【作者】 林加强；

【导师】 周孝华；

【作者基本信息】 重庆大学 ， 金融学， 2005， 硕士

【摘要】 受经济全球化和金融一体化、竞争与放松管制以及金融创新与技术进步等因素的影响,全球金融环境和金融市场发生了重大的变化。与此同时,金融市场的波动性和系统风险也大大加剧,风险管理成为工商企业和金融机构的核心竞争力之一。风险管理的基础就是度量风险,作为一种风险度量和管理的新工具,VaR方法自诞生以来就得到广泛应用,目前在国外已成为度量市场风险的主流方法。我国股票市场经过10余年发展,取得了不少成功经验,但也存在许多不成熟不规范的地方,使得我国股票市场经常大起大落,市场波动性远高于西方发达国家成熟的股票市场。对于目前我国股票市场所处的特定发展阶段,加强风险管理势在必行。因此,VaR 模型对我国股票市场风险管理具有重大意义。本文主要讨论了VaR 方法在我国股票市场三个方面的应用: 第一,将VaR 方法应用于股票市场指数以及个股市场风险度量。以上证综合指数VaR 的计算为例,应用了四种GARCH 模型(GARCH,TARCH,EGARCH和PARCH)分别在正态分布、t 分布和广义误差分布下计算上证综合指数VaR。结果表明:t 分布下大大高估了风险,不适用于我国股票市场;广义误差分布比正态分布更准确度量了市场风险;广义误差分布下的PARCH 模型在99%置信度下计算上证综合指数VaR 值效果最好。第二,将VaR 技术应用于我国证券投资基金。在这部分讨论了如何将VaR 应用于基金风险头寸限额设置、基金投资组合的风险度量及分析、基金业绩评价以及基金监管。第三,将VaR 方法用于配股定价。通过对我国上市公司配股价格制定的机制及实践中的配股定价过程的分析,本文认为配股价格制定的相对合理的上市公司,其二级市场股票价格在配股获准公告日至股权登记日这一期间扣除大势影响后变动应当较小,反之亦然。实证结果也支持这一结论。以此为标准,遴选了33 家配股价格制定的相对合理的上市公司。通过多元回归的方法,我们发现合理的配股价格与制定配股价格时的二级市场股价呈正相关关系,与制定配股价格至股权登记日这一期间的二级市场风险VaR 值呈U 型的二次函数关系。更多还原

【Abstract】 Under the influence of factors such as economic globalization and finance integration, competing and relaxing control and finance innovation and technological progress, and so on, global financial environment and financial market have changed greatly. Meanwhile, the fluctuation of the financial market and system risk are aggravated greatly. Risk management has become one of the key competitiveness of the industrial and commercial enterprises and financial institution. The foundation of risk management is to measure the risk. As a new tool of risk measuring and management, VaR technique is used widely since it was born, and has already become the major technique to measure market risk abroad at present. The stock market of our country have developed more than 10 years, much successful experience has already made, but there are a lot of unripe and nonstandard aspects. So the stock market of our country often fluctuates radically, and the market fluctuation is far higher than the western ripe stock market of developed country. Because the stock market of our country is at a specific developing stage at present, it is imperative to strengthen risk management. So, VaR model has a great meaning to the risk management of stock market of our country. This text mainly discusses the application of VaR technique in three respects of stock market of our country: First, apply VaR technique to measure the market risk of the index of stock market and certain stock. Take the calculation of VaR of Shanghai synthesis index as an example, the text calculates the VaR of Shanghai synthesis index using four kinds of GARCH models (GARCH, TARCH, EGARCH and PARCH) in normal distribution, t distribution and generalized error distribution (GED), respectively. The result indicates, t distribution is not suitable for the stock market of our country since over-evaluating the risk greatly; the GED measures the market risk more accurately than normal distribution; PARCH model under the GED has the best result in calculating the VaR of the Shanghai synthesis index under the confidence of 99%. Second, apply VaR technique to the security investment fund of our country. This part discusses that how to apply VaR to set the quota of the risk position of the fund, measure the risk of investment combination of the fund, appraise the performance of the fund and supervise the fund. Third, apply VaR technique to seasoned equity offerings (SEO) pricing. Via the analysis of the mechanism of SEO pricing and the pricing courses in practice, we find the prices of secondary market of these listed corporations with relatively rational SEO pricing may vary tiny in the period between the date of proclaiming the permission of SEO and the date of registering equity, after deducting the influence of the fluctuation of the whole market., vice versa. This conclusion is also sustained by the result of the empirical research. According to this criterion, we have chosen 36 listed corporations whose SEO’s prices are set down relatively rational. By the technique of multiple regression, we found that there exists a negative relationship between SEO’s prices of these corporations and the price of secondary market of the time of SEO’s pricing, and there also exists a relationship of quadratic function taking the shape of the letter U between SEO’s prices of these corporations and the market risk VaR which is calculated in the period between the time of SEO pricing and the date of registering equity.更多还原