var计算方法的改进及其实证分析word论文.docx

摘 要
金融创新和金融全球化使得现代金融机构的经营活动日益暴露于更多的市场风险之下。自 20 世纪 70 年代以来,全球金融市场在得到迅猛发展的同时,也呈现出了前所未有的波动性,致使全球金融市场风险日趋严重。进入新世纪,中国金融市场不断改革,加速对外开放, 正逐步与全球的金融体系接轨,近期股指期货以及融资融券业务的开通都充分说明了该趋势。中国金融市场的改革开放,在给我们带来巨大机遇的同时,也使得中国的金融机构将直接面对国外金融机构挑战和竞争,对中国的金融机构提出了更紧迫与严格的要求。因此,我国的金融机构应积极学****国外先进的市场风险测量理论与技术,迅速提高自身的市场风险管理水平,进而提高自身相对于国外金融机构的竞争实力。
本文先是介绍了目前常用的 VaR 值的计算方法,并且着重分析了历史模拟法的计算步骤以及该方法的优缺点,然后选择适合我国金融机构当前情况的历史模拟法作为研究对象,针对其缺点,提出了基于历史模拟法的 VaR 改进模型,利用成交量与时间对历史数据赋予权重, 并利用我国相关二级市场数据进行实证分析。实证结果表明,由于该模型考虑了成交量与时间的权重,成交量的权重分配减小了低成交量时收益率对 VaR 值的影响,时间的权重分配减小了早期相关性较小的收益率对 VaR 值的影响,因此,在结果对比分析中,改进后的方法比传统的历史模拟法以及参数方法拥有明显的优势。关键词:金融风险管理;VaR;历史模拟法;事后检验
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ABSTRACT
Financial innovation and financial globalization have made the business activities of modern financial institutions increasingly exposed to more and more market risks. Since the 1970s, the global financial market has been through the rapid development, but also shown unprecedented volatility, which resulting in worsening global financial market risks. In the new century, Chinese financial market continues to reform and speed up the opening, and is gradually integrated with the global financial system; stock index futures and the recent opening of margin trading fully illustrate the trend. Chinese financial market’s reform and opening up have brought us great opportunities, but also make Chinese financial institutions face the challenge petition from foreign financial institutions. Therefore, Chinese financial institutions should actively learn advanced market risk measurement theory and technology, rapidly increase the capacity of market risk management, and improve petitiveness relative to foreign financial institutions.
This article first describes the monly used to calculate VaR, illustrates the steps of historical simulation method, the advantages and disadvantages of historical simulation, and then chooses monly used method of financial institutions, historical simulation as the research object, proposes new method based on historical simulat