来提高VaR的测量精度。本文使用基金开元的对数收益率数据作为样本，进行统计检验后得出可以用GARCH（1，1）模型来拟合其收益率的波动水平。为了比较不同分布假设下的GARCH-VaR方法测量的效果，将正态分布、Student-t分布和广义误差分布假设的GARCH模型用以预测样本的日VaR。通过VaR的定义来计算结果，，并对实证结果进行了返回测试，最后得出结论：VaR技术在我国证券投资基金风险管理中有一定的适用性和实用价值。
[Abstract]:In recent years, with the rapid development of China's financial market, securities investment fund with specialization, scale and systematic advantages, has gradually become an important force in promoting the development of China's securities market. Therefore, the fund industry to the healthy and orderly development, become a hot issue in recent years, the financial circles of our country and investment theory practice. Learn from the historical experience of foreign fund industry development fund, to achieve long-term stability, sustainable revenue target, the level of risk management is the decisive factor, and accurate identification, measurement of financial risk has become a key link in the risk management of the full name of.VaR is "Value at Risk", is a new method to measure the risk of using a in recent years by most foreign financial institution, it is the meaning of confidence in certain conditions, a financial asset or portfolio in a certain period of time the most by the loss. It is intuitive, standardized, easy operation by international financial supervision to promote the.VaR as a new risk management standards as early as more use of banking institutions, from the current trend, in addition to the bank's financial institutions and non financial institutions are actively applying VaR technology into its risk management system. Based on this background, try to research on risk measurement and control of VaR used in China's securities investment fund aspect.
涓烘��,鏈�鏂囦粠閲戣瀺椋庨櫓绠＄悊鐨勭悊璁烘�嗘灦鍑哄彂,浠�VaR鍘熺悊鐨勮�掑害寮曞嚭瑙傜偣锛氶�庨櫓娴嬮噺鐨勬晥鏋滄槸閲戣瀺椋庨櫓绠＄悊鎶

本文编号：1497206