VaR模型在我国股票市场中的实证研究

发布时间：2018-07-23 08:19

【摘要】：2007年爆发了新一轮的全球金融危机,起因于美国次贷危机。这场危机使得华尔街五大投资银行全军覆没,时至今日,仍然对全球经济产生巨大的负面作用。危机的背后,正是由于市场对于不断开发的次贷衍生品缺乏全面有效地风险管理,最终酿成悲剧。近年来,VaR方法逐渐成为国外大多数金融机构广泛采用’的金融风险度量方法,这种方法在一定程度上弥补了其它风险度量方法的诸多不足。无疑,将VaR应用于证券市场的风险度量对于风险管理方法的进一步完善具有重大的理论和实用价值。本文的主要工作如下：引言阐述了本文研究的背景和意义以及文献综述,并介绍了本文的内容结构、研究思路。第1章分析了风险及证券市场风险的含义、特征并进行了分类。第2章介绍了证券市场风险的各种度量方法。第3章是具体阐述了VaR度量方法的相关理论,并进行归纳、整理,重点对其中的历史模拟法、Monte Carlo模拟方法和分析方法做了详细论述,比较了三种方法的优劣。第4章介绍了VaR模型在我国股票市场中的实际运用。以上证180指数为研究对象,通过三种方法计算VaR值,并利用失败频率检验法对结果的准确性进行检验与评估。第5章为本文结论部分。在前文研究的基础上总结出本论文的研究成果：运用历史数据法、Monte Carlo模拟法和分析方法的正态分布模型计算VaR值存在一定的局限性,无法准确度量长期风险；我国股票市场的市场化不成熟,尚不能充分有效地运用这三种模型对我国长时期内的上证180指数进行风险测量。最后对我国股市风险管理提出建议。
[Abstract]:In 2007, a new round of global financial crisis broke out, resulting from the subprime mortgage crisis in the United States. The crisis wiped out Wall Street's five biggest investment banks and still has a huge negative impact on the global economy. Behind the crisis, it was the market's lack of comprehensive and effective risk management for the ever-developing subprime derivatives that led to tragedy. In recent years, VaR method has gradually become a widely used 'financial risk measurement method in most foreign financial institutions. To some extent, this method has made up for many shortcomings of other risk measurement methods. Undoubtedly, it is of great theoretical and practical value to apply VaR to the risk measurement of securities market for the further improvement of risk management methods. The main work of this paper is as follows: the introduction describes the background and significance of this study and literature review, and introduces the content structure of this paper, research ideas. Chapter 1 analyzes the meaning, characteristics and classification of risk and securities market risk. Chapter 2 introduces various measures of securities market risk. In chapter 3, the related theory of VaR measurement method is elaborated, and summarized and sorted out. The historical simulation method, Monte Carlo simulation method and analysis method are discussed in detail, and the merits and demerits of the three methods are compared. Chapter 4 introduces the practical application of VaR model in Chinese stock market. Taking the 180 index of Shanghai Stock Exchange as the research object, the VaR value is calculated by three methods, and the accuracy of the result is tested and evaluated by using the failure frequency test method. Chapter 5 is the conclusion of this paper. Based on the previous studies, the research results of this paper are summarized: there are some limitations in the calculation of VaR by using the Monte Carlo simulation method and the normal distribution model of the historical data method, which can not accurately measure the long-term risk; The market of our country's stock market is immature, so we can not use these three models to measure the risk of Shanghai Stock Exchange 180 index for a long period of time. At last, some suggestions on risk management of stock market in China are put forward.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【参考文献】