VaR模型在股票风险管理中的应用研究
摘要
我国已加入WTO,金融市场最终将全面向外国金融机构开放,我国金融机构面临两个生存性问题:如何保住国内市场和向国外市场发展。我国金融机构只有集中精力发展在选择和管理风险方面高人一筹的技能,才有可能在全球金融化的背景下解决上述问题。VaR作为先进的风险测量方法,同时也是国际金融监管工具,将VaR引入我国金融机构是势在必行之举,特别是处于潜在金融风险最大领域的股票市场,不可避免的成为金融风险管理的重点。本论文以股票型基金投资组合作为研究目标,建立相应的VaR模型,进行VaR风险管理,不仅有利于加强证券投资基金风险管理能力,提高参与国际竞争的能力,而且为其它非银行金融机构运用VaR风险管理提供了借鉴的经验,具有重要现实意义。
本文首先介绍了股票风险管理的发展与风险特征的分类,之后提出我国传统股票风险管理的现状及存在的问题,并引出风险价值Value At Risk(VAR)方法的产生背景与研究现状,论述了VaR技术计算的基本思路和方法,比较了各种计算方法的优缺点。最后通过对易方达股票型基金投资组合风险的实证分析,引入协方差模型的VaR值计算,分析股票型基金投资组合风险值,以及对组合中每个单个股票风险进行度量,分析投资组合的风险构成,为投资组合的选取和风险来源及风险规避作出了相关分析。并就VaR技术在金融风险管理中的应用展开定性的描述。
论文创新之处主要在于,从实证的角度运用VaR模型对股票的风险进行了度量。由于股票价格的瞬息万变,对股市风险的估计必须保持实时性,根据最新的波动信息计算VaR值,对样本数据的选择也显得甚为重要,因此建议采用跨行情的历史数据作为样本的课题研究。通过对我国基金股票投资组合,计算出投资组合总的风险值,并具体测算出个股在一定时期的风险暴露额。并进一步介绍VaR在我国金融市场中的几种应用,为我国股票市场风险可行性评估提供了可行性实践依据,这也是本文的预期创新之处,本课题的研究具有一定的学术价值和应用价值。
With China entry WTO, financial market will finally open to foreign financial institutes in all around way. Financial institutes in China face two problems of existence: How to maintain domestic market and extend to overseas market. Only by making effects to developing more excellent skills in selecting and managing risk can they solve the above problems under the background of global finance.
It is inevitable to introduce VaR technique, an advanced risk measure method as well as an international financial supervising tool, into our financial institutes. This thesis establishes relative VaR model and managed risk with VaR, taking the security investment funds as the studying goal, which is not only beneficial to strengthen the ability of risk management and improve their competitiveness in worldwide range, but also provide valuable experience to other non-banking financial institutes to manage risks by VaR, with great reality significance.
This paper introduced the risk management of stock and risk characteristics of the development of the classification firstly, then the status and problems the traditional stock of risk management, and raises the risk of the value of Value at Risk (VAR) methodology and research background of the status, based on the VaR technical computing the basic ideas and methods, comparing the advantages and disadvantages of the various calculation methods. Finally, through the easy side of equity fund portfolio Empirical risk analysis of covariance model for the introduction of the VaR calculation, analysis of equity fund portfolio value at risk, as well as each individual stock portfolio risk measurement, portfolio risk analysis composition, for portfolio selection and risk sources has made a correlation analysis. Do qualitative description VaR and risk management in financial applications.
The main innovation from the perspective of empirical application of VaR model shared a measure of risk, Due to the ever-changing stock prices, the estimated risk in the stock market must maintain real-time, according to the latest fluctuations in the value of information VaR calculation, the choice of the sample data it is also very important, it suggested that the history of inter-market data as the subject of the study sample process. Through the fund equity portfolio in China, to calculate the risk of the total portfolio value, and measured the specific stocks in a certain amount of time the risk of exposure. And further information on VaR in China's financial market in several applications, for the feasibility assessment of the risks of China's stock market has provided the basis of the feasibility of the practice, which is expected to innovation of this article, the subject of the research has a certain academic value and application value.
本文首先介绍了股票风险管理的发展与风险特征的分类,之后提出我国传统股票风险管理的现状及存在的问题,并引出风险价值Value At Risk(VAR)方法的产生背景与研究现状,论述了VaR技术计算的基本思路和方法,比较了各种计算方法的优缺点。最后通过对易方达股票型基金投资组合风险的实证分析,引入协方差模型的VaR值计算,分析股票型基金投资组合风险值,以及对组合中每个单个股票风险进行度量,分析投资组合的风险构成,为投资组合的选取和风险来源及风险规避作出了相关分析。并就VaR技术在金融风险管理中的应用展开定性的描述。
论文创新之处主要在于,从实证的角度运用VaR模型对股票的风险进行了度量。由于股票价格的瞬息万变,对股市风险的估计必须保持实时性,根据最新的波动信息计算VaR值,对样本数据的选择也显得甚为重要,因此建议采用跨行情的历史数据作为样本的课题研究。通过对我国基金股票投资组合,计算出投资组合总的风险值,并具体测算出个股在一定时期的风险暴露额。并进一步介绍VaR在我国金融市场中的几种应用,为我国股票市场风险可行性评估提供了可行性实践依据,这也是本文的预期创新之处,本课题的研究具有一定的学术价值和应用价值。
With China entry WTO, financial market will finally open to foreign financial institutes in all around way. Financial institutes in China face two problems of existence: How to maintain domestic market and extend to overseas market. Only by making effects to developing more excellent skills in selecting and managing risk can they solve the above problems under the background of global finance.
It is inevitable to introduce VaR technique, an advanced risk measure method as well as an international financial supervising tool, into our financial institutes. This thesis establishes relative VaR model and managed risk with VaR, taking the security investment funds as the studying goal, which is not only beneficial to strengthen the ability of risk management and improve their competitiveness in worldwide range, but also provide valuable experience to other non-banking financial institutes to manage risks by VaR, with great reality significance.
This paper introduced the risk management of stock and risk characteristics of the development of the classification firstly, then the status and problems the traditional stock of risk management, and raises the risk of the value of Value at Risk (VAR) methodology and research background of the status, based on the VaR technical computing the basic ideas and methods, comparing the advantages and disadvantages of the various calculation methods. Finally, through the easy side of equity fund portfolio Empirical risk analysis of covariance model for the introduction of the VaR calculation, analysis of equity fund portfolio value at risk, as well as each individual stock portfolio risk measurement, portfolio risk analysis composition, for portfolio selection and risk sources has made a correlation analysis. Do qualitative description VaR and risk management in financial applications.
The main innovation from the perspective of empirical application of VaR model shared a measure of risk, Due to the ever-changing stock prices, the estimated risk in the stock market must maintain real-time, according to the latest fluctuations in the value of information VaR calculation, the choice of the sample data it is also very important, it suggested that the history of inter-market data as the subject of the study sample process. Through the fund equity portfolio in China, to calculate the risk of the total portfolio value, and measured the specific stocks in a certain amount of time the risk of exposure. And further information on VaR in China's financial market in several applications, for the feasibility assessment of the risks of China's stock market has provided the basis of the feasibility of the practice, which is expected to innovation of this article, the subject of the research has a certain academic value and application value.
引文
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[2]陈云贤.证券投资基金论[M].北京:北京大学出版社.2005:125-130
[3]刘宇飞.VaR模型及其在金融监管中的应用[J].经济科学.2003(9):12-13
[4]陈忠阳.现代金融机构风险管理的VaR体系[J].资本市场评论2000(5):25-27
[5]戴国强.VaR方法对我国金融风险管理的借鉴及应用[J].金融研究.2000 (7):32-33
[6]杜海涛.VaR模型在证券风险管理中的应用[J].证券市场导报2000(8): 14-16
[7]段兵译.金融风险管理理论新进展[J].国际金融研究. 2004(8):17-19
[8]金晓斌,何旭强.证券公司风险评价与管理的创新体系[J].中国证券市场前沿问题研究. 2000(3):93-99
[9]宗良.国际银行风险管理的发展及策略[J].国研信息.2005(6): 17-18
[10]宗良.国际银行风险管理的发展及主要新方法[J].国研信息,2000年(3): 21-23
[11]杨鸿,郑立辉,黄渝祥.股票承销业务中VaR的计算方法[J].同济大学学报2001(8): 29-32
[12]刘纪显,陈建梁等.The Optimal Method on the Improvement of Precision of VaR金融学前沿问题探讨[M].北京光华管理学院编2002: 145-147
[13]王春峰,万海晖,李刚等.基于MCMC的金融市场风险VaR的估计[J].管理科学报.2000 (7):12-15
[14]王春峰,万海晖,张维.金融市场风险测量模型-VaR[J].系统工程学报2000 (1):67-75
[15]王春峰.金融市场风险管理[Ml.天津大学出版社2001:101-14
[16]崔玉杰李从珠.风险管理技术VaR在养老保险基金管理中的运用[J].数理统计与管理2003 (22): 23-25
[17]许建华.国外证券投资基金风险管理模式和方法[J].证券市场导报1998 (9):26-28
[18]复旦大学国际金融系课题组.我国证券投资基金绩效评估和风险度量的实证研究[J].上海证券2001(11): 16-18
[19]李亚静.VaR在基金风险管理中的运用[J].长城证券研究报告2002(1):25-32
[20]李辉.VaR在项目风险管理中的应用[J].东北财经大学学报2001(4): 8-10
[21]周爱民.风险价值量测算——条件异方差模型在金融预警中的应用[J].南开经济研究2001 (1):14-15
[22]吴世农,陈斌.风险度量方法与金融资产配置模型的理论和实证研究[J].经济研究1999 (9): 34-36
[23]张亦春,许文彬风险与金融风险的经济学再考察[J].金融研究2002(3):65-73
[24]陈忠阳.金融风险分析与管理研究[M].中国人民大学出版社2001: 14-18
[25]王硕平.我国金融风险的系统分析[J].金融与保险2000 (8): 42-44
[26]林孝成管七海冯宗宪金融机构的国家风险评估模型评介[J].金融与保险2000 (4): 20-23
[27]唐旭,张伟.论建立中国金融危机预警系统[J]经济学动态2002 (6):7-12
[28]马超群,李红权.VaR方法及其在中国金融风险管理中的应用[J].系统工程.2000(2):56-59
[29]永道会计财务咨询公司编著,中国银行总行翻译,交通银行总行审校,金融企业风险管理的通用原则[M].中国金融出版社2003: 78-85
[29]许大志,郑祖康.非参数方法在金融风险管理模型中的应用[M].系统工程报.2004:25-32
[30]菲利普·乔瑞.VaR风险价值一金融风险管理新标准[M].中信出版社.2000:8-78
[31]陈云贤等风险收益决策分析阳[M].新华出版社.2000:4-32
[32]任兆璋金融风险防范与控制[M].社会科学文献出版社.2001:2-20 [33谢太峰,郑文堂,王建梅.金融业务风险及其管理[M].社会科学文献出版社.2002:3-24
[34]霍再强.现代金融风险管理[M].科学出版社2004:4-40
[35]吴明隆.SPSS统计应用事务—问卷分析与应用[M].科学出版社.2003:28-98
[36]宋逢明.金融工程原理-无套利均衡分析[M].清华大学出版社.2003:8-34
[37]张尧庭.金融市场的统计分析[M].广西师范大学出版社.1999:19-45
[38]胡继之.金融衍生产品及其风险管理附[M].中国金融出版社.2006:26-28
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