VaR方法在股票风险管理中的实证研究

发布时间：2018-05-27 15:45

本文选题：VaR + 股票　；参考：《安徽农业大学》2017年硕士论文

【摘要】：近年来,中国金融市场越来越开放,随之而来的金融风险问题也日渐突出。当今各大金融机构管理的基础和核心就是如何处理好风险问题。而VaR方法具备多种优势,是可以度量金融风险的一种比较流行的方法。VaR方法出现和运用越来越频繁,它逐渐变成了国际风险管理的行业标准。中国的股票市场仅有20多年的历程。虽然我们收获到许多有益经验,但是仍然有一些不规范之处。这也使得中国的股票市场的震动频率比英法等国要高很多。鉴于我国股票市场的现状,我们必须重视风险管理工作,有必要将VaR方法结合我国国情,更好的应用在股票风险管理中。本文详细地介绍了股票的概念、发展历程和股票风险管理等相关知识以及VaR的定义,模型系统和计算方法等等。本文搜集了2010—2016年最新的上证指数和深证成指收盘价数据,将理论结合实证,应用大量的金融学、计量经济学和统计学方面的知识进行实证研究。本文共分为五大部分。第一部分是有关股票和股票风险等相关理论。股票是最具争议的理财工具之一,具有风险性特征。第二部分详细介绍了VaR的定义、模型系统和三种计算方法。简要介绍了方差—协方差法、历史模拟法以及蒙特卡洛模拟法这三种计算方法[1]。第三部分是关于VaR方法在股票风险管理中的实证研究,主要以2010年1月4日至2016年12月30日这1700个上证指数和深证成指的每日收盘价格为原始数据进行实证分析。比较了上证指数和深证成指分年度的对数收益率基本统计特征。运用eviews8.0软件进行平稳性检验、正态性检验、自相关性检验和异方差性检验等各项模型检验。第四部分是上证指数和深证成指的VaR计算结果及分析。分别建立了上证指数和深证成指对数收益率的GARCH(1,1)模型,求出两者的VaR值。最后是关于VaR方法在股票风险管理中的研究结论及启示。这部分总结了本文的研究结论,得到自己的个人启示。
[Abstract]:In recent years, China's financial market is becoming more and more open, followed by financial risks are also increasingly prominent. How to deal with the risk is the foundation and core of the management of the major financial institutions today. VaR method has many advantages, and it is a popular method to measure financial risk. VaR method appears and uses more and more frequently, and it has gradually become the industry standard of international risk management. China's stock market has only had a history of more than 20 years. Although we have gained many useful experiences, there are still some irregularities. This also makes China's stock market vibrate much more frequently than countries such as Britain and France. In view of the present situation of our country's stock market, we must pay attention to the risk management work, it is necessary to combine the VaR method with the national conditions of our country, and apply it to stock risk management better. This paper introduces the concept, development history and stock risk management of stock in detail, as well as the definition, model system and calculation method of VaR. This paper collects the latest closing price data of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index from 2010 to 2016, and makes empirical research by applying a large amount of knowledge in finance, econometrics and statistics. This paper is divided into five parts. The first part is about stock and stock risk and other related theories. Stock is one of the most controversial financial tools, with risk characteristics. In the second part, the definition, model system and three calculation methods of VaR are introduced in detail. This paper briefly introduces three calculation methods: variance-covariance method, historical simulation method and Monte Carlo simulation method [1]. The third part is an empirical study on the VaR method in stock risk management, mainly based on the 1700 Shanghai Stock Exchange Index and the daily closing price of Shenzhen Composite Index from January 4, 2010 to December 30, 2016. This paper compares the basic statistical characteristics of logarithmic rate of return between Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index. Eviews8.0 software is used to test the stability, normality, autocorrelation and heteroscedasticity. The fourth part is the VaR calculation results and analysis of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index. The model of logarithmic return rate of Shanghai stock index and Shenzhen stock index is established, and the VaR value of the two indexes is calculated. Finally, the conclusion and enlightenment of VaR method in stock risk management are discussed. This part summarizes the conclusions of this paper, and gets its own personal inspiration.
【学位授予单位】：安徽农业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F224

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