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VaR模型在金融市场风险管理中的应用研究
时间:2011-03-10 浏览次数:1607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
    受全球经济一体化、竞争与放松管制、金融创新等因素的影响,全球金融环境和金融市场正发生着重大的变化,金融市场的波动性和系统风险已大大加剧,风险管理技术已日益成为金融管理、金融工程领域最重要的研究对象之一。作为风险度量和管理的新方法,VaR自诞生以来就得到了广泛的应用,目前在国外已成为度量市场风险的主流方法。
    我国股票市场经过十几年的发展,已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,因此加强风险管理势在必行。并且随着中国金融领域改革的进一步深化,各金融机构根据国际惯例建立以VaR为风险衡量标准的风险管理体系将成为必然,研究和发展VaR计算模型并且比较各自特点就成了风险度量技术的当务之急。
    本文首先介绍了VaR方法的产生背景,计算VaR的各种模型以及在市场风险度量中的应用。由于用VaR作为市场风险度量的内部模型方法,其假设前提和参数设置可以有多种选择,在进行内部风险管理时,金融机构通常都根据自身的发展战略、风险管理目标和业务复杂程度自行设定,并无统一标准。
    接着在理论基础上对中国股市的上证指数进行实证研究,旨在通过对实证结果的分析,对比各类VaR模型以及不同分布假设下预测结果的优劣,寻找各模型最适用的场合,从而对VaR在实际市场风险度量中的运用产生一定指导作用。此外,还将VaR技术应用于我国证券投资基金,讨论如何通过VaR技术实现组合最优化时的头寸设置、投资组合的风险度量并对基金监管的实际应用情况予以总结。 [英文摘要]:     Influenced by the factors of global economic integration, competition, regulation loosening and financial innovation, huge changes in the global financial environment and financial market are taking place. Risk management technology has become one of the most important research objectives in the fields of financial management and financial engineering. As a new method for risk measure and management, VaR has been widely used since its birth and now has become a major method for measuring market risk abroad.
    It has been more than one decade’s development for the stock market of China, and there are still much immaturity and abnormality in our market which make it more volatile than the developed maturing markets in the west. In this sense it’s compulsory to strengthen the risk management. Besides, with the further deepening of Chinese financial revolution, it’s inevitable for every financial institution to establish the risk management system on the base of VaR standard according to the international conventions. It’s also necessary to make research into VaR models and compare their characteristics.
    This thesis firstly introduces the background of VaR method and calculates the various VaR models to measure the market risk. As an internal model for measuring market risk, there are many choices for the assumptions and parameters of VaR. Financial institutions usually make their own decisions according to there own developing strategy, the goal of risk management and the complexity of business. Then on the base of theoretical analysis, empirical researches are made on Shanghai Composite Index in order to compare the results of various VaR models and their distributional assumptions, thus bringing about some guiding effects for the application in market risk measure. Besides, empirical researches are also made on stock investment funds to calculate the individual asset’s weight in the optimal portfolio, measure the risk for investment portfolio and sum up the application of the fund supervision.    
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