我国金融市场作为一个发展中的新兴市场，市场风险必将随着金融市场的发展而逐 渐加大，市场风险的增加对风险管理提出了新要求。国际上广泛接受和采用的风险管理 标准，是上个世纪 90 年代以后发展起来的新型风险管理工具--VaR。本文研究的内容是 在我国金融市场管理中应用 VaR 方法的可行性。本文首先把 VaR 方法与传统金融市场 风险管理方法进行了比较，其次介绍了 VaR 模型体系及模型检验方法，接下来阐述 了我国金融市场风险管理引入 VaR 方法的必要性，VaR 方法在我国运用的过程中存在的 问题及相应对策。最后通过对我国证券市场的股票指数的实证分析，验证 VaR 方法对我 国金融市场风险管理的适用性。 关键词：金融市场风险，VaR，可行性 ABSTRACT China’s money market is a development emerging market. With the development of money market the market risk will enlarge gradually. The increase of market risk set the new request to the risk management. Value at Risk (VaR) technique is a new risk management method that has been developed in 1990’s. It has become the standard measure of market risk employed by financial institutions and their regulators. This article studies the Feasibility of VaR in China’s Money Market Risk Management. This article first compared the VaR method with the tradition money market risk management method, next introduced the VaR model system and the model inspection procedure, then researched the necessity of introducing the VaR method to our country money market risk management, the question and the corresponding countermeasure which existed in the utilization of the VaR method, finally confirmed the serviceability of the VaR method in our country money market risk management by the analysis of our country stock index. Yi Xia(Technical Economics and Management) Directed by Associate Prof. Shen Wei KEY WORDS: money market risk, VaR, feasibility researchII 目 录 中文摘要 英文摘要 第一章 引 言 ..........................................................................................................1 1.1 VaR 产生背景 .................................................................................................1 1.2 国内外研究动态 ............................................................................................2 1.3 研究的意义 ....................................................................................................4 第二章 VaR 方法与传统金融市场风险管理方法的比较 ..........................................6 2.1 金融市场风险管理理论的发展脉络 ..............................................................6 2.1.1 资产组合理论 ................................................................................................... 6 2.1.2 资本资产定价模型 ........................................................................................... 7 2.1.3 期权定价模型 ................................................................................................... 8 2.2 VaR 方法与传统金融市场风险管理方法的比较 ............................................9 2.2.1 与资产组合理论的比较 ................................................................................... 9 2.2.2 与资本资产定价模型的比较 ......................................................................... 10 2.2.3 与其他风险管理办法的比较 ......................................................................... 10 第三章 VaR 模型体系及模型检验方法 ..................................................................11 3.1 VaR 的定义 ..................................................................................................11 3.2 VaR 的参数选择 ...........................................................................................12 3.2.1 持有期 ............................................................................................................. 12 3.2.2 置信水平 ......................................................................................................... 13 3.3 VaR 的模型体系 ...........................................................................................13 3.3.1 参数方法 ......................................................................................................... 14 3.3.2 历史模拟法 ..................................................................................................... 15 3.3.3 蒙特卡罗法 ..................................................................................................... 16 3.3.4 三种方法的比较 ............................................................................................. 17 3.4 模型检验方法 ..............................................................................................18 3.4.1 失败检验法 ..................................................................................................... 18 3.4.2 Christoffersen 区间预测法 ............................................................................ 20III 第四章 VaR 方法在我国金融市场风险管理中的可行性研究 ................................22 4.1 我国金融市场风险管理引入 VaR 方法的必要性 ........................................22 4.1.1 我国金融市场风险管理的现状 ..................................................................... 22 4.1.2 VaR 方法引入我国的必要性 .......................................................................... 22 4.2 VaR 方法在我国金融市场风险管理中的可行性分析 ...................................24 4.2.1 VaR 方法在我国金融市场风险管理中的应用 .............................................. 24 4.2.2 VaR 方法在我国运用的过程中存在的问题 .................................................. 26 4.2.3 VaR 方法在我国市场风险管理中的运作策略 .............................................. 28 第五章 VaR 方法在我国证券市场的实证研究 .......................................................30 5.1 样本和数据选取 ..........................................................................................30 5.1.1 分析指标的选取 ............................................................................................. 30 5.1.2 收益率的计算方式 ......................................................................................... 31 5.1.3 样本区间 ......................................................................................................... 32 5.1.4 持有期及置信度的选取 ................................................................................. 32 5.2 正态性检验 ..................................................................................................33 5.2.1 检验方法 ......................................................................................................... 33 5.2.2 检验结果 ......................................................................................................... 34 5.3 VaR 值的计算 ...............................................................................................35 5.3.1 历史模拟法 ..................................................................................................... 35 5.3.2 组合 -- 正态模型 .............................................................................................. 37 5.4 模型检验 .....................................................................................................37 第六章 结 论 ........................................................................................................40