基于SV-GED模型的极值风险度量研究  

A Research Based On SV-GED Model of Extreme Risk Measure

作　　者：周孝华[1] 张保帅[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《管理工程学报》2014年第1期171-178,共8页Journal of Industrial Engineering and Engineering Management

基　　金：重庆市自然科学基金资助项目(CSTC2011BB2088);中央高校基本科研业务费资助项目(CDJXS11021112)

摘　　要：把GED分布引入SV模型,构建SV-GED模型,然后与极值理论相结合拟合标准残差的尾部分布,进而建立一种新的金融风险度量模型——基于EVT-SV-GED的动态VaR模型,并通过沪深300指数和恒生指数的每日收盘价进行实证分析,研究显示:EVT-SV-GED模型能有效刻画中国股票市场的波动性特征,并且能够既有效又合理的度量金融市场风险。With the development of financial liberalization,financial globalization,and asset securitization,the economic tie among various countries continues to deepen and new financial instruments continue to emerge.Financial market risk management is becoming more important because each market is exposed to more pressure and challenges.VaR （Value at Risk） is the maximum loss of a financial asset or an investment portfolio that may arise under normal market fluctuations.The VaR theory asserts that VaR method can help measure the risk value of financial assets.Research on how to improve VaR model‘s forecasting accuracy is mainly reflected in how to accurately characterize the distribution of financial assets＇ ＂fat tail＂ feature.However,foreign empirical studies have pointed out that the measure of VaR appears to be fragile when the GARCH model is used for financial time series,such as ＂Peak fat tail＂ and ＂Leverage effect＂.The SV model is another heteroskedasticity model relative to GARCH because it draws the random process into the variance expression.Theoretical studies have shown that SV models have greater advantage than the GARCH model under financial time series,and the SV class model is more consistent in depicting the volatility and financial market characteristics.The SV type model that is used to depict the financial return on assets is more consistent with the actual situation; however,its description on extreme financial events （mainly shows tail data exception） appears to be powerless.Therefore,stress testing should be conducted as for a supplement of risk measurement.The stress test is based on historical or potential market volatility data to assess the impact of market price change on asset value change.Extreme Value Theory （EVT） is often used to do stress tests and the method can have better measurement in the risk of loss under extreme cases.In China,the risk measures of the extreme value theory for financial assets are mostly concentrated in the normal distribution of capital

关 键 词：极值风险 SV-GED模型 马尔科夫蒙特卡洛模拟 

分 类 号：F830[经济管理—金融学]