基于VaR对商业银行β系数的测算研究

发布时间：2018-11-23 18:27

【摘要】：β系数无论在CAPM模型中还是风险管理体系里都有着举足轻重的地位,然而,以往学者在研究β系数时往往以数据服从正态分布为假设前提,而且在实证方面也很少细分到各个行业。基于此,为了使求得的β系数更具有针对性、可靠性和实用性,本文把研究范围细分到了我国商业银行,并在实证部分选择了我国16家上市商业银行作为研究对象。在估算模型上,本文选择了姚京、袁子甲、李仲飞、李端(2009)共同提出的VaR-β模型。在具体选择VaR-β模型的估算方法上,本文借鉴了姚京、袁子甲、李仲飞、李端提出的三种方法之一——核密度估计方法,在求出各个商业银行的VaR-β系数之后,与传统的β系数相比较,最终得出VaR-β模型在我国商业银行价值评估和风险管理中的优势与不足。通过对实证部分的分析研究,本文所选择的VaR-β模型是在核密度估计方法下计算出的VaR-β值,而核密度估计对核密度函数的选择不敏感,也即本文在计算VaR-β值时不考虑收益率序列的分布特征,以数据的真实特征计算其VaR-β值,从根本上减小了估算误差。此外,由于本文计算出的VaR-β值在很大程度上取决于置信度水平α,所以,对于企业来说,可以根据市场中的投资者情绪、自身的经营状况以及风险承受能力,较准确地确定置信度水平α,以最小成本保留企业的资本金和对自身企业价值进行准确的评估;对于市场中的投资者来说,在进行投资决策之前,根据该企业所在的整个市场行情、该企业的经营状况、风险承受能力以及自己的风险偏好,确定置信度水平α的大小,最终确定该企业的VaR-β值,以求得符合自己投资偏好的企业价值。
[Abstract]:The 尾 coefficient plays an important role in both the CAPM model and the risk management system. And in the empirical aspect also rarely subdivides to each industry. Based on this, in order to make the 尾 coefficient more pertinence, reliability and practicability, this paper subdivides the scope of the research into Chinese commercial banks, and chooses 16 listed commercial banks as the research object in the empirical part. In the estimation model, the VaR- 尾 model proposed by Yao Jing, Yuan Zijia, Li Zhongfei and Li Duan (2009) is selected. In selecting the estimation method of VaR- 尾 model, this paper draws lessons from one of the three methods proposed by Yao Jing, Yuan Zijia, Li Zhongfei and Li Duan, which is the nuclear density estimation method. After calculating the VaR- 尾 coefficient of each commercial bank, Compared with the traditional 尾 coefficient, the advantages and disadvantages of VaR- 尾 model in the value assessment and risk management of commercial banks in China are obtained. The VaR- 尾 model selected in this paper is the VaR- 尾 value calculated under the kernel density estimation method, but the kernel density estimation is not sensitive to the choice of the kernel density function. In other words, this paper does not consider the distribution characteristics of the return series when calculating the VaR- 尾 value, and calculates the VaR- 尾 value with the real characteristics of the data, which reduces the estimation error fundamentally. In addition, because the VaR- 尾 value calculated in this paper depends on the confidence level to a great extent, therefore, for the enterprise, it can be based on the investor sentiment in the market, its own operating condition and its risk bearing ability. Accurately determine the confidence level 伪, keep the capital of the enterprise at the minimum cost and evaluate the value of its own enterprise accurately; For investors in the market, before making investment decisions, according to the whole market situation of the enterprise, the enterprise's operating condition, risk tolerance ability and its own risk preference, the confidence level 伪 is determined. Finally, the VaR- 尾 value of the enterprise is determined to obtain the enterprise value which accords with its investment preference.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.33

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