度量投资组合风险价值的VaR模型体系研究——以下降趋势中的上证综合指数为例

【作者】 胡磊；

【导师】 冯文伟；

【作者基本信息】 华东师范大学 ， 金融学， 2004， 硕士

【摘要】 近20年来，金融市场的波动性日趋加剧，金融风险管理已成为金融机构和工商企业管理的核心内容。金融监管当局、金融机构一直在不断强化市场风险的管理与监管。在这样的背景下，VaR方法便应运而生了，并发展成为金融市场风险测量的主流方法。 我国金融市场是一个新兴的市场。随着改革的深入进行，市场机制将发挥越来越重要的作用。随着货币市场的发展，股票市场的活跃，外汇市场的开放，衍生市场的兴起，市场风险的管理必然要提上议事日程。VaR是投资决策、业绩评价和风险管理的基础，该方法在我国的应用将会产生重要的影响。本文通过对VaR模型体系的系统介绍，以下降趋势中的上证综合指数为实证研究对象，对VaR的各个模型进行比较分析，指出其优缺点，并在此基础上引入了情景分析法，作为对VaR模型的完善，最后提出了在现阶段VaR方法在我国的应用将会产生的影响，并提出建议。 全文共分七章。第一章介绍VaR的产生、影响、在国外的应用情况及其有关特点。从1994年J.P.Morgan银行首先公布了它的VaR系统后，该模型就成为金融风险测量的主流方法；第二章介绍了VaR模型计算的基本原理及检验方法；第三、四章本文系统介绍了VaR模型体系。第三章主要介绍了参数法和半参数法，并对一些主要方法进行了实证检验；第四章则主要介绍了非参数法，并进行了实证检验；第五章则对各个VaR模型进行比较分析并指出其优缺点，从而在第六章中我们引入了情景分析法，对VaR模型进行完善，提出了结论和建议，即在市场大幅下挫的情况下，能够利用VaR模型来进行风险控制，但在使用中要注意模型参数的选取。情景分析法能深入分析在市场持续下跌过程中或者在突发事件对收益产生的影响，当前以把握政府政策变化为核心的情景分析框架，是对VaR模型的有益补充。第七章说明现阶段在我国用适当的数理统计方法建立VaR模型在我国的广泛应用前景，以及对金融机构和金融监管部门产生的重要影响。更多还原

【Abstract】 During the recent twenty years, the volatility of financial market is becoming more and more severe, and the management of financial market risk has become the core content for financial institutions and other businesses. Both the government and the financial institutions are trying their best to improving the management and supervision of market risk. VAR was invented from such backgrounds and has developed into the main method to measure the risk of financial market.China’s financial market is an emerging market. With the deepening of our reform and opening policy, the market mechanism will be more and more important. With the development of the currency market, financial derivatives market and the stock market and the opening of foreign exchange market, the management of market risk is one problem we cannot avoid facing. VAR method is the basis of investment decision-making, achievement assessment and risk management, so the application of this method will have great influence in our country. Through the comprehensive introduction of the VAR system, I compare the different models of VAR and find the merits and demerits of each model. On this basis, I introduce the scenario analysis method to perfect the VAR system. At last, I analyze the influence of the VAR’s application in China and put forward some suggestions.This dissertation is divided into seven chapters. In the first chapter, we introduce you the birth, influence and characteristics of VAR. Since the bank of JP Morgan announced its VAR system in 1994, VAR has become the mainstream method to measure financial risk. In the second chapter, we introduce you the basic principle and testing method of the calculation of VAR. In the third chapter, we introduce the parameter method and semi-parameter method. In the fourth chapter, we introduce the non-parameter method and use it to test the Shanghai Stock Exchange comprehensive index. In the fifth chapter, we compare those different methods and points out the merits and demerits of each one. In the sixth chapter, we introduce the scenario analysis method to perfect the VAR system and draw such a conclusion that VAR can be used to control the market risk effectively when the whole stock market isdropping sharply. But we should pay attention to the selection of parameters at this time. Scenario analysis method can analyze the influence on the earnings when the market drops continually or something extreme happens, so it is a good supplement of the VAR system. In the seventh chapter, we talk about how to construct VAR model using China’s statistics methods, its application prospects, and its influence on the financial institutions and the financial supervision authority of our country.更多还原