统计在金融风险度量中的应用研究.doc
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统计在金融风险度量中的应用研究,18500字 35页摘要: 金融风险一直是金融经济学中的热门话题，受到金融理论界与实务界的广泛关注。近几年来，人们的注意力集中在金融风险度量及规范管理上，并取得了一系列较为系统的风险度量方法和风险管理手段。譬如，波动性法、基于var、cvar的分位数法等等。这些方法主要以数理统计知识为研究...
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统计在金融风险度量中的应用研究
18500字 35页
摘要: 金融风险一直是金融经济学中的热门话题，受到金融理论界与实务界的广泛关注。近几年来，人们的注意力集中在金融风险度量及规范管理上，并取得了一系列较为系统的风险度量方法和风险管理手段。譬如，波动性法、基于VaR、CVaR的分位数法等等。这些方法主要以数理统计知识为研究工具，结合了一定的市场背景和经济意义，从不同角度对金融风险进行了细致的刻画。由于它们自身都存在着优缺点，所以在实际的市场操作过程中往往很难确定到底该选用哪种方法度量才最有效。鉴于此，本文考虑了特殊情形下关于VaR与CVaR两种度量方法的选择问题。
首先，本文从风险的概念入手，分析其主要特征，揭示风险度量研究的意义与目的；其次，通过公式推演、作图示意、实例论证等手段，从定义、性质、计算及经济含义等方面对三种常见的金融风险度量方法依次进行探讨，着重研究比较它们之间的区别与联系；最后，作为文章的主要创新部分：将借用极限思想，给出一个在特定条件下的有关两种风险指标的选择模型和判断依据。
关键词: 风险 风险度量原则 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 录
摘 要 Ⅰ
Abstract Ⅱ
目 录 Ⅲ
第一章 绪 论 1
1.1 研究背景及研究现状 1
1.1.1 研究背景 1
1.1.2 研究现状 3
1.2 研究依据和步骤 4
1.3 本文的主要工作 4
1.3.1 本文的思路结构 4
1.3.2 本文的创新之处 5
第二章 金融市场风险度量方法及其部分特征刻画 6
2.1 风险度量原则 6
2.2 波动性方法 7
2.2.1 定义 7
2.2.2 单种资产风险的度量 7
2.2.3 资产组合风险的度量 8
2.2.4 风险分散化 9
2.3 VaR方法 10
2.3.1 定义 11
2.3.2 特点 11
2.3.3 性质 11
2.3.4 主要计算方法 12
2.3.5 VaR方法在金融领域的普遍性、科学性 14
2.4 CVaR方法 15
2.4.1 定义 15
2.4.2 性质 15
第三章 几种风险度量方法的比较——实例分析 17
3.1 数据选取 17
3.2 用波动性方法计算实例 17
3.3 用VaR和CVaR度量方法计算实例 20
3.4 本章小结 23
第四章 同一置信水平下关于VaR与CVaR两种度量方法的选择问题 24
4.1 极限思想下的对两种模型的选择初探 24
4.2 本章小结 26
结 论 27
致 谢 29
参考文献 30
18500字 35页
摘要: 金融风险一直是金融经济学中的热门话题，受到金融理论界与实务界的广泛关注。近几年来，人们的注意力集中在金融风险度量及规范管理上，并取得了一系列较为系统的风险度量方法和风险管理手段。譬如，波动性法、基于VaR、CVaR的分位数法等等。这些方法主要以数理统计知识为研究工具，结合了一定的市场背景和经济意义，从不同角度对金融风险进行了细致的刻画。由于它们自身都存在着优缺点，所以在实际的市场操作过程中往往很难确定到底该选用哪种方法度量才最有效。鉴于此，本文考虑了特殊情形下关于VaR与CVaR两种度量方法的选择问题。
首先，本文从风险的概念入手，分析其主要特征，揭示风险度量研究的意义与目的；其次，通过公式推演、作图示意、实例论证等手段，从定义、性质、计算及经济含义等方面对三种常见的金融风险度量方法依次进行探讨，着重研究比较它们之间的区别与联系；最后，作为文章的主要创新部分：将借用极限思想，给出一个在特定条件下的有关两种风险指标的选择模型和判断依据。
关键词: 风险 风险度量原则 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 录
摘 要 Ⅰ
Abstract Ⅱ
目 录 Ⅲ
第一章 绪 论 1
1.1 研究背景及研究现状 1
1.1.1 研究背景 1
1.1.2 研究现状 3
1.2 研究依据和步骤 4
1.3 本文的主要工作 4
1.3.1 本文的思路结构 4
1.3.2 本文的创新之处 5
第二章 金融市场风险度量方法及其部分特征刻画 6
2.1 风险度量原则 6
2.2 波动性方法 7
2.2.1 定义 7
2.2.2 单种资产风险的度量 7
2.2.3 资产组合风险的度量 8
2.2.4 风险分散化 9
2.3 VaR方法 10
2.3.1 定义 11
2.3.2 特点 11
2.3.3 性质 11
2.3.4 主要计算方法 12
2.3.5 VaR方法在金融领域的普遍性、科学性 14
2.4 CVaR方法 15
2.4.1 定义 15
2.4.2 性质 15
第三章 几种风险度量方法的比较——实例分析 17
3.1 数据选取 17
3.2 用波动性方法计算实例 17
3.3 用VaR和CVaR度量方法计算实例 20
3.4 本章小结 23
第四章 同一置信水平下关于VaR与CVaR两种度量方法的选择问题 24
4.1 极限思想下的对两种模型的选择初探 24
4.2 本章小结 26
结 论 27
致 谢 29
参考文献 30
