股指期货的风险度量方法研究  

Study of stock index resk measurs

作　　者：何树红[1] 武剑[1] 陶粉娥[1] 

机构地区：[1]云南大学数学系,云南昆明650091

出　　处：《云南大学学报（自然科学版）》2008年第5期433-436,共4页Journal of Yunnan University(Natural Sciences Edition)

基　　金：国家自然科学基金资助项目(10561009);云南省教育厅科学研究重点项目基金(07Z11063);云南大学"中青年骨干教师培养计划"专项经费资助

摘　　要：股指期货是以某种股票指数为标的资产的期货合约.由于股票指数本身的波动性很大,因此对股指期货风险的度量就有较大的难度.通过对VaR模型、ES模型、POT模型的研究比较,找到其中比较适合我国股指期货的风险度量模型.Stock Index contract was a stock contract which Sign property was some Stock Index. Stock Index was often taken high fluctuation. So it was very difficult to measure Stock Index contract risk. It is studied and compared with VaR model, ES model and POT model in order to find out which was more suitable for our country＇s Stock Index contract risk measure.

关 键 词：股指期货 VAR模型 ES模型 POT模型 

分 类 号：F830[经济管理—金融学]