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我国证券投资基金的风险管理——应用极值理论计算VaR
时间:2011-02-17 浏览次数:1501次 无忧论文网
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金融工程
金融风险管理金融风险管理
    近些年来,应大众化投资的需要,我国的证券投资基金发展迅猛,成为证券市场的重要组成部分。与此同时,由于市场风险日益增大,对于证券投资基金的风险管理,也越来越受到各金融机构以及投资者的关注。
    Value at Risk(VaR)是目前世界上最为先进,也是运用最为广泛的金融风险管理技术之一,相对于传统的风险管理工具,VaR具有无可比拟的优点。然而,最为常见的基于正态分布假设条件的VaR计算,无法防范市场极端下跌情况下的风险,当市场发生大幅度下跌时,使用传统的VaR计算方法得出的结果严重低估了投资的风险。并且许多学者的实证研究表明,现实中的投资收益,并不服从正态分布,大多是存在肥尾的非正态分布。于是,研究者们针对收益分布肥尾部分的估计提出了许多方法,以此作为风险衡量的有力补充,其中比较常用的就是极值理论。
    本文在综合分析国内外相关文献的基础上,系统地介绍了极值理论的理论框架、模型以及参数估计的方法,并以华夏成长基金的日基金净值收益率为研究对象,分别采用方差—协方差法、历史模拟法和极值理论中的阀顶点模型法计算VaR。将上述三种方法得到的结果进行比较,发现在基金的收益率不服从正态分布的情况下,方差—协方差法会低估VaR,而极值方法则能够得到比较准确的结果,这与其他学者的研究结果类似,也证明了极值方法在度量极端风险时候的优越性。
    本文的实证只是初步探讨了极值理论在证券投资基金风险管理中的应用,仅以此作为一个例子,以期能够为我国的金融机构构筑极端情况下证券投资基金风险管理体系提供参考。 [英文摘要]:     Recently, the security investment funds have developed dramatically, which became the major components of the security market, to meet the needs of the mass investors. At the same time, as the market risks increase significantly, the risk management of security investment funds attracts more and more attention of the financial institutions and investors.Value at Risk is the most advanced and popular financial risk management technique at present, which has incomparable advantages over the traditional risk management tools. However, the most popular computation method of VaR is based on the assumption of the normal distribution, which has nothing to do with the risk of the extreme bad circumstances in the markets. When the market suffers the significant bear trends, the tradition methods of VaR computation underestimate the risks. Furthermore, some researchers reveals that the investment returns in reality, do not subject to the normal distribution. And then, researchers propose quite a lot of methods for the estimation of the fat tail of returns distribution, which are the effective compliments for the risk evaluation. The extreme value theory is one of them.This article systematically introduces the theory frame, the model and the parameter estimation methods of the extreme value theory, based on a comprehensive review of the references all over the world, and taken the daily return data of the HUAXIA CHENGZHANG Fund for the computation of the VaR, using the Var-Cov method, historical simulation method and threshold model method with the extreme value theory. After comparing the different results from these three methods, it is found that the Var-Cov method underestimates the VaR, but the extreme value method manage to get more precise results, which is consistent with the results from other scholars, and shows the advantages of the extreme value method in the application for extreme risk evaluation.The positive analysis of this article discusses the application of the extreme value theory on the risk management of the security investment fund, taken this for an example, and aims to provide a reference for the risk management system of security investment funds under extreme conditions in Chinese financial institution.    
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