我国权证市场风险研究与实证分析  

Research of Estimating Warrant's Market Risk

作　　者：孙杨[1] 潘浩[1] 唐淼淼[1] 

机构地区：[1]南京财经大学金融学院,江苏南京210003

出　　处：《南京财经大学学报》2007年第4期42-46,共5页Journal of Nanjing University of Finance and Economics

基　　金：江苏省教育厅高校哲学社会科学基金(06SJB790025);江苏省科技厅软科学项目(BR2006505)的资助课题

摘　　要：本文在我国权证市场快速发展的背景下,在针对目前上市公司发行的权证进行系统研究的前提下,考察了我国权证市场风险特征并寻求解释。同时,运用蒙特卡罗模拟的VaR方法,在寻找适合我国权证定价模型的基础上,针对我国将于2007年5月到期的9只认购权证的理论风险价值(VaR)做实证研究,并且我们选择Kup iec提出的失败频率检验法对模型进行了检验。于此,为权证市场风险测量提供有效的方法和进一步研究的方向。The authors studied on China＇s warrant issued in market trying to look for an appropriate method for estimating market risk of warrant from existing models. This text investigated the character of Warrant＇s Market Risk and tried to give explanation. According to the finance random process and Monte Carlo simulation, aiming at our country currently nine warrant for expiring of the theories risk value do a substantial evidence research. Then we choosed Kupiec＇s failure frequency method to test. Through these, we gived the further direction of warrant risk research.

关 键 词：VAR 权证 市场风险 蒙特卡罗模拟 

分 类 号：F830.91[经济管理—金融学]