国内外原油市场分阶段尾部风险及其传导机制研究

发布时间：2019-03-27 18:10

【摘要】：基于石油的重要战略地位和油价的剧烈波动,石油市场的风险管理受到重视。本文从石油价格的波动性和定价机制出发,探讨了石油市场风险管理的重要性,进而提出石油市场尾部风险检测的必要性。接着从量化测量角度出发,运用参数滚动Garch模型和非参数历史模拟法对于四个主要的国内外原油市场,即美国WTI、英国布伦特、中国胜利和中国大庆的尾部风险VaR进行了评估,用Kupiec失败率检测方法进行了检验,发现模型的可行性并比较两者的不同效果。同时,比较了不同市场在金融危机前中后不同阶段的上涨和下跌风险,得到尾部风险动态变化的特征。接下来,本文运用风险-Granger方法对于国内外原油市场的风险溢出效应进行了检测,比较与探究不同市场在不同时期的风险传导机制。最后,基于实证的研究结果,为我国石油风险管理提供相应的建议。
[Abstract]:Based on the important strategic position of oil and the sharp fluctuation of oil price, the risk management of oil market is paid more attention. Starting from the volatility and pricing mechanism of oil price, this paper discusses the importance of risk management in oil market, and then puts forward the necessity of tail risk detection in oil market. Then from the point of view of quantitative measurement, using the parametric rolling Garch model and non-parametric historical simulation method to evaluate the tail risk VaR of four main domestic and foreign crude oil markets, namely, WTI, Brent, China victory, and Daqing, China. The Kupiec failure rate test method was used to find the feasibility of the model and to compare the different effects of the two models. At the same time, the paper compares the rising and falling risks of different markets in different stages before and after the financial crisis, and obtains the characteristics of the dynamic change of tail risk. Then, this paper uses the risk-Granger method to detect the risk spillover effects of domestic and foreign crude oil markets, and compares and explores the risk transmission mechanisms of different markets in different periods. Finally, based on the empirical research results, it provides corresponding suggestions for China's petroleum risk management.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F416.22;O212

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