金融资产综合风险价值动态评估研究  

The Dynamic Assessment Model of the Integrated Value at Risk Financial Assets

作　　者：王周伟[1] 邬展霞[2] 

机构地区：[1]上海师范大学金融学院,上海200234 [2]上海对外贸易学院会计学院,上海201620

出　　处：《财经理论与实践》2012年第5期2-6,共5页The Theory and Practice of Finance and Economics

基　　金：教育部人文社科研究项目(11YJA790107);上海市哲学社会科学规划课题(2009BJB022);上海市教委重点课题(12ZS125)

摘　　要：为综合度量金融资产损失的市场风险与流动性风险,采用GARCH-VaR模型度量了日市场风险价值,用日内相对波动幅度调整为日LA-VaR,并利用时间延展槡T规则将它转换为变现期间的综合风险价值,构建了金融资产综合风险价值的全方位动态评估模型。通过以中国股指期货为例的实证研究证明,该模型能够有效评估金融资产综合风险价值,适用于金融资产公允价值的期末估算。GARCH-VaR model is used to measure market risk value, then days relative vola- tility is adjusted to the date the LA-VaR. Using the rules of the extension of time, the data are converted into the Integrated Value at Risk, then the full range of dynamic risk assessment model of financial assets value is built. Taking the Chinese stock index futures as samples, the empirical research proves that the model can effectively assess the risk value of financial assets, and is ap- plicable to the final measurement of financial assets at fair value.

关 键 词：GARCH—VaR模型 LA—VaR模型 流动性风险调整 综合风险价值 

分 类 号：F833[经济管理—金融学] F837