VaR方法在我國股票市場中的應(yīng)用研究.pdf

1、重慶大學(xué)碩士學(xué)位論文VaR方法在我國股票市場中的應(yīng)用研究姓名：林加強(qiáng)申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：周孝華20050501重慶大學(xué)碩士學(xué)位論文 英文摘要IIABSTRACTUnder the influence of factors such as economic globalization and financeintegration, competing and relaxing control and finance i

2、nnovation and technologicalprogress, and so on, global financial environment and financial market have changedgreatly. Meanwhile, the fluctuation of the financial market and system risk areaggravated greatly. Risk manage

3、ment has become one of the key competitiveness of theindustrial and commercial enterprises and financial institution. The foundation of riskmanagement is to measure the risk. As a new tool of risk measuring and managemen

4、t,VaR technique is used widely since it was born, and has already become the majortechnique to measure market risk abroad at present. The stock market of our countryhave developed more than 10 years, much successful expe

5、rience has already made, butthere are a lot of unripe and nonstandard aspects. So the stock market of our countryoften fluctuates radically, and the market fluctuation is far higher than the western ripestock market of d

6、eveloped country. Because the stock market of our country is at aspecific developing stage at present, it is imperative to strengthen risk management. So,VaR model has a great meaning to the risk management of stock mark

7、et of our country.This text mainly discusses the application of VaR technique in three respects ofstock market of our country:First, apply VaR technique to measure the market risk of the index of stock marketand certain

8、stock. Take the calculation of VaR of Shanghai synthesis index as anexample, the text calculates the VaR of Shanghai synthesis index using four kinds ofGARCH models (GARCH, TARCH, EGARCH and PARCH) in normal distribution

9、, tdistribution and generalized error distribution (GED), respectively. The result indicates,t distribution is not suitable for the stock market of our country since over- evaluatingthe risk greatly; the GED measures the

10、 market risk more accurately than normaldistribution; PARCH model under the GED has the best result in calculating the VaR ofthe Shanghai synthesis index under the confidence of 99%.Second, apply VaR technique to the sec

11、urity investment fund of our country. Thispart discusses that how to apply VaR to set the quota of the risk position of the fund,measure the risk of investment combination of the fund, appraise the performance of thefund