【作者】 赵鹏；

【导师】 贾广岩；

【作者基本信息】 山东大学 ， 金融数学与金融工程， 2013， 硕士

【摘要】 受经济全球化、金融创新等因素的影响,金融市场的波动性已大大加剧,如何控制风险,已成为各个金融机构非常关注的问题。VaR风险价值方法是90年代以后发展起来的一种新型风险管理工具。作为一种金融风险测定和控制的模型,它简单易行,相比于传统的金融风险管理模型,更具实用性和投资参考意义。目前它已成为国际上度量市场风险、业绩评估和监管信息披露等方面的一种主流方法。本文首先介绍了计算VaR的一些基本方法,并且比较了他们的优缺点。选了上证综合指数、深圳成分指数作为研究对象,对这些指数的收益率序列进行正态性检验、平稳性检验、ARCH LM检验,检验后发现这些市场的收益率序列具有尖峰后尾性、分布是较平稳的、并且具有ARCH效应,因此认为GARCH模型族比较适合计算我国证券市场的VaR。之后,采用了GARCH、TARCH、EGARCH模型,GARCH模型的正态分布、t分布、GED分布来计算上证综合指数、深圳成分指数的VaR。最后用KuPicc的失败频率检验法来对模型进行准确性检验,得到每个市场最优的模型。更多还原

【Abstract】 Affected by the globalization and financial innovation, huge changes in the financial market are taking place, how to control the risk has become a focus of every financial institution. VaR is a new risk management instrument after1990s. As a model of risk measurement and control, it is easy to operate. Compared with the traditional risk management,VaR model is more practical and referential significance. At present, VaR technique has become one of the main methods to measure market risk、assess achievement and expose information in the word.The paper, to begin with,introduces basic methods to calculate VaR, then makes a comparison in face of the advantages and disadvantages of them. Finally Shanghai stock index and Shenzhen element index are studied and the profitability of them is tested through normality, stability test and GARCH LM test. The outcome of the tests indicates the earning ratio of those markets presents skew and distributed stably with the effect of ARCH. Hereby, GARCH model is suitable to be applied to calculating VaR of China’s Market. Also, the paper fits GARCH、TARCH、EGARCH model and the GARCH model under the hypothesis normal distribution, t distribution and GED distribution to calcullate VaR of the Shanghai stock index and Shenzhen element index. Kupiec test is adopted to test the accuracy of the model to find good model for each securities market.更多还原