国际有色金属期货市场VaR和ES风险度量功效的比较  

Comparative research between VaR and ES on international nonferrous metals futures market

作　　者：杨娴[1] 陆凤彬[2] 汪寿阳[2] 

机构地区：[1]中国华融资产管理公司,北京100045 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2011年第9期1645-1651,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学创新研究群体基金(70221001);国家自然科学青年基金(71001096)

摘　　要：采用历史模拟法、蒙特卡罗模拟法、指数加权法、等权重法、GARCH法和极值理论法六种参数方法和非参数方法对国际有色金属期货市场风险值VaR建模,并引入基于极值理论的预期不足ES对风险度量进行补充.在利用返回检验对实证结果的功效进行比较研究的基础之上,得出结论:从对ES和VaR的检验结果比较而言,当有色金属期货市场价格出现大幅跌涨时,ES比VaR更能准确地度量市场风险;从对各种方法VaR的检验结果比较而言,在95%的置信度下,GARCH法和指数加权法能够更加有效地度量市场风险,在99%的置信度下,指数加权法、GARCH法和历史模拟法能够更好地估计市场风险.In view that the volatility of International Nonferrous Metals Market has direct and profound impact on the cost of production and the development of economy in China,we estimated the VaR of the futures market using Historical Simulation（HS）,Monte Carlo method（MC）,Exponentially Weighted Moving Average approach（EWMA）,Equally Weighted approach（EWA）,GARCH and Extreme Value Theory（EVT） separately.Then,we estimated the ES of the futures market based on EVT.Finally,we adopted backtest to evaluate the power of each method.Our findings indicate that ES is better than VaR in evaluating market risks when there is a sharp fall or rise in commodity prices;GARCH and EWMA gain an advantage over the other four methods with a 95%level of confidence;EWMA,GARCH and HS gain an advantage over the other three methods with a 99%level of confidence.

关 键 词：风险值 预期不足 非参数法 参数法 有色金属 期货市场 

分 类 号：F831.5[经济管理—金融学]