統(tǒng)計(jì)在金融風(fēng)險(xiǎn)度量中的應(yīng)用研究

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摘要: 金融風(fēng)險(xiǎn)一直是金融經(jīng)濟(jì)學(xué)中的熱門話題，受到金融理論界與實(shí)務(wù)界的廣泛關(guān)注。近幾年來，人們的注意力集中在金融風(fēng)險(xiǎn)度量及規(guī)范管理上，并取得了一系列較為系統(tǒng)的風(fēng)險(xiǎn)度量方法和風(fēng)險(xiǎn)管理手段。譬如，波動(dòng)性法、基于VaR、CVaR的分位數(shù)法等等。這些方法主要以數(shù)理統(tǒng)計(jì)知識為研究工具，結(jié)合了一定的市場背景和經(jīng)濟(jì)意義，從不同角度對金融風(fēng)險(xiǎn)進(jìn)行了細(xì)致的刻畫。由于它們自身都存在著優(yōu)缺點(diǎn)，所以在實(shí)際的市場操作過程中往往很難確定到底該選用哪種方法度量才最有效。鑒于此，本文考慮了特殊情形下關(guān)于VaR與CVaR兩種度量方法的選擇問題。
首先，本文從風(fēng)險(xiǎn)的概念入手，分析其主要特征，揭示風(fēng)險(xiǎn)度量研究的意義與目的；其次，通過公式推演、作圖示意、實(shí)例論證等手段，從定義、性質(zhì)、計(jì)算及經(jīng)濟(jì)含義等方面對三種常見的金融風(fēng)險(xiǎn)度量方法依次進(jìn)行探討，著重研究比較它們之間的區(qū)別與聯(lián)系；最后，作為文章的主要?jiǎng)?chuàng)新部分：將借用極限思想，給出一個(gè)在特定條件下的有關(guān)兩種風(fēng)險(xiǎn)指標(biāo)的選擇模型和判斷依據(jù)。

關(guān)鍵詞: 風(fēng)險(xiǎn) 風(fēng)險(xiǎn)度量原則 方差 VaR CVaR


The application of statistics in the financial risk measurement

Abstract Financial risk has been a hot topic in financial economics, received extensive attention of financial theory and practice. In recent years, people's attention on the financial risk measurement and management, has made a series of a systematic risk measurement and risk management. For example, volatility, VaR and CVaR based on quantile method, and so on. These methods mainly use the knowledge of mathematical statistics as research tools, combined with a certain market background and economic significance, from different angles carried on the detailed depiction on the financial risk. Because there are advantages and disadvantages on themselves respectively, it is often difficult to determine exactly what kind of measurement method is most effective in the process of the actual market operations. In view of this, this article takes into account of the selection problem between two measurement methods of VaR and CVaR under the special circumstances.
At first, this article starts from the concept of risk ,and then analyzes its main characteristics, reveals the significance and purpose of risk measurement; Secondly, using the formula deduction, drawing schematic and instance analysis method, from the aspects of definition, nature, calculation and its economic meaning of three common financial risk measurement methods are discussed in turn, takes focus on their main difference and compares them; The last part as the main innovation of the article will borrow the thought of limit to give a model and a judgement on the choice of two kinds of risk index under the certain conditions.
Key words risk risk measurement principle variance VaR CVaR


目 錄
摘 要 Ⅰ
Abstract Ⅱ
目 錄 Ⅲ
第一章 緒 論 1
1.1 研究背景及研究現(xiàn)狀 1
1.1.1 研究背景 1
1.1.2 研究現(xiàn)狀 3
1.2 研究依據(jù)和步驟 4
1.3 本文的主要工作 4
1.3.1 本文的思路結(jié)構(gòu) 4
1.3.2 本文的創(chuàng)新之處 5
第二章 金融市場風(fēng)險(xiǎn)度量方法及其部分特征刻畫 6
2.1 風(fēng)險(xiǎn)度量原則 6
2.2 波動(dòng)性方法 7
2.2.1 定義 7
2.2.2 單種資產(chǎn)風(fēng)險(xiǎn)的度量 7
2.2.3 資產(chǎn)組合風(fēng)險(xiǎn)的度量 8
2.2.4 風(fēng)險(xiǎn)分散化 9
2.3 VaR方法 10
2.3.1 定義 11
2.3.2 特點(diǎn) 11
2.3.3 性質(zhì) 11
2.3.4 主要計(jì)算方法 12
2.3.5 VaR方法在金融領(lǐng)域的普遍性、科學(xué)性 14
2.4 CVaR方法 15
2.4.1 定義 15
2.4.2 性質(zhì) 15
第三章 幾種風(fēng)險(xiǎn)度量方法的比較——實(shí)例分析 17
3.1 數(shù)據(jù)選取 17
3.2 用波動(dòng)性方法計(jì)算實(shí)例 17
3.3 用VaR和CVaR度量方法計(jì)算實(shí)例 20
3.4 本章小結(jié) 23
第四章 同一置信水平下關(guān)于VaR與CVaR兩種度量方法的選擇問題 24
4.1 極限思想下的對兩種模型的選擇初探 24
4.2 本章小結(jié) 26
結(jié) 論 27
致 謝 29
參考文獻(xiàn) 30