【摘要】：2007年爆發(fā)了新一輪的全球金融危機,起因于美國次貸危機。這場危機使得華爾街五大投資銀行全軍覆沒,時至今日,仍然對全球經(jīng)濟產(chǎn)生巨大的負面作用。危機的背后,正是由于市場對于不斷開發(fā)的次貸衍生品缺乏全面有效地風險管理,最終釀成悲劇。近年來,VaR方法逐漸成為國外大多數(shù)金融機構廣泛采用’的金融風險度量方法,這種方法在一定程度上彌補了其它風險度量方法的諸多不足。無疑,將VaR應用于證券市場的風險度量對于風險管理方法的進一步完善具有重大的理論和實用價值。 本文的主要工作如下： 引言闡述了本文研究的背景和意義以及文獻綜述,并介紹了本文的內容結構、研究思路。 第1章分析了風險及證券市場風險的含義、特征并進行了分類。 第2章介紹了證券市場風險的各種度量方法。 第3章是具體闡述了VaR度量方法的相關理論,并進行歸納、整理,重點對其中的歷史模擬法、Monte Carlo模擬方法和分析方法做了詳細論述,比較了三種方法的優(yōu)劣。 第4章介紹了VaR模型在我國股票市場中的實際運用。以上證180指數(shù)為研究對象,通過三種方法計算VaR值,并利用失敗頻率檢驗法對結果的準確性進行檢驗與評估。 第5章為本文結論部分。在前文研究的基礎上總結出本論文的研究成果：運用歷史數(shù)據(jù)法、Monte Carlo模擬法和分析方法的正態(tài)分布模型計算VaR值存在一定的局限性,無法準確度量長期風險；我國股票市場的市場化不成熟,尚不能充分有效地運用這三種模型對我國長時期內的上證180指數(shù)進行風險測量。最后對我國股市風險管理提出建議。
[Abstract]:In 2007, a new round of global financial crisis broke out, resulting from the subprime mortgage crisis in the United States. The crisis wiped out Wall Street's five biggest investment banks and still has a huge negative impact on the global economy. Behind the crisis, it was the market's lack of comprehensive and effective risk management for the ever-developing subprime derivatives that led to tragedy. In recent years, VaR method has gradually become a widely used 'financial risk measurement method in most foreign financial institutions. To some extent, this method has made up for many shortcomings of other risk measurement methods. Undoubtedly, it is of great theoretical and practical value to apply VaR to the risk measurement of securities market for the further improvement of risk management methods. The main work of this paper is as follows: the introduction describes the background and significance of this study and literature review, and introduces the content structure of this paper, research ideas. Chapter 1 analyzes the meaning, characteristics and classification of risk and securities market risk. Chapter 2 introduces various measures of securities market risk. In chapter 3, the related theory of VaR measurement method is elaborated, and summarized and sorted out. The historical simulation method, Monte Carlo simulation method and analysis method are discussed in detail, and the merits and demerits of the three methods are compared. Chapter 4 introduces the practical application of VaR model in Chinese stock market. Taking the 180 index of Shanghai Stock Exchange as the research object, the VaR value is calculated by three methods, and the accuracy of the result is tested and evaluated by using the failure frequency test method. Chapter 5 is the conclusion of this paper. Based on the previous studies, the research results of this paper are summarized: there are some limitations in the calculation of VaR by using the Monte Carlo simulation method and the normal distribution model of the historical data method, which can not accurately measure the long-term risk; The market of our country's stock market is immature, so we can not use these three models to measure the risk of Shanghai Stock Exchange 180 index for a long period of time. At last, some suggestions on risk management of stock market in China are put forward.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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