基于区间分析的金融市场风险管理VaR计算方法研究

发布时间：2018-06-20 02:39

本文选题：区间分析 + VaR　；参考：《天津大学》2012年硕士论文

【摘要】：金融市场风险管理对于金融市场的运营与监管起到了举足轻重的作用,提高金融市场风险管理方法的运算精度和计算速度对提高金融市场风险管理水平十分重要。目前VaR方法作为风险管理的主流测量方法得到理论界和实务界的广泛运用,其方法包括历史模拟法、分析方法、蒙特卡洛模拟法。进行风险分析时可根据实际情况选择适合的方法。本文针对传统方法的缺陷(方法实现程度较难,处理速度较慢),提出基于区间分析的VaR计算新方法。区间分析是运用区间数进行计算的方法,基于区间分析估计因变量(组合收益率)的累计概率分布是计算VaR的新方法。本文首先以一个简单例子介绍运用区间分析估计变量分布函数的方法。然后将此方法运用到VaR的计算中。步骤有四:一是风险映射,即建立组合收益率的数学模型;二是进行相关假设,拟合自变量(即风险因子)的分布及确定取值区间;三是运用区间分析估计组合收益率的分布函数;四是根据得到的组合收益率分布函数进行相关分析,得到某一置信度下的VaR值。进行应用举例,并与蒙特卡洛模拟方法进行对比研究。选取北方国际(000065)和川化股份(000155)两只股票日个股回报率组合为例进行分析。结果表明,该方法较之蒙特卡洛模拟方法在计算精度和计算速度均表现出明显优势。此外,与分析方法相比较得出,给予区间分析的风险管理方法计算结果更加精确。最后,基于本文方法,结合商业银行风险管理的情况与近期房地产市场价位下降趋势,提出了目前商业银行风险管理应该注意的问题和事项。
[Abstract]:The risk management of financial market plays an important role in the operation and supervision of the financial market. It is very important to improve the operation precision and calculation speed of the financial market risk management method to improve the level of the risk management of the financial market. At present, the VaR method is widely used in the theoretical and practical circles as the mainstream measurement method of risk management. In this paper, a new method of VaR calculation based on interval analysis is proposed in this paper, which is based on interval analysis. Interval analysis is used for interval numbers. Based on interval analysis, the cumulative probability distribution of dependent variable (portfolio return) is a new method to calculate VaR.
This paper first introduces a simple example to introduce the method of estimating the variable distribution function by interval analysis. Then this method is applied to the calculation of VaR. The steps are four steps: one is the risk mapping, that is, to establish a mathematical model of the combined yield, and the two is to carry out the related assumptions, to fit the distribution of the independent variables (that is, the risk factors) and to determine the range of the values; three It is the use of interval analysis to estimate the distribution function of the combined yield; four is based on the obtained combined yield distribution function to carry on the correlation analysis and get the VaR value under a certain confidence. Apply an example, and compare with the Monte Carlo simulation method. Select the Northern International (000065) and Sichuan stock (000155) stocks of two stocks. The return rate combination is analyzed as an example. The results show that the method shows obvious advantages compared with the Monte Carlo simulation method in both calculation accuracy and calculation speed. In addition, compared with the analysis method, the result of the risk management method given to the interval analysis is more accurate.
Finally, based on this method, combined with the risk management of commercial banks and the decline trend of the recent real estate market price, this paper puts forward the problems and matters which should be paid attention to at present.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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