分位数回归方法及其在金融市场风险价值预测中应用的研究

发布时间：2018-01-10 16:07

本文关键词：分位数回归方法及其在金融市场风险价值预测中应用的研究　出处：《郑州大学》2017年硕士论文　论文类型：学位论文

更多相关文章： VaR 金融风险 金融市场 分位数回归

【摘要】：在这个经济全球化的社会,各国间的金融市场逐步走入融合,相互间的联系不断加深。但是市场在带动了资本流动,加快了资源配置效率的同时,也给各国金融市场带来了触手可及的危险。2007年,美国因为房地产而引发了次贷危机,并且导致了全球性的金融危机。在此之前,金融市场也并非一帆风顺,一直处于动荡之中。由于金融市场在市场经济运营中的地位日渐明显,所以金融风险逐渐成为了金融界的各行专业人士关注的热点。此外,由于金融产品的创新,政府的放松管制,高风险衍生金融工具的迅速扩大,导致金融市场风险的增加。因此怎样有效的衡量、控制风险已经成为了金融领域需要探讨研究和实践的中心内容了。这些问题的研究对我国金融市场的稳定和发展至关重要。金融风险度量指标VaR应运而生,在全球得到了普遍的应用和推广,是风险管理的核心内容,也成为了国际通用的指标。有力的开发和应用VaR,对金融风险的防范和管理具有重要的意义。本文将采用分位数回归方法来计算VaR,直接对模型进行评估。本文的研究内容主要是从分位数回归法,企业金融风险,VaR在金融风险中的应用,VaR计算值的方法等几个大方面进行阐述。研究成果将为金融市场风险测量提供一个新的、有效的方法,进而为金融风险预测和管理提供一定的参考。
[Abstract]:In this society of economic globalization, the financial markets of different countries gradually merge into each other, and the relationship between them is deepening. But the market drives the capital flow and accelerates the efficiency of resource allocation at the same time. In 2007, the United States triggered a sub-prime mortgage crisis because of real estate, and led to a global financial crisis. The financial market is not smooth sailing, has been in turmoil, because the financial market in the operation of the market economy has become increasingly apparent. Therefore, financial risk has gradually become the focus of attention of financial professionals. In addition, due to the innovation of financial products, government deregulation, the rapid expansion of high-risk derivative financial instruments. Leading to increased risk in financial markets. So how to effectively measure. Risk control has become the focus of research and practice in the field of finance. The study of these problems is very important to the stability and development of financial market in China. The financial risk measurement index (VaR) has emerged as the times require. It has been widely used and popularized in the world, which is the core content of risk management, and has also become the universal index of international development and application of VaR. This paper will use quantile regression method to calculate VaR and evaluate the model directly. The research content of this paper is mainly from the quantile regression method. The application of VaR in financial risk is expounded in this paper. The research results will provide a new and effective method for measuring the risk of financial market. Then it provides a certain reference for financial risk prediction and management.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.5

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