我国股市尾部风险度量及尾部相关性研究

发布时间：2018-06-17 06:03

本文选题：尾部风险 + 尾部相关　；参考：《暨南大学》2013年硕士论文

【摘要】：极端事件对金融市场的影响巨大，我国股市受08年金融危机所累，至今未能走出发展的泥潭。极端事件引起的尾部风险越发受到广大学者和金融监管部门的兴趣和关注。如何对尾部风险进行测度，是时下学者们重点研究的课题。风险价值(Value at risk)是现行风险度量的国际标准。不加区别的使用VaR对尾部风险进行测量，将造成风险低估的严重后果。随着金融风险度量理论的发展，，满足一致性四公理被认为是良好风险测度指标的必要条件。满足一致性准则的尾部风险度量工具包括CVaR、ER、ES、TCE和TM等指标，本文在简述，分析各指标的优劣后，选择基于极值理论的VaR和ES作为尾部风险度量工具。度量和分析股市尾部相关性，可以更加全面深刻的了解股市尾部风险。Copula函数由于善于捕捉变量间非线性、非对称及尾部相关性特性，因此常被用来测量资产或股市间的尾部相关性。本文的实证分两部分进行，首先是基于改进阈值选取法的POT模型计算VaR和ES，返回检验结果表明不加改进的POT-VaR效果不如前者。实证第二部分采用Copula理论对上证指数、恒生指数、纳斯达克指数做两两尾相关性度量，结果表明我国股市与境外成熟股市尾相关性明显，呈非对称性，且上尾相关性小于下尾相关性。
[Abstract]:The extreme events have great influence on the financial market. The stock market of our country has not been able to get out of the quagmire of development so far because of the financial crisis of 2008. The tail risk caused by extreme events has attracted more and more attention from scholars and financial regulators. How to measure tail risk is an important research topic for scholars. Value at riskis the current international standard of risk measurement. Using VaR indiscriminately to measure tail risk will result in serious consequences of risk underestimation. With the development of financial risk measurement theory, satisfying the four axioms of consistency is considered to be a necessary condition for good risk measurement. The tail risk measurement tools that satisfy the consistency criterion include CVaRGERE ESTCE and TM. After analyzing the merits and demerits of each index, this paper chooses VaR and es based on extreme value theory as tail risk measurement tools. By measuring and analyzing the tail correlation of the stock market, we can understand the stock market tail risk. Copula function is good at capturing the nonlinear, asymmetric and tail correlation characteristics of the stock market. Therefore, it is often used to measure the tail correlation between assets or stock markets. The empirical results of this paper are divided into two parts. Firstly, the VaR and ES-based POT-VaR are calculated based on the improved threshold selection method. The results of return test show that the effect of POT-VaR without improved POT-VaR is not as good as that of the former. In the second part, we use Copula theory to measure the correlation of Shanghai Stock Exchange Index, Hang Seng Index and Nasdaq Index. The results show that the correlation between Chinese stock market and overseas mature stock market is obvious and asymmetric. The correlation between upper tail and lower tail is smaller than that of lower tail.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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