股市风险的VaR与CVaR度量模型比较研究  

A Study of Stock Market Risk Through a Comparison Between VaR and CVaR Models

作　　者：卢金荣 Lu Jinrong(Business School,Minnan Normal Universtiy,Zhangzhou Fujian,363000,China)

机构地区：[1]闽南师范大学商学院,福建漳州363000

出　　处：《西南石油大学学报（社会科学版）》2019年第3期20-28,共9页Journal of Southwest Petroleum University(Social Sciences Edition)

基　　金：2018福建省中青年教师教育科研项目"互联网知识生态系统模型构建及知识创新机制研究"(JAS180227)

摘　　要：金融风险测量模型研究的核心在于如何准确度量金融收益序列的波动大小。VaR模型和CVaR模型是金融风险评估的重要工具,但较少应用于股市风险方面的研究。VaR模型采用数理统计的方法来度量风险,具有适应领域广的优点,但计算方法存在不足;而CVaR模型具有计算简便、准确性和有效性都较高的特点。通过选取沪深300指数的收盘价数据,采用基于不同分布条件下的GARCH簇模型来估计收益率序列的波动性,然后对不同GARCH簇模型进行比较,计算得到Va R值和CVaR值并对VaR模型和CVaR模型进行对比分析。研究结果表明:在相同置信水平下,CVaR值总是大于VaR值;当Va R值测度风险失效时,CVaR值可以更好地测度风险损失,弥补了VaR值的缺陷。In the study of the financial risk measurement model,the crucial task is to accurately measure the volatility of the financial income sequence,and the measurement of the volatility of the financial return is directly related to accurate evaluation of the risk value.VaR model and CVaR model serve as important tools of financial risk measurement,but they are seldom applied to the study of stock market risk.The VaR model measures risk with mathematical statistics,a method which boasts wide adaptability but has disadvantages in calculation.CVaR model features simple calculation but high accuracy and validity.This paper selects the closing price data of the Shanghai and Shenzhen 300 index,and estimates the volatility of the yield sequence through the GARCH cluster model based on the different distribution conditions,and then calculates the VaR value and the CVaR value after comparing the different GARCH models.Then the VaR model and the CVaR model are compared and analyzed.The results show that the CVaR value always exceeds the VaR value at the same confidence level;when VaR value fails in measuring risk,CVaR value can better measure risk loss,thus making up the defect of VaR value.

关 键 词：VaR模型 CVAR模型 股市风险 沪深300指数 GARCH簇模型 

分 类 号：F832.5[经济管理—金融学]