广义双曲线分布模型在我国证券市场风险度量中的应用研究  

The Application of Generalized Hyperbolic Distributions toRisk Measurement in Chinese Stock Market

作　　者：郭海燕[1] 李纲[2] 

机构地区：[1]惠州学院经济管理系,广东惠州516007 [2]广州大学数量经济研究所,广东广州510405

出　　处：《运筹与管理》2004年第4期106-109,154,共5页Operations Research and Management Science

摘　　要：经济的全球化、衍生产品的大量出现以及因此导致的金融市场的动荡使得金融机构越来越需要更有效的风险管理方法。而如何精确度量风险是风险管理的关键问题。本文试图从金融收益分布假设着手改善风险度量的精度。国外学者研究发现广义双曲线分布比其它分布形式可以更好地拟合实际收益分布特征。本文首次把广义双曲线分布应用到VaR的分析方法中计算我国股票指数的VaR。实证结果表明,基于广义双曲线分布的方法得到了较好的预测结果。In recent years the need for more accurate and efficient market risk management has become increasingly important to financial institutions for a number of reasons: globalization, financial derivatives, deregulation and high volatility in finance market. How to measure risk accurately is the key to improving risk management in financial institutions. We try to improve the accuracy of the risk assessment from a new hypothesis of return distribution. In this paper, we discuss the application of generalized hyperbolic distributions to risk measurement in Chinese stock market for the first time. Our studies indicate that the model based on the generalized hyperbolic distributions can present more realistic Value-at-Risk estimates.

关 键 词：金融风险管理 广义双曲线分布 正态逆高斯分布 双曲线分布 VALUE-AT-RISK 

分 类 号：F830.91[经济管理—金融学]