基于VaR与CVaR度量金融风险的实证研究-应用统计专业论文.docx

基于 VaR 与 CVaR 度量金融风险的实证研究 摘 要 金融市场中充满了机会，但同时也暗藏了风险。如何有效度量风 险是我们所关心的问题。近年来，VaR 与 CVaR 作为度量风险的指标 被大家广为使用。本文将理论与实际背景相结合，给出了 VaR 与 CVaR 的数学定义，研究了它们的性质，比较了二者的共性与区别。选取了 不同的置信度和不同的时期，建立了基于 VaR 的保本基金策略模型和 股票投资组合的均值-CVaR 模型，通过 matlab 做了实证研究，给出了 最优的股票配置组合，得出了 VaR 与 CVaR 能够有效度量证券市场的 风险的结论。这对于我们规避风险有实际意义。 关键字：VaR、CVaR、保本基金、股票投资组合、均值-CVaR 模型 I Empirical Study of Finacial Risk Based on VaR and CVaR ABSTRACT Financial market is not only full of opportunities but also hidden risks. How to effectively measure the risk is a matter of concern to us.As the measure of risk indicators. Both VaR and CVaR are widely used in recent years. We combine theory and practical together in this paper. Introduce the mathematical definition of VaR and CVaR. Learn their properties. Compare the similarities and differences between them. Select the different confidence level and periods. Establish a principle guaranteed fund model based on VaR and a mean-CVaR model of equity portfolio. Give an optimal combination of stock through matlab. At last we obtain that VaR and CVaR can be the effecitive measure of risk. It has the significant effect of risk aversion. KEY WORDS: VaR, CVaR, Principal Guaranteed Fund, Equity Portfolio, Mean-CVaR Model II 目 录 HYPERLINK \l _bookmark0 第一章 绪论 ······················································································· 1 HYPERLINK \l _bookmark1 1.1 研究背景和研究意义 ···································································· 1 HYPERLINK \l _bookmark2 VaR 与 CVaR 的文献综述 2 HYPERLINK \l _bookmark3 VaR 的文献综述 2 HYPERLINK \l _bookmark4 CVaR 的文献综述 3 HYPERLINK \l _bookmark5 1.3 本文的结构与创新 ······································································· 4 HYPERLINK \l _bookmark6 第二章 一致性风险度量下的金融市场风险概论·········································· 6 HYPERLINK \l _bookmark7 2.1 风险的分类 ················································································ 6 HYPERLINK \l _bookmark8 2.1.1 系统风险 ··························································