基于风险管理之金融衍生品投资组合研究

发布时间：2018-04-30 20:18

本文选题：资产配置 + 在险价值　；参考：《复旦大学》2014年博士论文

【摘要】：由于金融衍生品在2008年之失控造成金融次贷危机,很多知名企业与投资人受到很大伤害,对社会与经济发展都造成很大不良影响,而金融风险测量工具能否正确评估风险也受到很大质疑,许多投资组合理财商品,在风险发生时也只有投资分散并没有分散风险,至今仍留下很多问题未解。风暴是否会再来,我们是很难去预测,我们能做的就是既使风暴再来,我们不会再受到很大损失而影响生活与造成社会不安,如何能在风险发生时减少损失不受伤害,大概只有正识投资风险之重要,进而在我们的投资组合能有对冲风险之机制才能逢凶化吉,而这个机制之重要元素为金融衍生品。本文以投资风险管理之微观角度,探讨金融衍生品之性质,如何识别投资资产风险特征,如何运用风险测量工具与正确评估资产风险,来建造一个具有风险管理之投资组合,而投资组合也正因为金融衍生品之避险功能,得予充分投资分散风险分散,让整个投资组合效率前缘在不同景气阶段都能向左移动,达成可能风险降低同时收益也改善之最佳境界。自1952年Markwitz之投资组合理论与J.P Morgan之RiskmetricsVaR问世以来相关研究运用相当丰富,本文虽然运用这些传统理论,但研究中加入许多新元素与新思维,同时在许多不同在险价值估计方法与绩效评量指标运用,也得到一些较深入之见解。本文第一部份介绍风险管理之概念、资产风险特征检验、资产的风险测量工具之运用、金融衍生品之性质与其在投资风险管理之可运用交易策略。第二部份为实证部份,分析加入金融衍生品于投资组合后之收益风险与绩效评估影响,以不同在险价值估计运用于投资组合中,并评估不同资产属性使用不同在险价值估计运用于投资组合之影响。在绩效评估之变量不仅是方差之风险低估,连收益本身都存在不确定风险,因此考虑以不同风险估计值取代方差,同时将收益扣除风险预测值后之可能最小收益取代收益变量作为资产评估,而后考虑不同景气阶段的风险性资产与风险管控衍生品之权重比例,最后建置一个集风险性资产,非风险性债券资产与风控衍生品商品、VaR估计与投资组合理论之投资组合模型,以信息技术将数学公式导入于规划分析模型,以利快速应变调整不同风险阶段之投资风险比例权重。透过这个研究,我们得到许多之发现如下：1.VaR风险预测值与风险发生时跌幅有高度正相关,也就是VaR愈大,未来风险发生时跌幅成正比,VaR愈小相对跌幅也会小,这在2008年与2000年股灾都有这样的现象。2.以VaR取代风险(标准偏差),而且不同资产属性使用不同VaR估计方法,将未来可能收益扣除未来可能最大风险后之可能最小收益率取代收益率,来作为MV(Mean-Variance)计算,在短期上涨趋势中会牺牲一些利益,却可以减少风险发生时的损失,因而可以得到具有风险管控之长期投资组合良好绩效。3.在投资组合资产评估指标,在MV效率前缘曲线上加上夏普指标之条件,夏普指标收益与风险变量如同前述修正,加入有避险功能之基金,可以得到良好的风控机制之投资组合资产配置,同时也更能发挥金融衍生品之避险功能。4.VaR可以作事前之资产选项与评估,同时有助于建立事后之风险管理预警系统,有助于提早发现问题作为防范.透过本研究,体会投资风险管理最大问题,并非理论工具之限制不足,而是欠缺正确风险识别、正确风险估计与正确衍生品运用之管理机制,而欠缺这个风控机制,正是我们极需正视的地方,因为风暴是还会再来的。
[Abstract]:Due to the financial subprime mortgage crisis caused by financial derivatives in 2008, many well-known enterprises and investors have been greatly hurt and have great adverse effects on the social and economic development, and whether the financial risk measurement tools can correctly assess the risk has also been greatly questioned. Many investment portfolio management goods are only when the risk occurs. It is hard to predict whether the storm will come again. What we can do is to make the storm come again, we will not suffer a lot of loss and affect life and social unrest, and how to reduce the loss unhurt when the risk occurs. It is probably only a positive investment. The importance of investment risk, and then the mechanism of our portfolio can have hedging risk, and the important element of the mechanism is financial derivatives. This paper, based on the micro angle of investment risk management, discusses the nature of financial derivatives, how to identify the characteristics of the risk of investment assets, how to use the risk measurement tool and correct evaluation. To estimate the risk of assets, to build a portfolio of risk management, and the portfolio is also due to the risk avoidance function of financial derivatives, which should be fully invested and dispersed, allowing the efficiency of the entire portfolio to move left at different stages of the boom, and to achieve the best possible risk reduction and improvement of the profit. From 19. The 52 year Markwitz investment portfolio theory and the J.P Morgan RiskmetricsVaR have been widely used since the introduction of these theories. Although these traditional theories have been used, many new elements and new thinking are added to the study. At the same time, some more in-depth views have been obtained in the application of many different methods of value estimation and performance evaluation. The first part of this paper introduces the concept of risk management, the test of asset risk characteristics, the use of asset risk measurement tools, the nature of financial derivatives and their applicable trading strategies in the management of investment risk. The second part is the empirical part of the analysis of the impact of the income risk and performance evaluation after the investment portfolio is added to the financial derivatives. Different risk value estimates are used in the portfolio and evaluate the impact of different asset attributes using different risk values in the portfolio. In performance evaluation, the variable is not only an underestimation of the risk of variance, and even the income itself has an uncertain risk. Therefore, the variance is replaced by the estimated value of different risks and the earnings are deducted. The potential minimum income instead of the income variable is considered as an asset evaluation, and then the weight ratio of risk assets and risk management derivatives at different stages is considered, and a portfolio of risk assets, non risk bond assets and wind controlled derivatives, VaR estimation and portfolio theory are set up. The model, using the information technology to import the mathematical formula into the planning analysis model, in order to quickly adjust the proportion weight of investment risk in different risk stages. Through this study, we get a lot of findings as follows: the 1.VaR risk prediction value is closely related to the risk when the risk occurs, that is, the larger the VaR, the future risk occurs. In direct proportion, the smaller the relative decline will be, the smaller the VaR will be, this phenomenon in 2008 and 2000 has such a phenomenon that.2. replaced risk with VaR (standard deviation), and the different asset attributes use different VaR estimates to replace the possible minimum yield after the possible future possible income deducted from the possible future maximum risk as MV (Mean-Variance). In the short term, some interests will be sacrificed in the short term rising trend, but the loss of risk can be reduced. Therefore, a long-term portfolio good performance.3. with risk control can be obtained in the portfolio asset evaluation index, the conditions of SHARP index are added to the MV efficiency front curve, and the SHARP index returns and risk variables are like the foregoing. With the addition of the hedge fund, we can get a good investment portfolio allocation of the wind control mechanism, and also give full play to the hedge function.4.VaR of financial derivatives as an asset option and assessment in advance, and help to establish an ex post risk management early warning system and help to find out the problems as a precaution. In this study, the biggest problem of investment risk management is not the limitation of the theoretical tools, but the lack of the correct risk identification, the correct risk estimation and the management mechanism of the use of the correct derivatives, and the lack of the wind control mechanism, which is the place we need to face, because the wind and storm will come again.

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.5

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