开放式股票型基金风险度量与控制实证研究

发布时间：2018-08-16 17:12

【摘要】：自金融危机和欧洲主权债务危机爆发，“金融风险的度量和控制”成为了经济和金融领域出现频率最高的词汇，大量由于风险控制不足而导致的巨额亏损现象使得金融风险的度量和控制变得更为重要。在西方发达经济体国家中，包括银行、证券公司、投资公司等金融机构，对金融风险进行定量分析的方法主要使用以VaR模型为代表的风险管理工具，其控制体系业已成熟，VaR模型度量金融风险最大的优势在于可以在数量上给出控制风险的幅度，使一些金融风险管理的对冲手段得以实施。在巴塞尔委员会的努力下，VaR模型成为协会成员的标准风险管理工具。但由于VaR模型本身存在着一定的局限性，导致其在极端市场条件下该模型对风险的预估不足，因此，利用改进后的CVaR模型度量在市场极端状态下的金融风险的手段，在近年来发展得十分迅速，CVaR模型的使用大大提高了金融风险管理水平。在我国银行系统中，作为风险管理工具的VaR模型被运用得较早，风险控制体系也趋于成熟，但是在我国庞大的基金市场上，风险控制这个关键环节还存在着很多问题，单纯运用VaR模型研究控制金融风险的手段已经无法达到抵御金融风险多重性的要求。本文针对这个问题进行深入的研究，并将我国股票型开放式基金的风险度量和控制作为重点进行研究。在对股票型开放式基金风险进行充分讨论的基础上，基于VaR及扩展模型，对以下问题进行了分析：首先，对于基金收益表现的一些统计特征，，如尖峰、厚尾等，本文运用VaR-GARCH模型对基金的风险进行估计；其次，对于基金收益可能出现的非对称性，本文使用VaR-TARCH模型和VaR-EGARCH模型进行测量，进一步，本文使用蒙特卡洛模拟法，利用计算机模拟方式估算VaR；第三，对于各种计算方法的有效性问题，本文基于Kupiec在1995年提出的失败率检验法对各种方法的有效性进行评价。第四，由于金融市场经常会出现一些极端的市场现象，其主要的表现是市场指数短期内的大幅下降，在面对这样的极端现象时，VaR方法往往不能有效地度量风险，所以本文将利用CVaR对市场的极端现象做出分析和判断，并得出了相关的结论。本论文实证研究和分析中所采用的数据，均引用2009-2010年34只股票型开放式基金的日净值数据，在此基础上计算股票型开放式基金的日收益率。实证分析、检验和计算工作由Eviews计量软件和Matlab软件完成。通过理论分析、模型设定和实证检验，本文得出基本结论和政策建议：在我国股票型开放式基金业的风险控制过程中，使用VaR和CVaR相结合的手段是有效的；建立股票型开放式基金风险预警机制应以VaR和CVaR模型相结合作为研究基础。
[Abstract]:Since the onset of the financial crisis and the European sovereign debt crisis, "Financial risk measurement and control" has become the most frequently used term in the economic and financial fields. A large number of losses caused by inadequate risk control make the measurement and control of financial risk more important. In the developed western countries, including banks, securities companies, investment companies and other financial institutions, the quantitative analysis of financial risk mainly uses the risk management tools represented by VaR model. The biggest advantage of VaR model in measuring financial risk is that it can give the range of controlling risk in quantity, so that some hedging means of financial risk management can be implemented. With the efforts of Basel Committee, VaR model becomes the standard risk management tool for association members. However, due to the limitations of the VaR model itself, the model does not estimate the risk in the extreme market conditions. Therefore, the improved CVaR model is used to measure the financial risk in the extreme market. In recent years, the application of CVaR model has greatly improved the level of financial risk management. In China's banking system, the VaR model, as a risk management tool, was used earlier and the risk control system tended to be mature. However, in the huge fund market in China, there are still many problems in the key link of risk control. Simply using VaR model to study the means of controlling financial risk can not meet the requirement of resisting the multiplicity of financial risk. This paper focuses on the risk measurement and control of equity open-end funds in China. Based on the full discussion of the risk of equity open-end fund, based on VaR and extended model, the following problems are analyzed: firstly, some statistical characteristics of fund income performance, such as peak, thick tail and so on, are analyzed. This paper uses the VaR-GARCH model to estimate the risk of the fund. Secondly, the paper uses the VaR-TARCH model and the VaR-EGARCH model to measure the potential asymmetry of the fund returns. Furthermore, this paper uses Monte Carlo simulation method. The method of computer simulation is used to estimate VaR. Thirdly, for the validity of various calculation methods, this paper evaluates the effectiveness of these methods based on the failure rate test method proposed by Kupiec in 1995. Fourth, because financial markets often appear some extreme market phenomena, their main performance is the sharp decline of market index in the short term. In the face of such extreme phenomena, VaR method is often unable to effectively measure risk. So this paper will use CVaR to analyze and judge the extreme phenomenon of the market, and draw the relevant conclusions. The data used in the empirical research and analysis in this paper are based on the daily net worth data of 34 open-end stock funds from 2009-2010 to then calculate the daily return rate of equity open-end funds. The empirical analysis, test and calculation are done by Eviews software and Matlab software. Through theoretical analysis, model setting and empirical test, this paper draws the basic conclusions and policy recommendations: in the process of risk control of equity open-ended fund industry in China, the combination of VaR and CVaR is effective; The establishment of stock-based open-end fund risk warning mechanism should be based on the combination of VaR and CVaR model.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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