我国证券行业市场风险度量及发展对策研究--基于改进的蒙特卡罗模拟法  

Measurement of Market Risk and Development Recommendations in China’s Securities Industry Based on Improved Monte Carlo Simulation Method

作　　者：韩光辉 杨海超 许莎莎 HAN Guanghui;YANG Haichao;XU Shasha(School of Management Engineering and Business,Hebei University of Engineering,Handan,Hebei 056038,China)

机构地区：[1]河北工程大学管理工程与商学院,河北邯郸056038

出　　处：《河北工程大学学报（社会科学版）》2024年第1期26-35,共10页Journal of Hebei University of Engineering(Social Science Edition)

基　　金：2022年河北省高等学校人文社会科学研究项目(编号:SY2022043)。

摘　　要：随着金融自由化和新兴技术的发展,各种金融衍生工具层出不穷,中国证券行业迎来了蓬勃发展的同时也面临着更大的市场风险。文章基于六家中国证券上市公司股票交易价格,运用蒙特卡罗模拟法、MC-Box-Cox模型和MC-GARCH模型预测交易日VaR并进行回测检验。研究结果表明,中国证券业面临着较大的市场风险,因此需要采用高置信水平的VaR值进行管理;蒙特卡罗模拟法存在低估市场风险的弊端;MC-Box-Cox和MC-GARCH模型预测效果相对较好,可以很好地度量我国证券行业的市场风险。With the development of financial liberalization and emerging technologies,various financial derivatives have emerged,leading to robust growth in China’s securities industry while also introducing greater market risks.This article,based on the stock trading prices of six Chinese publicly-listed securities companies,employs the Monte Carlo simulation method,MC-Box-Cox model,and MC-GARCH model to predict the Value at Risk(VaR)for trading days and conduct backtesting.The research results indicate that China’s securities industry faces significant market risk,necessitating the use of VaR values at high confidence levels for risk management.The Monte Carlo simulation method has the drawback of underestimating market risk.MC-Box-Cox and MC-GARCH models demonstrate relatively good predictive performance and can effectively measure the market risk in China’s securities industry.

关 键 词：证券行业 市场风险 VAR 蒙特卡罗模拟法 Box-Cox GARCH 

分 类 号：F832.51[经济管理—金融学]