基于CVaR的标普500指数期货风险预警研究  

Risk Warning in S&P 500 Index Futures:A Research Based on CVaR Model

作　　者：伍楠林[1] 王博[1] 

机构地区：[1]哈尔滨工业大学经济系,150001

出　　处：《国际贸易问题》2013年第9期132-143,共12页Journal of International Trade

基　　金：中央高效基本科研业务费专项资金资助(项目编号HIT.HSS.201106);哈尔滨工业大学九八五三期后备学科带头人项目支持

摘　　要：标普500指数期货(S&P500)是世界发展比较成熟的期货。本文以之为研究对象,通过建立基于CVaR方法的预警体系进行预警,并且通过对沪深300与S&P500指数期货的对比研究,发现两者具有的共同的统计特征。此外,在对该模型及风险度量方法进行模型验证的结果上发现,由于受到沪深300指数期货历史数据不足的限制,该模型的长期方差及短期方程中存在不显著的系数,但是CVaR对风险的度量仍然是有效的。Standard ＆ Poor＇ s 500 （S＆P 500） index futures are maturely de- veloped futures that qualify well as the study object of this paper. By evaluating the risk of S＆P 500 through building an Asymmetric Component Auto-Regres- sion Conditions Heteroscedastic （CARCH） model and carrying out a comparative analysis, we prove that CSI 300 index futures and S＆P 500 index futures share common statistical characteristics. Having verified the model and the method for risk evaluation, this study comes up with the finding suggesting that the method to measure the risk with CVaR model is valid and effective, despite the presence of insignificant coefficients in both the model＇ s long-term and short-term equa- tions as a result of the imperfect database in the CSI 300 index futures history.

关 键 词：指数期货 风险预警 风险度量 CVAR方法 

分 类 号：F832.51[经济管理—金融学]