CVaR在金融风险度量中的应用VIP免费

CVaR 在金融风险度量中的应用摘 要金融风险按照不同的标准划分有不同的风险，如市场风险、信用风险、操作风险、流动性风险等。本文将就其中的市场风险进行研究。作为证券行业主要风险的市场风险，在我国的经济体制转型时期表现得更加突出。目前，我国对于风险度量方法的研究和探索尚不完善，应用也尚不成熟。对于市场风险，本课题通过引入 VaR 的修正模型 CVaR，将此法运用于度量市场风险，建立具体的数学模型，给出求解方法及步骤，从而测算出 CVaR 值，得到证券行业市场风险的预警值，并总结出目前 CVaR 风险测度法在我国运用的难度，最后提出建议。关键词 市场风险；VaR；CVaR；GARCH 族模型Conditional Value at Risk and Its Use in Market Risk Measurement of SecuritiesAbstractMarket risk,the major risk of Securities,is more and more intense during the period of economic restructuring in China.In view of the flaw of present risk measurement system,Conditional Value at Risk is used for the market risk measurement which is better than Value at Risk. This paper creates the model,while gives the method and procedure for solving it.So CVaR of market combination is produced,which is just the early warning value of market risk. At last,it is concluded that the CVaR risk measurement is too difficult to use widely at present in China,then some advice is provided.Key words: market risk ; Value at Risk ; Conditional Value at Risk；GARCH model目录引言……………………………………………………………………………1绪论……………………………………………………………………………2第 1 章 CVaR 法的原理………………………………………………………31.1 VaR 风险测度法及其缺陷………………………………………………31.2 CVaR 风险测度原理………………………………………………………51.3 CVaR 的检验………………………………………………………………5第 2 章 CVaR 法在市场风险度量中的运用…………………………………62.1 计算方法…………………………………………………………………62.1.1 GARCH 族模型…………………...