本文選題：VaR　切入點：Copula函數(shù)　出處：《蘭州大學》2013年碩士論文　論文類型：學位論文

【摘要】：本文綜合介紹了VaR模型理論,對其產(chǎn)生背景、研究現(xiàn)狀、基本原理、計算過程以及方法進行了綜述,同時對Copula函數(shù)進行了系統(tǒng)的梳理和總結.針對線性相關系數(shù)與以往常用的分析方法的不足,引入Copula函數(shù)來刻畫投資組合中不同資產(chǎn)間的相關結構對組合的風險進行更精確地度量. 通過VaR模型對我國的上證指數(shù)和深成指數(shù)2010年1月25日至2012年12月28日的波動性加以實證分析,進行模型檢驗,從而得出模型有效的結論.用Copula函數(shù)刻畫上證綜指和深成指數(shù)之間的相關結構進而得到投資組合收益率的聯(lián)合分布,建立了《Copula-VoR-GARCH模型,利用各項資產(chǎn)收盤價、成交量的歷史數(shù)據(jù),通過Monte Carlo模擬生成具有Copula相關結構的收益率分布,得到組合的風險價值. 本文應用Copula-VaR-GARCH模型通過Monte Carlo模擬計算投資組合的VaR值,考慮到中國證券市場收益率序列分布的非正態(tài)性,使用了既能描述方差時變性又能反映收益率分布的尖峰、厚尾特征的GARCH模型計算市場指數(shù)的VaR值.最后,在結論部分針對文章研究的的價值及不足之處進行了總結歸納,通過以上研究,對探討股票市場波動(風險)以及與預期收益之間的關系具有重要的理論意義和實用價值.
[Abstract]:In this paper, the theory of VaR model is introduced, and its background, research status, basic principle, calculation process and methods are summarized. At the same time, the Copula function is systematically combed and summarized. The Copula function is introduced to describe the correlation structure between different assets in the portfolio to measure the risk of the portfolio more accurately. The volatility of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index from January 25th 2010 to December 28th 2012 is empirically analyzed by VaR model. The Copula function is used to depict the correlation structure between Shanghai Composite Index and Shenzhen Composite Index, and then the joint distribution of portfolio returns is obtained. The < Copula-VoR-GARCH model is established, and the historical data of closing price and trading volume of various assets are used. The yield distribution with Copula related structure is generated by Monte Carlo simulation, and the risk value of the portfolio is obtained. In this paper, the Copula-VaR-GARCH model is used to calculate the VaR value of the portfolio by Monte Carlo simulation. Considering the non-normal distribution of the return series in China's securities market, the peak which can describe the variance time-varying and the return distribution is used. The VaR value of the market index is calculated by the GARCH model with thick tail feature. Finally, in the conclusion part, the value and deficiency of the research are summarized and summarized. It is of great theoretical significance and practical value to explore the relationship between volatility (risk) and expected return in stock market.
【學位授予單位】：蘭州大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1600199