【作者】 周鑫；

【导师】 高莹；

【作者基本信息】 东北大学 ， 金融学， 2007， 硕士

【摘要】 随着经济全球化和金融一体化等因素的影响,金融风险管理的重要性日益突出。由于VaR在量化风险和动态监管方面具有独特优势,目前已成为金融风险管理的主流方法。本文针对中国证券市场上波动集群性和尖峰厚尾现象,建立了VaR-GARCH-EVT模型,并且与基于股票市场上服从正态分布假设的模型相比,VaR-GARCH-EVT模型具有优越性,为投资者和管理者预测收益和控制风险提供了一个量化工具。本文共分为5章。第1章介绍了研究背景、问题提出、研究意义、国内外研究现状。第2章阐述了金融风险管理的理论与度量方法。第3章在GARCH家族模型、极值理论基础上提出了VaR-GARCH-EVT模型。第4章介绍VaR-GARCH-EVT模型在中国证券市场中的实证研究。通过数据选取、检验过程与结果分析等步骤验证了VaR-GARCH-EVT模型适用于我国的证券市场,并且优于传统的正态分布方法,为投资者和管理者提供了一个很好的金融投资和管理的量化工具。第5章是本文的结论,阐述本文的主要贡献与不足。更多还原

【Abstract】 With the influence of global economic integration and global financial integration, the importance of finance risk management is becoming increasingly conspicuous. Because VaR has unique advantage in quantifying risk and dynamic supervision, so it has become principal method in finance risk management. This text sets up VaR-GARCH-EVT model to solve volatility clustering and the peaked and fat-tailed characteristics of Chinese securities market. Compared to the model of basing to the hypothesis of normal distribution, VaR-GARCH-EVT model has advantage. VaR-GARCH-EVT model is a quantized tool for investor and manager to forcast income and control risk.This text has 5 chapters. The first chapter introduces research background, question putting, research meaning, Current Situation research of Home and abroad. The second chapter sets forth theory and metric method of finance risk management. The third chapter poses VaR-GARCH-EVT model basing on GARCH family model and EVT. The forth chapter introduces the demonstration research of VaR-GARCH-EVT model in the Chinese securities market. This chapter validates that VaR-GARCH-EVT model is fit to Chinese securities market through data choosing, check procedure and interpretation of results. Compared to conventional normal distribution, VaR-GARCH-EVT model has advantage. The fifth chapter is conclusion of the text, which explains principal contributions and disadvantages.更多还原