【作者】 崔建国；

【导师】 党耀国；

【作者基本信息】 南京航空航天大学 ， 管理科学与工程， 2010， 硕士

【摘要】 世界金融衍生品市场迅猛发展,它在为参与者提供避险工具的同时,也成为金融市场发生剧烈波动的根源,增大了风险管理的复杂性。对金融风险进行有效的管理成为国内外金融实务界、理论界和监管机构共同关注的焦点。风险测量是风险管理中首要而核心的部分,研究风险测量对于风险管理理论以及我国风险管理的发展具有十分重要的理论意义和现实指导意义。VaR和CVaR方法在风险测量、监管等领域获得广泛应用,成为金融市场风险测量的主流方法,基于GARCH类模型的参数估计方法是其中很重要的方法之一。股票价格的波动呈现出非对称性、非均衡的关系,收益的均值和方差是自相关的、不稳定的。其中非对称性与投资者的心理因素密切相关,然而,目前的这些非对称GARCH模型很少考虑投资者的心理因素对股价运行规律的影响。本论文分析已有的GARCH类模型,结合行为金融学中的前景理论,构建基于价值函数的VF-GARCH模型,并给出参数估计的极大似然函数估计方法。结合风险管理测量方法中的VAR和CVAR理论,运用VF-GARCH模型改进VAR和CVAR测量方法。选择沪深300指数的对数收益率作为样本,分别采用VF-GARCH模型和GARCH模型对沪深300指数的对数收益率进行建模,比较得出VF-GARCH模型具有优越性。利用VF-GARCH模型改进的VAR和CVAR参数方法测量沪深300指数对数收益率的VAR和CVAR值,采用Kupiec的失败频率检验法对测量结果进行有效性检验,实证结果对于沪深300指数期货的风险管理具有指导意义。更多还原

【Abstract】 With the rapid development of the world’s financial derivatives market, it provide participants with hedging tool, has become the root causes of volatile financial markets, increased the complexity of risk management. The effective management of financial risks has become focus attention of domestic and foreign financial practitioners, theoretical circles and regulatory agencies. Risk measurement is the core part of risk management. The study of risk measure has great theoretical significance and practical significance for risk management theory and the development of China’s risk management.VaR and CVaR method is widely applied in risk measurement, monitoring and other fields .It becomes the mainstream of financial market risk measurement methods and parameter estimation method based on the GARCH class model is one of the very important way. The volatility of stock prices showing a non-symmetrical, non-equilibrium and relationship between the mean and variance of income is self-related, and unstable. In which the non-symmetry are closely related to investors psychological factors, however, these non-symmetric GARCH model were with little regard for investors psychological factors on the price impact at present.This paper analyzes the existing GARCH class model, combined with the prospect theory of behavioral finance theory, build VF-GARCH model based on value function, and gives the maximum likelihood function parameter estimation method. Combined with measurement methods of risk management in the VAR and CVAR theory, it improved the VAR and CVAR measurement methods which based on VF-GARCH model. Select the number of the Shanghai and Shenzhen 300 Index log-return rate as a sample, using number of the Shanghai and Shenzhen 300 Index rate of return on the VF-GARCH and GARCH modeling, and comparison of derived VF-GARCH model has the advantage. Use VAR and CVAR parameters methods which improved based on VF-GARCH model to measure the rate of log-return of the Shanghai and Shenzhen 300 index VAR and CVAR values, measure the effectiveness of the results with the Kupiec’s failure frequency test method, the empirical results of the Shanghai and Shenzhen 300 index futures have guiding significance of risk management.更多还原