基于非对称Laplace分布的ES方法在我国沪深300股指期货市场的研究

发布时间：2018-05-15 23:10

本文选题：基差 + ES模型　；参考：《时代金融》2015年33期

【摘要】：股指期货具有价格发现,规避风险以及提高资金配置效率等功能。我国于2010年4月16日正式推出沪深300股指期货,这是我国资本市场发展的一大里程碑。股指期货的跨期性、杠杆性、联动性和多样性等特点很好地弥补金融市场的缺陷,不仅可以健全股票市场的价格机制还可以大大降低交易成本,并且为广大参与者提供了一个可以避险的投资工具。沪深300股指期货的推出彻底改变了我国金融市场风险管理工具缺乏的现状,但同时也面临股指期货高杠杆交易巨大风险的挑战。本文将运用ES模型度量股指期货的基差风险,最后实证研究预测沪深300股指期货的基差风险。本文将在国内外相关理论的研究基础上,运用非对称Laplace分布来拟合沪深300股指期货的基差;建立非对称Laplace分布下的Expected Shortfall模型来分析沪深300股指期货的波动情况;计算出该模型下的ES值和Va R值;分别将模型得出的Va R和ES值与实际的基差波动进行比较,考察ES和Va R对实际基差波动的拟合情况;对ES和Va R分别进行有效性检验;最后对我国目前使用Expected Shortfall模型还存在的问题进行简要的阐述,给出我国沪深300股指期货管理的相关经验。
[Abstract]:Stock index futures have the functions of price discovery, avoiding risks and improving the efficiency of capital allocation. China officially launched Shanghai and Shenzhen 300 stock index futures on April 16, 2010, which is a milestone in the development of China's capital market. The intertemporal, leverage, linkage and diversity of stock index futures can make up for the defects of the financial market, which can not only improve the price mechanism of the stock market, but also greatly reduce the transaction costs. And for the vast number of participants to provide a risk-averse investment vehicle. The introduction of Shanghai and Shenzhen 300 stock index futures has completely changed the status quo of the lack of risk management tools in financial markets in China, but it also faces the challenge of high leverage trading risks of stock index futures. This paper uses es model to measure the basis risk of stock index futures, and finally forecasts the basis risk of Shanghai and Shenzhen 300 stock index futures. On the basis of domestic and foreign relevant theories, this paper uses asymmetric Laplace distribution to fit the basis difference of Shanghai and Shenzhen 300 stock index futures, establishes Expected Shortfall model under asymmetric Laplace distribution to analyze the fluctuation of Shanghai and Shenzhen 300 stock index futures. The values of es and VaR under the model are calculated and compared with the actual base fluctuations, respectively, and the fitting between es and VaR to the actual base fluctuation is investigated, and the validity of es and VaR is tested respectively. At last, the problems existing in using Expected Shortfall model in our country are briefly expounded, and the relevant experiences of Shanghai and Shenzhen 300 stock index futures management are given.
【作者单位】：浙江财经大学;
【分类号】：F724.5

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