【作者】 何旭彪；

【导师】 龚朴；

【作者基本信息】 华中科技大学 ， 企业管理， 2005， 博士

【摘要】 现有VaR 风险计量方法一般未考虑各种风险相互耦合作用的影响,易导致对金融风险估计不足,欲揭示风险耦合作用的特性则增加了分析问题的难度和复杂性。风险耦合作用使得线性叠加原理不能成立,且线性相关结构不足以描述风险耦合的非线性特征。因此,在现代金融风险管理中迫切需要建立能够综合反映各种金融风险相互耦合作用影响的风险评估体系。本文对VaR 风险耦合理论以及数值模拟技术进行了深入的研究。为了获取风险耦合理论模型中所需的信用参数,文中充分挖掘我国上市公司的市场信息,引入违约距离的概念,提出了上市公司违约概率模型,建立了信用评级体系; 借助copula相关结构理论描述风险间的耦合作用,建立了VaR 风险耦合理论模型并给出了相关的数值模拟技术,拓展了VaR 风险计量方法的应用范围; 基于强度模型导出了反映风险耦合影响的可转换债券定价方程,通过径向基函数方法求得其数值解,并利用VaR 风险计量方法评价了可转换债券的风险; 提出了非平移收益曲线下的利率风险对冲策略,并利用VaR 风险计量方法检验了策略的有效性; 为了反映收益率的“尖峰厚尾性”和波动率的集聚性,文中采用广义误差分布代替GARCH 模型中的正态分布假设,建立了广义误差分布GARCH 模型,利用copula 相关结构的Monte Carlo数值模拟技术生成了具有copula 相关结构的模拟情景分布,并借助违约概率信息模拟公司违约行为,从而获得了风险耦合作用下资产组合的风险值VaR 及Mean-CVaR有效前沿。研究表明,违约概率模型能有效的识别上市公司的信用风险; 本文建立的我国上市公司信用评级体系的评估结果与新华远东评级体系相应的评估结果呈显著地正相关关系; VaR 风险耦合评估模型能有效地反映信用风险、市场风险及其耦合作用的影响,更准确地度量金融资产的整体风险,ST 公司具有较大的信用风险,仅度量其市场风险会严重的低估其风险; 考虑信用风险的可转换债券理论价值更接近其市场价值,忽略信用风险影响会低估其金融风险; 非平移收益曲线下的利率风险对冲策略有效地降低了对冲组合的风险值VaR。本文的研究对金融风险管理和投资决策具有重要的参考价值。更多还原

【Abstract】 At present, value at risk (VaR) approach often ignores risks’ coupling influence, which underestimates the financial risk. Since coupling risks haven’t linear additivity and linear correlation is not sufficient to describe nonlinear dependence structure for coupling risks, the risk measure problem under risks’ coupling effect becomes very complex and difficult. So, it is very important to build coupling risks’ measure system for financial risk management. The work presented in this dissertation extends VaR approach using risks’ coupling theory and measures coupling risks using numerical simulation technology. In order to gain the credit risk’s parameters in the risks’ coupling model, default probability is obtained from stock’s price according to the concept of default distance, default probability model about Chinese listed company is proposed and credit rating system is built. Using the theory of copulas to describe the dependence structure of coupling risks, the paper builds VaR risks’ coupling model and proposes numerical simulation technology about the model, extends the application of VaR approach; proposes the pricing model of convertible bond which takes the credit risk into account based on the intensity model, uses radial basis function approach to solve the valuation model and measures the VaR of convertible bond; designs interest rate risk hedge strategy under nonparallel shift of the yield curve, verifies the hedge strategy’s effect using VaR approach. In order to describe the characteristics of stock return’s distribution which are fat-tails and exaggerate volatility, Normal Distribution is replaced by Generalized Error Distribution in GARCH model, the simulated distribution with copulas dependence is made using Monte Carlo simulation. Through simulating default behaves of Chinese listed companies, capital portfolio’s VaR and efficient frontier of Mean-CVaR model under risks’ coupling effect are gained. The result shows that default probability model can identify the credit risk of Chinese listed companies effectively; credit rating system gives Chinese listed companies’ credit rating results and the results are positive correlated with the corresponding rating results from Xinhua Finance; VaR risks’ coupling model can reflect credit risk, market risk and the coupled effect between risks, and exactly measures the total risk of financial capital. ST listed company’s credit risk is bigger, and its total risk can be underestimated if only measuring its market risk; considering credit risk, the theory value of convertible bond be closer to its market price, if ignores credit risk, can underestimates its total risk; interest rate risk hedge strategy under nonparallel shift of the yield curve reduces the VaR of hedging portfolio effectively. The researches have important reference value for financial risk management and investment decision.更多还原