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论文编号：	89
作者编号：	2120052029
上传时间：	2007/6/21 20:44:56
中文题目：	VaR模型在我国投资银行市场风险
英文题目：	The research of VaR model in C
指导老师：	戚安邦
中文关键字：	投资银行;风险管理;VaR模型;ES模
英文关键字：	Investment Bank;Risk Managemen
中文摘要：	随着我国金融市场的逐渐开放，其面临的市场风险也越来越大，建立全面的市场风险管理体系己成为一项刻不容缓的任务。 市场风险管理的基础和核心就是风险测量。对于市场风险的度量，目前应用较多的是1994年由JP.Morgan提出的VaR模型。但随着风险管理技术的不断发展，人们发现传统VaR模型及其度量方法的诸多假设对很多新兴金融市场而言，并不符合现实情况。 为此，本文对VaR模型及其传统度量方法的适用性、局限性进行了分析，然后具体分析我国证券市场特征，检验了我国证券市场是否符合VaR模型相关假设前提。研究表明，我国证券市场与VaR基本模型的一些假设条件相去甚远。 因此，本文有借鉴地探讨了适合于我国证券市场特征的VaR改进模型－ES模型，以及两种半参数度量方法:基于极值理论的度量方法与基于分位数回归模型的度量方法，通过构造一个投资组合模型，对VaR的局限性，以及与本文引进的改进模型之间进行了很直观的对比分析。 论文主要分为六个部分来进行研究。 第一部分主要介绍了本文选题的背景、研究的意义、主要研究的内容和方法、论文的框架结构与主要结论，对文章起到提纲挈领的作用。 第二部分为理论综述。主要介绍了风险管理的内容，以及国内外风险管理的现状。VaR模型的相关理论与发展状况，这是文章研究的理论背景，为下面的研究提供了基础。 第三部分分析了我国投资银行风险管理的独特性。 第四部分分析了VaR模型在我国风险管理中的局限性。 第五部分，在第三、四部分分析的基础上，对VaR模型进行了改进研究，并对新旧模型进行了对比分析。 第六部分为结论与展望，对全文进行总结，同时指出本文研究的不足之处和后续研究建议。
英文摘要：	Followed by the opening of the financial market of China, it is facing more and more serious risk, so it must quickly establish the modern system of market risk management in China. The most important of the market risk management is to measure the risk precisely. For the measuring of the market risk introduced by the JP.Morgan in 1994 is the most popular tool at present. But as the development of the risk management technical, more and more people find that the hypothesis of the traditional the emerging financial market. model is not suitable for on the basis of tracking the newest development of risk measure, this thesis analyze the shortage and the applicability of the traditional VaR model，then especially analyze the feature of Chinese security market. as a result ,so as to test that our financial market is suitable for the hypothesis of VaR model or not. As a result, it finds that our market is very different from the hypothesis of the traditional VaR model. So the thesis introduce the expected shortfall model for measuring the market risk in our financial market ,and introduce two semi-parameter method for calculating VaR ,one is based on the extreme value theory ,the other is based on the quantile regression model. Further more, through construct a portfolio model, we compared the improving model with traditional VaR, so we could find the serious outcome and shortage of the traditional VaR model directly. The thesis mainly divides into six parts to conduct the research. The first part mainly introduced the background of this article’s topic, the research significance, the main research content and the method, the thesis portal frame construction and the main conclusion, It plays the role to the article which concentrates on the main points. The Second part is for theory summary. It Mainly introduced the risk management content, as well as domestic and foreign risk management present situation. VaR model related theory and development condition, this is the article research theory background, it has provided the foundation for the followed research. The third part has analyzed our country investment bank risk management distinctive quality. The fourth part has analyzed the VaR model in our country risk management limitation. The fifth part, on the base of the third and four parts, has conducted the improvement research to the VaR model, and has carried on the contrast analysis to the new old model The sixth part for the conclusion and the forecast, carries on the summary to the full text, simultaneously pointed out this article studies deficiency and following research suggestion.
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