论文标题:金融风险度量及其比较研究
Financial Risk Measurement with the Comparision Approach
论文作者
论文导师 杨招军,论文学位 硕士,论文专业 数量经济学
论文单位 湖南大学,点击次数 393,论文页数 75页File Size888K
2006-05-10论文网 http://www.lw23.com/lunwen_3244307/
Risk measure; Semi-variance; Deviation; Semi-deviation; Loss & profit segregating risk index; Axiomatized criterion
金融市场运作是一个复杂的系统工程。在金融市场中,风险是客观存在的。风险可能给人们带来巨大的经济损失,因而风险管理成为了国家、企业和个人的客观需要。 风险管理是金融工程研究的主要内容。近三十年以来,金融工程和现代金融实践日益密切结合,国际金融市场不断发展,金融产品不断创新。为了度量、比较各种金融产品的风险,反映各个市场参与者对待风险的态度,出现了各个领域内特有的风险度量,致使风险度量的概念一直比较模糊。本文基于已有风险管理的研究成果,主要阐述了以下几个问题: 1.论述了金融风险管理的重要性,特别是风险度量在风险管理中的关键作用。对以往各种风险度量方法详细的进行了分类讨论,说明了各自的优劣势以及相互间的区别和联系。进一步明确了风险度量的公理系统,总结提出了风险度量的公理化标准,使得各种风险度量都可以纳入到这个统一的框架内进行讨论。 2.针对具有非线性支付函数的衍生产品以及金融数据明显的“厚尾”现象,本文第五章对风险价值(VaR )分别从现金价值和收益率作为随机变量两方面进行归纳定义,讨论了VaR的性质,并详细研究了VaR的算法及各种算法的优缺点。 3.以上证国债指数、深证成分指数在2005年11月14日到2006年4月7日共20个周收益率为样本,对常用的方差、LPMs、VaR风险度量方法进行了实证分析。在置信度为70%的条件下,VaR模型的效率最高,L PM 2模型其次,Markowitz均值—方差模型较差。 4.基于论文提出的风险度量的公理化标准,对以往波动性风险度量方法进行了改进和创新,根据投资行为主体对待风险的主观偏好程度以及正偏差对投资决策的积极作用,提出了一种在理论上更完美的波动性风险度量方法——损益分离风险指数。虽然与绝大多数波动性风险度量方法一样,也不满足公理化标准的单调性、平移不变性、正齐性,但是在保留大多数波动性风险度量方法优点的基础上,损益分离风险指数更加满足公理化标准的灵活性,也更加符合现实情况。
The operation of financial markets is a complex systematic engineering. In the financial markets, risk exists objectively. Risk may cause huge economic losses to the people, therefore risk management has become objective needs of the countries, enterprises and individuals. Risk management is the main topic of the financial engineering. In the recent 30 years, financial engineering has shown more and more closely relation to modern financial practice. The international financial markets have developed and many kinds of financial innovations have been come up continuously. In order to measure and compare the risk of all kinds of financial products, which reflects the attitude of the market participants towards risk, there emerge a lot of risk measures in each domain, and the measure of the risk is so blur that it often has the different meanings in the different financial areas. Based on the primary achievements of the risk management, this dissertation mainly attacks the following problems: 1. The importance of financial risk management, especially the key effect of risk measurement in risk management is addressed. Some earlier risk measurement methods are discussed by comparison. The respective traits, difference and relation between them are also explained. Furthermore, the axiom system of risk is shown and the axiomatized criterion of general financial risk measurement is proposed. Therefore, various risk measurement can be brought into this uniform framework to discuss. 2. Aiming at derivative security with nonlinear payment function and the“fat tails”in the financial data, we induce the definitions of VaR in chapter 5 and discuss its characters from both the cash value and the returns ratios as a random variable. Moreover, we deliberate the algorithm of VaR in detail and the advantages & disadvantages of the various algorithms. 3. Making the 20 weeks returns ratios (from November 14, 2005 to April 7, 2006) of the debt index of Shanghai security, the ingredient index of Shenzhen security as a sample, and make the empirical analysis to the commonly using risk measure method, such as variance, LPMs ,VaR . When the confidence is 70%, model VaR has highest efficiency, model LPM 2 is the second and Markowitz’s mean-variance model is worst. 4. Based on the axiomatized criterion of general financial risk measurement
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