VaR方法在沪深股市风险度量中的应用

发布时间：2018-03-04 20:03

本文选题：市场风险　切入点：VaR方法　出处：《安徽大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国股票市场经历了二十多年的发展,取得了不小的成就,市场规模不断扩大,交易品种不断创新,同时,所面临的风险也日益多样化、复杂化。“股市有风险,入市须谨慎”,这句家喻户晓的话既提醒了每一位股市参与者所必须面对的市场风险,又告诉我们应当正确衡量和把握风险,这是投资者们需要关注的重点,也是金融机构和监管部门建立风险管理体系的核心。围绕股票市场风险管理这一焦点,曾提出过许多风险度量的技术和方法,如可以。值作为单只股票总体风险的测量,CAMP模型中以β值来决定股票系统风险的大小,敏感性分析法可以揭示股票投资组合价值如何受市场因素变化影响等等,目前,最为主流的风险度量方法是由G30.J. P. Morgan提出的VaR方法,它较以前的方法能够更加科学、准确、实用而综合地衡量风险,并且与情景分析、压力测试和返回检验等一系列方法融合成为了完备的VaR风险管理体系,被广泛应用于市场风险的计量与管理,在短期内迅速获得包括国际清算银行、巴塞尔委员会等官方机构以及银行、保险、证券等金融机构的青睐,已发展为国际通用的金融风险管理的的新标准。通过VaR方法来研究和分析股票市场风险状况以实现有效风险管理的目标具有重大的理论与现实意义。国外关于这方面的研究已较为成熟和完善,计算方法也层出不穷,与之相比,国内的研究则比较落后。近几年来,随着我国股市“大小非”解禁带来流通股市值的剧增,以及融资融券、卖空等交易机制的形成,市场的波动已变得更加频繁,股市风险与日俱增,因而,按照国际惯例建立起符合标准的VaR风险管理体系将成为必然,而对VaR做进一步深入的研究以掌握其精确的风险度量技术正是关键所在。本文即从理论与实证两方面来详细阐述VaR方法的内容及其在我国股票市场中的应用。首先,理论上主要介绍了VaR产生的背景、意义、国内外相关的研究,阐述了VaR的基本内涵、特点以及主要的计算方法,并对各种方法加以适当的比较分析。其次,实证方面则研究了VaR方法在我国股市风险度量中的应用,主要是以沪深300指数为研究对象,对其日收益率序列分别建立ARCH模型和不同滞后期下的GARCH模型,基于所建立的模型对VaR值进行计算,并比较不同模型所估计结果的优劣。研究结果表明,在正常的市场状况下,利用GARCH(1,1)模型对我国沪深股市风险价值(VaR)的估计最为有效,并通过返回检验发现使用VaR方法得到的单日可能最大损失值比股市传统的10%涨跌幅限制下可能的最大损失值要小,即能够更加精确的衡量股票市场风险损失,从而为设置风险资本规模提供合理的依据,这样既能有效规避市场风险,又能防止资本浪费,提高资金使用效率,因而体现了论文研究的核心价值。
[Abstract]:After more than 20 years of development, the stock market of our country has made great achievements, the market scale is expanding constantly, the trading variety is constantly innovating, at the same time, the risks are becoming more and more diversified and complicated. "there are risks in the stock market. "be cautious in entering the market." this household word reminds every participant of the market risks that they have to face, and tells us that risk should be properly measured and grasped, which is the focus of investors' attention. It is also the core of the risk management system established by financial institutions and regulatory authorities. Around the focus of risk management in the stock market, many techniques and methods for risk measurement have been put forward. If the value can be used as a measure of the overall risk of a single stock, the size of the stock system risk is determined by the 尾 value in the camp model, the sensitivity analysis method can reveal how the value of the stock portfolio is affected by the changes of market factors and so on. The most popular method of risk measurement is the VaR method proposed by G30. J. Morgan, which is more scientific, accurate, practical and comprehensive in measuring risk than previous methods, and can be used in conjunction with scenario analysis. A series of methods, such as stress test and return test, have been integrated into a complete VaR risk management system, which has been widely used in the measurement and management of market risk. In the short term, it has been quickly acquired, including the Bank for International Settlements (BIS). The favor of official institutions such as the Basel Committee and financial institutions such as banks, insurance and securities has developed into a new international standard for financial risk management. It is of great theoretical and practical significance to study and analyze the risk situation of stock market by VaR method in order to realize the goal of effective risk management. By contrast, domestic research has lagged behind. In recent years, with the sharp increase of market value in circulation brought about by the lifting of the ban on the stock market, as well as the formation of trading mechanisms such as margin trading, short selling and so on, market fluctuations have become more frequent. The stock market risks are increasing day by day, therefore, it is inevitable to establish a VaR risk management system in accordance with international practice, and it is the key to do further in-depth research on VaR to master its accurate risk measurement technology. This paper elaborates the content of VaR method and its application in Chinese stock market from both theoretical and empirical aspects. Firstly, it introduces the background, significance and related research of VaR in theory. This paper expounds the basic connotation, characteristics and main calculation methods of VaR, and makes a proper comparative analysis of various methods. Secondly, the paper studies the application of VaR method in China's stock market risk measurement. Taking the CSI 300 index as the research object, the ARCH model and the GARCH model under different lag periods are established for the daily yield series, and the VaR value is calculated based on the established model. The results show that under normal market conditions, the GARCH1) model is the most effective method to estimate the risk value of Shanghai and Shenzhen stock markets. And through the return test, we find that the maximum loss value obtained by using the VaR method is smaller than the possible maximum loss value under the limit of the stock market's traditional rise and fall of 10%, that is, it can measure the risk loss of the stock market more accurately. Thus it can provide a reasonable basis for setting up the scale of venture capital, which can effectively avoid market risk, prevent the waste of capital and improve the efficiency of capital utilization, so it reflects the core value of the thesis.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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