外汇投资组合的风险分析

发布时间：2018-02-16 18:17

本文关键词： 在险价值VaR Copula GARCH R软件　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国外汇市场的不断规范化,买卖股票得到的收益大幅缩减,不少个人或机构投资者把目光逐渐转入外汇市场。近十年来我国兴起了一种新型的外汇交易方式一一外汇保证金交易。这类交易利用杠杆原理,只用少量的保证金就能进行交易从而获取较高收益。目前,外汇交易已成为我国股票市场以外最大的投资市场。保证金交易高收益的背后隐含着高风险。因此,对外汇投资的风险研究与管理对我们实际投资具有重要的实际意义。文章建立了在险价值模型(VaR)来对风险进行分析。降低风险的一个途径是可以采用多元化投资的策略来规避风险,文章对外汇的组合投资进行了研究。两种金融资产,或两种外汇组合之间的相关结构是复杂的。对于相关结构,以前的学者在Copula模型上做了大量的研究,文章在之前学者研究的基础之上,对外汇组合建立Copula模型。建立合适的Copula模型对于外汇组合的风险分析具有重要的理论意义与应用价值。文章将前人所研究的GARCH模型理论、Copula理论与VaR理论系统地整合起来,并用GARCH-Copula-VaR这个体系对实际问题进行实证研究。首先分别对美元、英镑和日元的日对数收益率建立GARCH (1,1)模型得出边缘分布,再对上述三支外汇的三种组合分别建立Copula模型,找到不同外汇之间的内在关系,并计算分析各组合的在险价值。各外汇组合的在险价值VaR序列都通过了VaR的有效性检验,验证了文章理论部分所整合的系统模型GARCH-Copula-VaR的实用性。最后根据实证研究,针对外汇组合的投资,总结了规避风险的方法。文章的创新主要有以下三个方面：第一,系统地整合了GARCH-Copula-VaR模型,并对该模型进行了改进；第二,根据实证分析,总结出在外汇投资中规避风险的方法；第三,用R软件对文章实证部分的建模进行了编程,方便日后的应用。
[Abstract]:With the constant standardization of the foreign exchange market in our country, the income from buying and selling stocks has been greatly reduced. Many individuals or institutional investors have gradually turned their attention to the foreign exchange market. In the past decade, a new foreign exchange trading method, foreign exchange margin trading, has emerged in our country. This kind of trading makes use of the principle of leverage. At present, foreign exchange trading has become the largest investment market outside the stock market of our country. There is a high risk behind the high yield of margin trading. The risk research and management of foreign exchange investment is of great practical significance to our actual investment. This paper establishes the value at risk model (VaR) to analyze the risk. One way to reduce the risk is to adopt diversified investment. To avoid risk, This paper studies the portfolio investment of foreign exchange. The correlation structure between two kinds of financial assets or two foreign exchange combinations is complex. For the related structure, previous scholars have done a lot of research on the Copula model. On the basis of previous studies by scholars, The Copula model of foreign exchange combination is established. The establishment of appropriate Copula model is of great theoretical significance and practical value for the risk analysis of foreign exchange portfolio. This paper systematically integrates the GARCH model theory and VaR theory, which have been studied before. The GARCH-Copula-VaR system is used to make an empirical study on the practical problems. Firstly, the GARCH model of the daily logarithmic rate of return of US dollar, sterling and Japanese yen is established to obtain the marginal distribution, and then the Copula model is established for the three combinations of the three foreign currencies mentioned above. Find out the internal relationship between different foreign exchange, and calculate and analyze the risk value of each combination. The VaR sequence of the risk value of each foreign exchange combination has passed the validity test of VaR. The practicability of the system model GARCH-Copula-VaR integrated in the theoretical part of the paper is verified. Finally, according to the empirical research, the paper summarizes the methods of avoiding risk in view of the foreign exchange portfolio investment. The innovation of this paper mainly includes the following three aspects: first, The GARCH-Copula-VaR model is systematically integrated and improved. Secondly, according to the empirical analysis, the methods of avoiding risk in foreign exchange investment are summarized. Thirdly, the modeling of the empirical part of the paper is programmed with R software. Facilitate future applications.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F224

【相似文献】