VaR方法在股指期货市场风险管理中的应用研究

发布时间：2018-01-20 17:07

本文关键词： VaR方法股指期货风险控制　出处：《大连海事大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货诞生于上个世纪八十年代,在股票市场价格频频暴跌之际,投资者迫切需要寻找规避风险,实现资产保值的金融工具。于是世界各国纷纷建立了股指期货市场,各种股指期货的相关品种也层出不穷。但是股指期货是一把双刃剑,在它发挥其套期保值等功能的同时,也造成过一系列的重大风险事件。我国股指期货推出时间较晚,但成交量却一路攀升。作为新兴的交易市场,我国的市场机制还尚不健全。因此,对股指期货市场进行风险控制分析具有重大意义。本文首先阐述了选题的意义以及选题背景,分析了国内外学者对股指期货市场现状的研究概况,提出问题的切入点,明确文章的研究思路。其后对风险管理的VaR方法进行了分析阐述,对VaR方法的优缺点以及局限性做了详细的比较和探讨,验算了VaR的几种计算方法。指出股指期货市场具有“尖峰厚尾”的特性,提出在应用到我国股指期货市场中时要进行压力测试。在具体阐述VaR方法的计算流程之后,借助了GARCH模型对香港恒生指数近一年的数据进行实证计算和预测,并且对不能用VaR方法解决的重大事件做了压力测试。最后结合实证分析,结合我国股指期货市场的现状,得出利用VaR方法可降低在股指期货市场中的风险的结论。
[Abstract]:Stock index futures was born in -20s, in the stock market prices frequently plummeted, investors urgently need to seek to avoid risk. The financial tools to maintain the value of assets. Therefore, countries around the world have established stock index futures market, a variety of related stock index futures are also emerging in endlessly. But stock index futures is a double-edged sword. At the same time, it has also caused a series of major risk events. China's stock index futures launched late, but the volume of transactions has been rising. As a new trading market. The market mechanism of our country is not perfect, therefore, it is of great significance to analyze the risk control of stock index futures market. This paper first describes the significance of the topic and the background of the topic, analyzes the domestic and foreign scholars on the stock index futures market research situation, put forward the breakthrough point. Then the VaR method of risk management is analyzed and expounded, and the advantages and disadvantages of VaR method are compared and discussed in detail. After checking several calculation methods of VaR, it is pointed out that the stock index futures market has the characteristic of "peak and thick tail". Put forward to apply to the stock index futures market in China to carry out stress testing. After the detailed elaboration of the calculation process of the VaR method. With the help of GARCH model, the data of Hang Seng Index in Hong Kong are calculated and forecasted, and the major events that can not be solved by VaR method are tested. Finally, combined with empirical analysis. Combined with the present situation of stock index futures market in China, the conclusion is drawn that the risk in stock index futures market can be reduced by using VaR method.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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