险值理论及其应用研究

【作者】 林小明；

【导师】 黄良文；

【作者基本信息】 厦门大学 ， 统计学， 2001， 博士

【摘要】 金融投资的收益和风险是投资者和机构监管者最为关心的问题。以最小的投资风险获取高收益更是每个投资者追求的理想境界。在金融产品和金融交易工具层出不穷的今天，如何度量金融投资对象的风险成为困扰学术界和实践人士的首要问题。在上世纪60年代，Markowitz将方差的概念引入了金融投资领域，进行了金融风险度量的第一次尝试。后经Sharpe、Litner、Mossion和Ross等人发扬光大，提出了CAPM、APT等标准投资模型，完成了资本资产定价的问题。从此金融数量分析成为金融和统计界的一座丰碑。但由于这些理论和方法在度量金融产品的投资风险时，基本上采用方差和半方差的概念；不仅技术处理有困难，也不易于为投资者所理解和接受。同时采用方差或半方差蕴涵的假设前提是收益正态分布或投资者的效用相对于收益的函数为二次；这两个假设条件在现实中均难以获得强有力的支持。因此在后来的研究中，许多学者致力于寻找更好的风险衡量标准或工具。 大部分投资者对于风险的理解其实很简单，就是亏损的可能性。或者说，投资者关心的是他们的投资在未来可能的损失是多少?VaR概念的提出解决了这个问题。它可以最简单的形式告诉投资者，其所持有的头寸在一定的概率保证程度下将来可能损失的绝对额。自80年代首次被应用于测量交易性证券的市场风险后，VaR已获得了广泛应用。J.P.Morgan公司开发的RiskMetrics…系统将VaR技术推广至商业银行、投资银行、非金融公司、机构投资者和监管部门。 险值理论的优势在于它以简明客观的方式回答了金融投资风险的基本问题。采用风险衡量指标的主要目的是指导投资，特别是如何进行分散组合投资，和度量潜在的市场风险。本文以VaR理论为主线，实证研究了中国证券市场应用VaR技术的两大问题：如何进行组合投资和制定潜在市场风险下投资策略。全文共分三个部分。 第一部分主要介绍和比较金融投资风险的度量方法；并在分析传统CAPM模型不足的基础上，介绍险值理论的基本概念及其优点。同时介绍和比较了各种VaR计算方法。 险值理论及其应用研究 第二部分主要探讨如何运用险值理论来指导分散投资。我们从投资者基本的投资方式入手，以其设定的VaR值作为亏损限制，推导出相应的最优组合选择结果。并以中国证券市场的实际数据进行了测算。通过均值一方差法、经验分布法、正态分布法和t分布法对中国证券市场的实证研究表明，采用自由度为5的t分布较真实地反映了未来收益率的波动。同时在VaR亏损限制下，采用我们构造模型的结果可形成市场均衡模型，类似于CAPM模型的效果。 第三部分主要研究VaR的引伸概念：压力测试问题。笔者根据相关文献推导出可应用于中国证券市场压力测试分析的IES架构，并对于中国证券公司和基金管理公司如何具体应用IES架构进行了实证研究。结果表明，在未来市场存在着下跌时，证券公司和基金管理公司可通过调整持仓头寸、提取额外风险准备和利用衍生产品等方法来控制其风险暴露。 结论部分：主要进一步讨论和分析VaR理论，并对中国证券市场如何具体采用该技术进行探讨。 在研究方法上，本论文力求突出以下特点：一、坚持实证研究。运用中国证券市场的数据对相应的方法和技术进行验证；二、在研究体系上进行创新。VaR理论的本源在于解诀金融投资中的两大问题：如何分散投资和度量风险。本论文也主要侧重于这两个方面。三、力求实践应用。在理论分析的基础上，本论文在中国证券市场如何实践VaR理论进行了探讨。更多还原

【Abstract】 Researchers in the field of financial economics have long recognized the importance of measuring the risk of a portfolio of financial assets or securities. Indeed, concerns go back at least four decades, when Markowitz’s pioneering work on portfolio selection (1952) explored the appropriate definition and m/fceasurement of risk.In his papers, he showed how to create a frontier of investment portfolios,such as each of them had the greatest possible expected rate of return, given their level of risk. Then Sharpe, Linter, Mossion and Ross, etc. developed Markowitz’s mean-variance model, leaded to standard investment models like capital asset pricing model (CAPM), single-index model and arbitrage pricing theory(APT). But those model still does not give a simple answer to the most basic question "What is the current risk?", which every financial institution should ask itself.In recent years, the growth of trading activities and instances of financial market instability have prompted new studies underscoring the need for market participants to develop reliable risk measurement techniques. One technique advanced in the literature involves the use of "value-at-risk" models. These models measure the market, or price, risk of a portfolio of financial assets梩hat is, the risk that the market value of the portfolio will decline as a result of changes in interest rates, foreign exchange rates, equity prices, or commodity prices. Value-at-risk models aggregate the several components of price risk into a single quantitative measure of the potential for losses over a specified time horizon. These models are clearly regulatory communities is evidence of their growing use. For example, in its recent risk-based capital proposal (1996a), the Basle Committee on Banking Supervision endorsed the use of such models, contingent on important qualitative and quantitative3standards. In addition, the Bank for International Settlements Fisher report (1994) urged financial intermediaries to disclose measures of value-at-risk publicly. The Derivatives Policy Group, affiliated with six large U.S. securities firms, has also advocated the use of value-at-risk models as an important way to measure market risk. The introduction of the RiskMetrics database compiled by J.P. Morgan for use with third-party value-at-risk software also highlights the growing use of these models by financial as well as nonfinancial firms. Clearly, the use of value-at-risk models is increasing but how well do they perform in practice?Practitioners, regulators, and academics have embraced VaR,and many view VaR as a vital component of current "best" practices in risk measurement. This article explores two questions about how to applying value-at-risk models to Chinese securities market. Those are how to allocate asset and control market risk.The paper consists of four chapters:Chapter one mainly introduces the ways of measuring the risk of financial assets. Then it demonstrates the advantage and disadvantage of mean-variance model. And we introduce the definition of Value at Risk. Finally it briefly summaries the main ways progress in calculating the Value at Risk.Chapter two introduces how to allocate assets by using Value at Risk. With benchmark VaR as deficit constrict, we developed the method of allocating assets. Through empirical study, student-distribution with 5 degree of freedom can demonstrates returns of the stocks in Chinese securities market.Chapter three studies on the problem of stress tests. It is another central contents of applying VaR. Stress testing is the process of replaying the tape of past market events to see their effect on current market. With the BCBS’s Internal Models Approach and the lOSCO’s reports, we developed Chinese securities market stress tests model-IBS model. And the securities company can control market risk ofportfolio assets by adjusting investment positions, setting aside additional risk preparation fund and using options.At last we study the disadvantage of VaR and discuss how to use V更多还原