基于DCC-GARCH-CVaR的外汇储备汇率风险动态分析  

Dynamic Analysis of Foreign Exchange Reserve's Exchange Rate Risk Based on DCC-GARCH-CVaR Model

作　　者：姜昱[1] 邢曙光[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《财经理论与实践》2010年第2期16-20,共5页The Theory and Practice of Finance and Economics

摘　　要：利用DCC-GARCH模型结合条件风险价值CVaR描述了我国外汇储备的汇率风险,结果显示近期汇率风险有增加趋势。为了降低汇率风险,根据资产管理思想,通过建立Mean-CVaR模型得出了最优的币种结构。最后,对储备币种调整前后的CVaR进行了对比分析,结果显示通过币种调整汇率风险明显降低。In this paper, the exchange rate risk of China＇s foreign exchange reserve is described by DCC-GARCH model combining with CVaR. The results show the risk is increasing recently. To avoid risks, optimal currency composition has been obtained from building a Mean-CVaR model based on asset management theories. In the end, a comparison analysis of the CVaR values before and after the adjustment shows the risks have reduced greatly.

关 键 词：汇率风险 DCC—GARCH模型 动态CVaR Mean—CVaR模型 

分 类 号：F830.92[经济管理—金融学]