股票投资组合中风险价值（VaR）的实证研究

发布时间：2018-02-10 17:00

本文关键词： 风险价值蒙特卡洛单位收益风险最小化模型条件异方差模型　出处：《长沙理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：近20年来,随着经济全球化和金融一体化的发展,世界金融市场也得到了飞速发展,并表现出前所未有的波动性,这使得我国金融行业面临的风险更加复杂化、国际化。为了有效地控制和降低金融风险,金融机构开始抛弃传统测量风险的方法,采用风险价值(VaR)来测量其面临的风险。因此,研究VaR对于我国金融行业管理风险来说具有重要的意义。借于此,本文主要做了以下研究工作：首先,本文探究了VaR的研究背景及意义,并总结了国内外研究现状,详述了VaR的基本原理及VaR的三种计算方法,即方差-协方差、历史模拟法和Monte Carlo(MC)模拟法。其次,本文在上证和深证成指股票投资的权重确定上,利用单位收益风险最小化模型对其建模分析并求出了股票投资的最优权重。然后对股票组合指数收益率的统计特征进行探究分析得出股票组合指数收益率具有非平稳性、非正态性、尖峰厚尾性、波动集聚性及ARCH效应,并根据这些统计特征对MC模拟法进行了改进。最后,本文运用MC模拟法、GARCH-MC模拟法以及GARCH-T-MC模拟法计算了上证和深证成指股票投资组合的VaR,并得出GARCH-T-MC模拟法在计算股票投资组合VaR上是最优的。
[Abstract]:In the past 20 years, with the development of economic globalization and financial integration, the world financial market has also developed rapidly, and has shown unprecedented volatility, which makes the risks facing our financial industry more complicated. Internationalization. In order to effectively control and reduce financial risk, financial institutions begin to abandon the traditional method of measuring risk and use VaR) to measure the risks they face. It is of great significance to study VaR for the management risk of financial industry in China. In this paper, we mainly do the following research work: firstly, this paper probes into the background and significance of VaR research, and summarizes the current research situation at home and abroad. The basic principle of VaR and three calculation methods of VaR, namely variance-covariance, historical simulation and Monte Carlo simulation, are described in detail. Secondly, the paper determines the weight of the stock investment in Shanghai Stock Exchange and Shenzhen Stock Exchange. Using the unit income risk minimization model, the optimal weight of stock investment is obtained, and then the statistical characteristics of stock portfolio index return are analyzed, and it is found that the stock portfolio index return rate is non-stationary. Non-normal, peak and thick tail, fluctuating agglomeration and ARCH effect. According to these statistical characteristics, the MC simulation method is improved. In this paper, we use MC simulation method and GARCH-MC simulation method and GARCH-T-MC simulation method to calculate the portfolio of Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that the GARCH-T-MC simulation method is the best in calculating the VaR of stock portfolio.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832

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