【作者】 甄建敏；

【导师】 杨柳勇；

【作者基本信息】 浙江大学 ， 金融学， 2003， 硕士

【摘要】 如何有效合理地进行金融风险管理这一问题，不论是投资者还是政府监管部门，近几十年来越来越受到重视，风险管理问题也正逐渐成为现代金融机构管理的基础和核心。而VaR风险价值方法的出现则为有效的风险管理提供了强有力的技术支持。 VaR风险价值方法是90年代以后发展起来的一种新型风险管理工具，作为一种金融风险测定和控制的模型，它简单易操作，相比于传统的金融风险管理模型，更具有实用性和投资参考意义。目前它已成为国际上度量市场风险、业绩评估和监管信息披露等方面的一种主流方法。 然而，国内金融风险管理的技术主要还是采用传统的资产负债管理(ALM)和资产定价模型(CAPM)等，虽然迹象表明已有一些金融机构和机构投资者，已经开始运用VaR风险价值方法进行内部风险管理和控制，但还没有一家对外公布其所持资产的VaR风险值。这说明VaR方法在我国的应用与国际上金融风险管理技术的主流还存在较大差距。 证券市场作为整个金融市场中的一个重要组成部分，剧烈的波动性和巨大的信息量使其当之无愧地成为了金融市场风险管理的主角。中国证券市场从始至今只有十多年时间，与发达国家较为成熟的证券市场相比，尚处于市场发展的初期阶段，也处于一个复杂的、多变的风险环境中，因此对风险的管理和控制也显的更为重要，无论是对于直接的证券投资者还是基金管理者，都提出了更高的风险管理要求。 因此，本文主要是对VaR风险价值法这一新型风险管理工具如何在我国证券市场中得到有效应用进行一些探讨。本文首先系统介绍了VaR的概念、模型体系及其计算方法，并对不同的VaR模型进行比较分析：然后，在这基础上，把它与传统的风险管理方法进行了比较，从理论上对VaR方法在市场风险管理中的应用作些探讨，并就VaR方法在度量市场风险时应注意的问题作了归纳。最后，结合我国证券市场的实际情况分析风险控制的必要性和引入VaR方法的意义所在，并以我国证券市场中第一只开放式投资基金和上证指数为对象进行实证分析，得出了目前在我国证券市场中运用VaR方法来进行风险管理和控制是可行和有效的结论。更多还原

【Abstract】 In the last few years, how to manage financial risk efficiently has been paid attention to not only by investors but also by government supervisors. Risk management becomes the management focus of modern financial institution. The appearance of Value at Risk(VaR) method provided the technique aid for managing financial risk efficiently.VaR technique is a new risk management method that has been developed in 1990’s. As a quantitative model to measure and control financial risk, compared with traditional models, it is easy to understand and apply so as to have more practical and referential significance. At present, VaR technique has become one of main methods to measure market risk, assess achievement and expose information in the world.However, mostly of domestic financial institution have applied traditional risk management models, such as Asset-Liability Management, the Capital Asset Pricing Model etc. Though, the sign indicates that some institution investors have applied VaR technique, none of these exposes VaR information of their holding assets.Stock market is one of important components of the whole financial markets. Its severe volatility and large transaction volume make itself to be leading role in financial market. The Stock Market of China has only ten-more-year history, it is in the earliest developing phrase and in the complicated or mercurial risk environment. So it is more important to pay attention to risk management and controlling.So this paper is about that how to apply VaR method as a new risk management efficiently in our country. In the paper, firstly, I systematically introduce VaR technique’s conception, model systems and calculating methods. Secondly, on the basis of the former article, I compare VaR technique with traditional risk management technique, then carry out further qualitative discussion about its detailed application in risk management, and also summarize some question of measuring market risk with VaR. Finally, I relate The Securities Market of China to discuss the necessity of controlling risk and the significance of introducing VaR technique. I also choose first open-end funds and market index as empirical object to test, and I draw a conclusion that it is workable to manage or control market risk with applying VaR technique in domestic securities market now.更多还原