本文關(guān)鍵詞：危機(jī)傳染背景下資產(chǎn)組合風(fēng)險模型測試精度比較研究　出處：《西南交通大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 極值理論 時變Copula函數(shù) 因果關(guān)系效應(yīng) 風(fēng)險價值 預(yù)期損失

【摘要】：從1929年的美國股市大崩潰開始,國際金融市場歷經(jīng)了數(shù)次危機(jī)傳染。而美國次貸危機(jī)更因在短時間內(nèi)便震撼國際金融市場,演變成全球性的經(jīng)濟(jì)危機(jī)且影響深遠(yuǎn),而成為金融危機(jī)傳染的代表性事件。國際金融市場危機(jī)傳染的頻繁發(fā)生,使得投資者面臨著巨大的風(fēng)險,同時也對金融風(fēng)險管理提出了更高的要求。 金融風(fēng)險管理的基礎(chǔ)與核心在于如何正確地度量風(fēng)險,由于在金融實(shí)務(wù)中,投資者往往對資產(chǎn)組合進(jìn)行投資而非單一資產(chǎn),因而對于資產(chǎn)組合風(fēng)險的度量更具現(xiàn)實(shí)意義。同單一資產(chǎn)的風(fēng)險評估相比,投資組合的風(fēng)險評價更為復(fù)雜,因?yàn)樵诮M合風(fēng)險的計量過程中,不僅需要考慮組合中單一資產(chǎn)收益的波動率模型,還必須考慮到組合中各個資產(chǎn)間的相依關(guān)系。然而金融資產(chǎn)間的相關(guān)性錯綜復(fù)雜,所以如何正確地選擇和運(yùn)用風(fēng)險度量工具就成為組合風(fēng)險評價中最重要的一個環(huán)節(jié)。 本文以美國SP500指數(shù)、日本日經(jīng)225指數(shù)、中國上證綜指和香港恒生指數(shù)作為研究對象,將四類時變Copula-EVT模型作為核心研究方法,以美國次貸危機(jī)為代表的金融危機(jī)傳染作為一條貫穿始終的研究主線,層層推進(jìn)四個關(guān)鍵問題： ·危機(jī)傳染是否顯著地影響了股市間尾部極值風(fēng)險傳導(dǎo)的強(qiáng)度? ·股市間風(fēng)險傳導(dǎo)的方向是否發(fā)生明顯的變化? ·危機(jī)爆發(fā)后,對于二元資產(chǎn)組合及多元資產(chǎn)組合的多頭頭寸與空頭頭寸,各類風(fēng)險模型假定下的VaR風(fēng)險價值模型和ES預(yù)期損失模型的測度精度是否顯著改變?其變化狀況是否有所不同? ·哪些因素將影響到VaR模型和ES模型的預(yù)測準(zhǔn)確度?其影響的結(jié)果怎樣? 為此,本文在各股指收益的標(biāo)準(zhǔn)殘差序列的基礎(chǔ)上,結(jié)合EVT極值理論,構(gòu)建邊緣分布,分別運(yùn)用四類時變Copula函數(shù)構(gòu)建各個資產(chǎn)組合的聯(lián)合分布,采用擬合效果相對較好的時變t Copula-GJR-EVT模型,得到危機(jī)爆發(fā)前后股市間的極值動態(tài)相依系數(shù)；通過時變SJC-Copula-EVT模型獲得股市間的上尾和下尾極值相關(guān)系數(shù)。運(yùn)用格蘭杰因果檢驗(yàn)的方法,分析了金融危機(jī)傳染對于股市間風(fēng)險傳導(dǎo)方向產(chǎn)生的影響。實(shí)證研究結(jié)果表明,危機(jī)的爆發(fā),對于股市間極值風(fēng)險傳遞的強(qiáng)度和風(fēng)險傳導(dǎo)的方向產(chǎn)生了很大的影響。次貸危機(jī)發(fā)生以后,國際股市間極值風(fēng)險傳染的程度普遍增強(qiáng),其時變特征也非常明顯。從股市風(fēng)險傳導(dǎo)的方向上看：次貸危機(jī)爆發(fā)以前,股指間的風(fēng)險主要匯集于紐約股市,而三大亞洲股市,即中國滬市、香港股市和東京股市間不存在風(fēng)險傳導(dǎo)關(guān)系。次貸危機(jī)爆發(fā)后,股市間風(fēng)險傳導(dǎo)的途徑和方向發(fā)生了明顯的變化：不僅美國紐約股市與其他股市間形成了雙向風(fēng)險傳導(dǎo)關(guān)系,亞洲股市間也顯現(xiàn)出密切而復(fù)雜的風(fēng)險傳導(dǎo)格局,中國股市與國際股市的極值風(fēng)險關(guān)聯(lián)度顯著增強(qiáng)。 這些鮮明的特點(diǎn),無疑將影響到投資組合風(fēng)險模型的測度準(zhǔn)確度。在此背景下,本文將四個股指收益進(jìn)行組合,構(gòu)造了二元資產(chǎn)組合及多元資產(chǎn)組合,基于四類時變Copula-EVT模型和DCC-GARCH模型,分別針對多頭頭寸和空頭頭寸,建立了VaR模型和ES模型,并運(yùn)用Backtesting方法進(jìn)行后驗(yàn)分析,對比研究了危機(jī)以后各類風(fēng)險模型測度精度的變化狀況。實(shí)證結(jié)果表明：第一,次貸危機(jī)爆發(fā)后,金融市場間極值風(fēng)險正向相關(guān)的程度顯著增強(qiáng),分散化投資的作用在一定程度上被削弱,資產(chǎn)組合VaR風(fēng)險價值模型的測度精度有所降低；然而在某些狀況下,預(yù)期損失ES模型的測度精度卻在危機(jī)后有一定程度的提高。第二,無論是VaR模型還是ES模型,基于時變Copula-EVT構(gòu)建的風(fēng)險模型,其測度精度在總體上高于DCC-GARCH風(fēng)險模型。第三,邊緣分布模型的選擇,對于時變Copula-EVT風(fēng)險模型的測度效果具有重要影響。第四,由不同類型的時變Copula函數(shù)構(gòu)造的風(fēng)險模型,對于資產(chǎn)組合風(fēng)險的預(yù)測準(zhǔn)確度有所不同。綜合來看,危機(jī)爆發(fā)以后,時變SJC-Copula-EVT-VaR模型與時變tCopula-EVT-ES模型的測度精度均相對較高,這進(jìn)一步表明,次貸危機(jī)對于資產(chǎn)組合風(fēng)險模型的測度效果產(chǎn)生了巨大沖擊,善于刻畫變量間非對稱性、厚尾性相依特征的模型顯現(xiàn)出較強(qiáng)的測度優(yōu)勢。盡管如此,對于資產(chǎn)組合的風(fēng)險測度,仍需根據(jù)資產(chǎn)組合的分布特征以及科學(xué)的對比研究來靈活地選擇合適的風(fēng)險模型。 在經(jīng)濟(jì)全球化的今天,無論是從時間還是空間的角度,金融危機(jī)傳染都日趨嚴(yán)重。美國次貸危機(jī)爆發(fā)以來,金融市場的運(yùn)行環(huán)境更加錯綜復(fù)雜,金融風(fēng)險極容易在各個市場之間相互傳染。在金融危機(jī)頻發(fā)的背景下進(jìn)行投資組合,應(yīng)特別注意防范組合投資風(fēng)險。對于資產(chǎn)組合的風(fēng)險評估,應(yīng)嘗試構(gòu)建多個風(fēng)險模型,選擇測度準(zhǔn)確度相對較高的模型進(jìn)行風(fēng)險評估,并將VaR模型與ES模型結(jié)合使用。此外,對投資組合的風(fēng)險評估還應(yīng)立足于動態(tài)的角度,因?yàn)槲膊繕O值風(fēng)險傳導(dǎo)具有時變特性,所以在使用靜態(tài)類風(fēng)險評估方法時必須謹(jǐn)慎,以防錯誤評估資產(chǎn)組合的風(fēng)險,同時,必須及時有效地采取相應(yīng)的止損措施,以防范極端金融事件導(dǎo)致股市同時暴跌而對組合資產(chǎn)造成巨額虧損。
[Abstract]:From the beginning of 1929, the U.S. stock market collapse, the international financial market has experienced several crisis. While the U.S. subprime mortgage crisis because it shocked the international financial market in a short period of time, evolved into a global economic crisis and a far-reaching influence, and become the representative of financial crisis incidents. The frequent crisis of international financial market contagion, the investors face a huge risk, but also put forward higher requirements on financial risk management.
The basis and core of financial risk management is how to correctly measure the risk, because in the field of finance, investors tend to portfolio investment rather than a single asset and portfolio risk measurement for more practical significance. The risk assessment with single assets compared to the risk evaluation of portfolio is more complicated, because the measurement in the process of portfolio risk, not only need to consider a single asset return portfolio volatility in the model must also take into account the dependence between the individual asset portfolio. However, the correlation between financial assets complicated, so how to correctly select and use of risk measurement tools has become one of the most important link in the evaluation of portfolio risk.
In this paper, the SP500 index, Japan's Nikkei 225 index, Chinese Shanghai Composite Index and Hongkong's Hang Seng Index as the research object, the four time varying Copula-EVT model as the core research method, sub loan crisis in the United States as the representative of the financial crisis as a main line through all the four key problems on promoting layers:
Does the crisis contagion significantly affect the intensity of the tail extremum risk transmission between the stock markets?
Is there a significant change in the direction of risk conduction between stock markets?
After the outbreak of the crisis, did the measurement accuracy of VaR risk value model and ES expected loss model change significantly under the assumption of all kinds of risk models for two asset portfolios and multiple asset portfolios' multi position and short positions? Are there any differences in their accuracy?
What factors will affect the prediction accuracy of the VaR model and the ES model? What is the result of its impact?
Therefore, based on the standard error sequence of the stock index on the EVT combined with the extreme value theory, constructing marginal distribution and joint distribution using the four class construction of each portfolio Copula function, the fitting result of time-varying t Copula-GJR-EVT model, obtained before and after the stock market crisis between the extreme dynamic dependence coefficient; through time varying SJC-Copula-EVT model to obtain the stock market between the upper and lower tail extreme correlation coefficient. By using the method of Grainger causality test, analysis of the financial crisis contagion effect on stock market risk conduction direction. The empirical results show that the outbreak of the crisis, the strength and the extreme risk transfer between stock market risk conduction in the direction of the great the effects of the subprime mortgage crisis. Later, the international stock market risk contagion degree is enhanced, the time variation characteristics are also very obvious. From the stock market risk conduction direction: before the outbreak of the subprime crisis, the risk of the stock index mainly collects in the New York stock market, and the three major Asian stock markets, namely Chinese Shanghai, no risk conduction relationship between Hongkong stock market and Tokyo stock market. After the outbreak of the subprime crisis, change ways and direction of stock market risk conduction not only the New York stock market and other markets are formed between the two-way relationship between risk conduction, Asian stock markets also showed the risk conduction pattern close and complex, China stock market and international stock market related extreme risk is significantly increased.
These distinctive features, will undoubtedly affect the measure accuracy of portfolio risk model. In this context, the four stock index returns are combined to construct two yuan asset portfolio and multi asset portfolio, four time varying Copula-EVT model and DCC-GARCH model based on the address of the long and short positions, the establishment of VaR model and ES model, and analyzed the test by using the Backtesting method, a comparative study of the changes of all kinds of crisis risk model measurement accuracy. The empirical results show that: first, after the outbreak of the subprime crisis, a positive extreme risk related financial city significantly enhanced, diversification of investment effect is weakened to a certain extent, measure the accuracy of portfolio VaR risk value model is reduced; however, in some cases, measurement accuracy of ES model is the expected loss in the wake of the crisis to a certain extent Increase. Second, either VaR model or ES model, based on time-varying risk model of construction of Copula-EVT, the measurement accuracy is generally higher than that in the DCC-GARCH risk model. Third, the marginal distribution model, measurement model for the time-varying Copula-EVT risk model has important influence. Fourth, the risk from different types of time-varying model the Copula function is constructed, the prediction accuracy for portfolio risk is different. In general, after the crisis, the time-varying measurement accuracy of SJC-Copula-EVT-VaR model and time-varying tCopula-EVT-ES model are relatively high, this further indicates that the subprime crisis has had a huge impact on the effect of portfolio risk measure model, good asymmetric variables of heavy tailed dependent feature model shows strong advantage measure. Even so, the risk measure of portfolio assets, according to the needs The distribution characteristics of the combination and the scientific comparison study to choose the appropriate risk model flexibly.
In the economic globalization today, whether it is from the angle of time and space, the contagion of financial crisis are becoming more serious. Since the outbreak of the subprime crisis, the operating environment of financial market more perplexing, financial contagion in interaction between various markets easily. Investment portfolio in the financial crisis under the background of frequent, should pay special attention to prevent the combination investment risk. Risk assessment for the portfolio, we should try to construct a multi risk model, selection of measurement accuracy higher relative risk assessment model, and the combination of VaR model and ES model. In addition, the risk assessment of the portfolio also should be based on the dynamic perspective, because sometimes the varying characteristics with tail extreme risk conduction, so in assessing the risk of using a static class method must be careful to prevent error risk, portfolio assessment at the same time, must be timely and effectively take corresponding The stop damage measures to prevent the stock market plunge at the same time to prevent the extreme financial incidents caused huge losses to the portfolio.

【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.91

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