我国贵金属市场风险度量方法比较与实证分析

发布时间：2017-12-30 22:01

本文关键词：我国贵金属市场风险度量方法比较与实证分析　出处：《福州大学》2014年硕士论文　论文类型：学位论文

更多相关文章： 贵金属 GARCH模型 SV模型 VaR ES 谱风险

【摘要】：近年来,国际上战乱频发,政治局势动荡不安,全球经济受金融危机影响走向十分不明朗,加之我国通货膨胀的持续与股市的低迷,黄金、白银等具有保值避险功能的贵金属受到投资者的热捧。然而,我国贵金属市场起步较晚,发展还很不完善,投资于我国贵金属市场很容易遭受价格剧烈波动的风险。因此,对我国贵金属市场风险进行全面的分析和有效的度量对我国贵金属市场的健康发展和贵金属投资者的投资操作及风险管理都有着重要的现实意义。传统的风险度量方法VaR不满足一致性风险度量准则,且无法准确防范尾部风险。ES虽满足一致性风险度量准则,但其计算尾部风险时采用单一的风险权重,这与人们对不同风险水平持有不同风险态度的现实不符。于是,既满足一致性风险度量准则又可依据投资者的风险偏好构造主观风险权重函数的谱风险度量(SRM)方法应运而生,并逐渐得到学者们的重视。GARCH模型和SV模型作为刻画金融市场波动性的理想模型,被广泛应用于VaR和ES的计算,同样也可应用于SRM的计算。本文以基于GARCH模型和SV模型的动态VaR、ES、SRM度量我国贵金属市场风险为核心,旨在寻找较优的风险度量模型。本文首先对我国贵金属市场及其风险进行介绍,得知对其进行风险度量的必要性。接着通过理论分析证明SRM具有VaR、ES无法比拟的优势：它既满足一致性风险度量准则又引入了体现投资者风险规避程度的主观风险权重函数。紧接着介绍了GARCH模型和SV模型,建立起收益率服从正态分布、t分布、GED分布假设下,基于GARCH模型和SV模型的动态VaR、ES、SRM模型。然后选取上海黄金交易所和天津贵金属交易所的5个交易品种作为实证研究对象,计算基于以上模型的动态VaR、ES、SRM,通过LE统计量对比分析得到结论：当VaR失效时,总存在风险厌恶系数k取适当的值,使SRM的均值比VaR和ES更加接近于实际损失的均值,此时k的取值范围依据贵金属品种、收益率分布假设、波动率模型的不同而有所差别。经试验,基于SV-GED模型,k取值在32～33之间的SRM是我国贵金属市场风险度量的一种较优模型。同时通过对比上海黄金交易所和天津贵金属交易所的共同品种——现货铂金的风险大小得出天津贵金属交易所市场的风险略大于上海黄金交易所市场的结论。最后依据理论和实证研究的结果为完善我国贵金属市场建设、贵金属延期交易品种的保证金水平设定、贵金属投资操作及风险管理提供了一些可行的建议。
[Abstract]:In recent years, the frequent wars, political situation is turbulent, the global economic crisis affected to the very uncertain, coupled with the continued downturn in the stock market and gold, China's inflation, silver and other precious metal hedge hedging is touted by investors. However, the precious metals market in China started late, development is not perfect, investment in China's precious metals market is subject to the risk of price fluctuations. Therefore, it has important practical significance to conduct a comprehensive analysis and effective measures and the healthy development of precious metals investors on China's precious metals market investment operations and risk management of China's precious metals market traditional risk. The risk measure method of VaR does not meet the coherent risk measurement, and can not accurately prevent tail risk.ES can meet the coherent risk measurement, but the calculation of risk by the tail The risk weight of the single, which is inconsistent with the different people have different risk attitudes on different levels of risk reality. So, not only meet the coherent risk measurement can be based on the spectral risk measure the risk appetite of investors to construct subjective risk weight function (SRM) method came into being, and gradually get the attention of the scholars of.GARCH model and SV model as an ideal model to describe the volatility of financial market, the calculation is widely used in VaR and ES, also can be used in the calculation of SRM. In this paper, dynamic VaR, GARCH model and SV model based on ES, SRM measure of the precious metals market risk in China as the core, in order to find the optimal risk measurement model in this paper. First to introduce China's precious metals market and risk, that is necessary to measure the credit risk on it. Then through theoretical analysis proved that SRM has VaR, ES incomparable advantages: it can meet a The consistency of risk measurement criteria and introduced the subjective risk weighting function reflects the investor's risk aversion. Then introduces the GARCH model and SV model, establish yields obey the normal distribution, t distribution, GED distribution, dynamic VaR, GARCH model and SV model based on ES, and then select the 5 SRM model. A variety of transactions in Shanghai gold exchange and the Tianjin precious metals exchange as the research object, the dynamic calculation model based on the above VaR, ES, SRM, LE by statistics comparative analysis and get the conclusion: when the VaR fails, there is always the risk aversion coefficient K proper value, the mean SRM and ES more than the VaR average close to the actual loss, the range of K on the basis of precious metal varieties, the yield distribution hypothesis, volatility models vary. After the test, based on the SV-GED model, the K value in 32 ~ 33 SRM in China is expensive A better model of metal market risk. The risk at the same time through the common varieties of the Shanghai gold exchange and the Tianjin precious metals exchange -- spot platinum the size of the risk that Tianjin precious metals exchange market is slightly larger than the Shanghai gold exchange market. The conclusion according to the results of theoretical and empirical research for the improvement of China's precious metals market the construction, extension of precious metals trading varieties of margin setting, provides some suggestions of precious metals investment operations and risk management.

【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.54

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