【作者】 吴拥政；

【导师】 宋光辉；

【作者基本信息】 湖南大学 ， 统计学， 2004， 硕士

【摘要】 金融是经济的核心，金融安全直接关系到经济安全。金融风险是现代金融活动中客观存在的事实。20世纪90年代以来的一系列金融危机引人深思，金融危机源自金融风险的积累与放大，使金融体系受到根本性威胁和破坏，危及一个国家乃至世界的金融安全与经济安全。本文从有效市场假说(EMH)和分形市场假说(FMH)同时切入金融市场，以金融风险测度为基础开展研究。首先，从微观入手，深入进行金融风险测度理论与实证研究，理论研究在风险价值(VaR)法和重标极差法(R／S)的金融市场风险测度研究的基础上，继续探讨风险价值(VaR)法在金融信用风险、流动性风险测度方面的应用，特别是对商业银行信用风险、流动性风险的测度。实证研究包括风险价值(VaR)法的金融市场风险测度、重标极差(R／S)法的金融市场风险测度和风险价值(VaR)法的金融信用风险测度三方面。其次，针对加入WTO以后，我国金融改革深入、开放扩大的更高要求，以及面对金融国际化浪潮给我国金融发展带来的挑战，利用两种市场理论，特别是分形市场理论，根据金融风险测度实证研究的结果，着眼于宏观金融，深入研究并且提出了新时期我国实施金融监管的基本策略与核心策略。本文特别强调，我国加入WTO以后，由于金融市场日趋复杂化，应该着力从有效市场假说(EMH)和分形市场假说(FMH)两方面对金融风险进行多角度的综合测度研究。金融风险控制、金融监管实施和金融安全维护需要有机地协同，三者在本质上是一体的。更多还原

【Abstract】 Finance is the core of economy, and financial safety is directly related with economic safety. Financial risk is objective in modern finance activity. Inl990s, series financial crisis made people think deeply , financial crisis is from the accumulating and enlarging of financial risk , and financial risk can be enough to threat and damage financial system essentially, and then can jeopardize the financial and economic safety of a country and even of the world. This paper observes financial market with both the Efficient Market Hypothesis(EMH) and the Fractal Market Hypothesis(FMH) at the same time, financial risk measurement is the base of the whole research. Firstly, this paper microscopically started with a thoroughly theoretical and positive research on financial risk measurement. Theoretical research is based on financial market risk measurement with both the Value at Risk(VaR) method and the Rescaled Range (R/S) method, and then discussed the application of the VaR method on financial credit and liquidity risk measurement .especially on those of commercial bank. Positive research includes financial market risk measurement by both VaR and R/S method, and financial credit risk measurement by VaR method. Secondly, aimed at the higher standard of further reform and enlarging open of our country after joined WTO, and facing the challenge that financial internationalization tide brings to the financial development of our country, according to result of Positive research on financial risk measurement, and based on the two market theories, especially the fractal market theory, this paper puts stress on macroscopic finance, and does a thorough research and has put forward some basical and key strategy for our country to implement financial supervision in this new period. This paper especially emphasizes that after joined WTO, our financial market becomes complex day by day, so it is necessary to observe it from both EMH and FMH angle at the same time ,and carry out a comprehensive research on financial risk measurement. We need to do an organically cooperative work between financial risk control .financial supervision implement and financial safety maintenance , and these three are essentially one thing.更多还原