發(fā)布時(shí)間：2017-12-30 23:22

  本文關(guān)鍵詞：危機(jī)傳染背景下資產(chǎn)組合風(fēng)險(xiǎn)模型測(cè)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(shí)變Copula函數(shù) 因果關(guān)系效應(yīng) 風(fēng)險(xiǎn)價(jià)值 預(yù)期損失

【摘要】：從1929年的美國(guó)股市大崩潰開始,國(guó)際金融市場(chǎng)歷經(jīng)了數(shù)次危機(jī)傳染。而美國(guó)次貸危機(jī)更因在短時(shí)間內(nèi)便震撼國(guó)際金融市場(chǎng),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(guó)際金融市場(chǎng)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(xiǎn),同時(shí)也對(duì)金融風(fēng)險(xiǎn)管理提出了更高的要求。 金融風(fēng)險(xiǎn)管理的基礎(chǔ)與核心在于如何正確地度量風(fēng)險(xiǎn),由于在金融實(shí)務(wù)中,投資者往往對(duì)資產(chǎn)組合進(jìn)行投資而非單一資產(chǎn),因而對(duì)于資產(chǎn)組合風(fēng)險(xiǎn)的度量更具現(xiàn)實(shí)意義。同單一資產(chǎn)的風(fēng)險(xiǎn)評(píng)估相比,投資組合的風(fēng)險(xiǎn)評(píng)價(jià)更為復(fù)雜,因?yàn)樵诮M合風(fēng)險(xiǎn)的計(jì)量過程中,不僅需要考慮組合中單一資產(chǎn)收益的波動(dòng)率模型,還必須考慮到組合中各個(gè)資產(chǎn)間的相依關(guān)系。然而金融資產(chǎn)間的相關(guān)性錯(cuò)綜復(fù)雜,所以如何正確地選擇和運(yùn)用風(fēng)險(xiǎn)度量工具就成為組合風(fēng)險(xiǎn)評(píng)價(jià)中最重要的一個(gè)環(huán)節(jié)。 本文以美國(guó)SP500指數(shù)、日本日經(jīng)225指數(shù)、中國(guó)上證綜指和香港恒生指數(shù)作為研究對(duì)象,將四類時(shí)變Copula-EVT模型作為核心研究方法,以美國(guó)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(gè)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(xiǎn)傳導(dǎo)的強(qiáng)度? ·股市間風(fēng)險(xiǎn)傳導(dǎo)的方向是否發(fā)生明顯的變化? ·危機(jī)爆發(fā)后,對(duì)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(xiǎn)模型假定下的VaR風(fēng)險(xiǎn)價(jià)值模型和ES預(yù)期損失模型的測(cè)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(cè)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(shí)變Copula函數(shù)構(gòu)建各個(gè)資產(chǎn)組合的聯(lián)合分布,采用擬合效果相對(duì)較好的時(shí)變t Copula-GJR-EVT模型,得到危機(jī)爆發(fā)前后股市間的極值動(dòng)態(tài)相依系數(shù)；通過時(shí)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(duì)于股市間風(fēng)險(xiǎn)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(duì)于股市間極值風(fēng)險(xiǎn)傳遞的強(qiáng)度和風(fēng)險(xiǎn)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(guó)際股市間極值風(fēng)險(xiǎn)傳染的程度普遍增強(qiáng),其時(shí)變特征也非常明顯。從股市風(fēng)險(xiǎn)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(xiǎn)主要匯集于紐約股市,而三大亞洲股市,即中國(guó)滬市、香港股市和東京股市間不存在風(fēng)險(xiǎn)傳導(dǎo)關(guān)系。次貸危機(jī)爆發(fā)后,股市間風(fēng)險(xiǎn)傳導(dǎo)的途徑和方向發(fā)生了明顯的變化：不僅美國(guó)紐約股市與其他股市間形成了雙向風(fēng)險(xiǎn)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(xiǎn)傳導(dǎo)格局,中國(guó)股市與國(guó)際股市的極值風(fēng)險(xiǎn)關(guān)聯(lián)度顯著增強(qiáng)。 這些鮮明的特點(diǎn),無(wú)疑將影響到投資組合風(fēng)險(xiǎn)模型的測(cè)度準(zhǔn)確度。在此背景下,本文將四個(gè)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(shí)變Copula-EVT模型和DCC-GARCH模型,分別針對(duì)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(duì)比研究了危機(jī)以后各類風(fēng)險(xiǎn)模型測(cè)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(chǎng)間極值風(fēng)險(xiǎn)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(xiǎn)價(jià)值模型的測(cè)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(cè)度精度卻在危機(jī)后有一定程度的提高。第二,無(wú)論是VaR模型還是ES模型,基于時(shí)變Copula-EVT構(gòu)建的風(fēng)險(xiǎn)模型,其測(cè)度精度在總體上高于DCC-GARCH風(fēng)險(xiǎn)模型。第三,邊緣分布模型的選擇,對(duì)于時(shí)變Copula-EVT風(fēng)險(xiǎn)模型的測(cè)度效果具有重要影響。第四,由不同類型的時(shí)變Copula函數(shù)構(gòu)造的風(fēng)險(xiǎn)模型,對(duì)于資產(chǎn)組合風(fēng)險(xiǎn)的預(yù)測(cè)準(zhǔn)確度有所不同。綜合來(lái)看,危機(jī)爆發(fā)以后,時(shí)變SJC-Copula-EVT-VaR模型與時(shí)變tCopula-EVT-ES模型的測(cè)度精度均相對(duì)較高,這進(jìn)一步表明,次貸危機(jī)對(duì)于資產(chǎn)組合風(fēng)險(xiǎn)模型的測(cè)度效果產(chǎn)生了巨大沖擊,善于刻畫變量間非對(duì)稱性、厚尾性相依特征的模型顯現(xiàn)出較強(qiáng)的測(cè)度優(yōu)勢(shì)。盡管如此,對(duì)于資產(chǎn)組合的風(fēng)險(xiǎn)測(cè)度,仍需根據(jù)資產(chǎn)組合的分布特征以及科學(xué)的對(duì)比研究來(lái)靈活地選擇合適的風(fēng)險(xiǎn)模型。 在經(jīng)濟(jì)全球化的今天,無(wú)論是從時(shí)間還是空間的角度,金融危機(jī)傳染都日趨嚴(yán)重。美國(guó)次貸危機(jī)爆發(fā)以來(lái),金融市場(chǎng)的運(yùn)行環(huán)境更加錯(cuò)綜復(fù)雜,金融風(fēng)險(xiǎn)極容易在各個(gè)市場(chǎng)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(xiǎn)。對(duì)于資產(chǎn)組合的風(fēng)險(xiǎn)評(píng)估,應(yīng)嘗試構(gòu)建多個(gè)風(fēng)險(xiǎn)模型,選擇測(cè)度準(zhǔn)確度相對(duì)較高的模型進(jìn)行風(fēng)險(xiǎn)評(píng)估,并將VaR模型與ES模型結(jié)合使用。此外,對(duì)投資組合的風(fēng)險(xiǎn)評(píng)估還應(yīng)立足于動(dòng)態(tài)的角度,因?yàn)槲膊繕O值風(fēng)險(xiǎn)傳導(dǎo)具有時(shí)變特性,所以在使用靜態(tài)類風(fēng)險(xiǎn)評(píng)估方法時(shí)必須謹(jǐn)慎,以防錯(cuò)誤評(píng)估資產(chǎn)組合的風(fēng)險(xiǎn),同時(shí),必須及時(shí)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(shí)暴跌而對(duì)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(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F830.91

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