考虑事件风险的在险价值研究

中国管理科学 ›› 2005, Vol. ›› Issue (2): 113-117.

考虑事件风险的在险价值研究

张利兵, 梁妤, 潘德惠

东北大学工商管理学院, 辽宁沈阳, 110004

收稿日期:2004-06-10 修回日期:2005-03-02 出版日期:2005-04-28 发布日期:2012-03-07
基金资助:
辽宁省自然科学基金资助项目(002012)

Study of Value at Risk Based on Event Risk

ZHANG Li-bing, LIANG Yu, PAN De-hui

School of Business of Northeastern University, Shenyang Liaoning 110004, China

Received:2004-06-10 Revised:2005-03-02 Online:2005-04-28 Published:2012-03-07

摘要/Abstract

摘要： 本文讨论了考虑事件风险的资产的在险价值方法,并以此对上海股票指数作了实证研究。这种方法用跳跃来描述事件风险,用跳跃-扩散过程来描述收益率过程。通过模拟退火算法来估计模型参数,利用随机模拟方法求得资产收益率的模拟分布,进而计算组合的在险价值。通过对上海指数的实证研究表明,资产的事件风险是不可忽略的,考虑事件风险的在险价值更加合理。

关键词: 在险价值, 事件风险, 跳跃-扩散过程, 模拟退火, 随机模拟

Abstract: A VaR method based on event risk is investigated in this paper,and empirical study on the index of Shanghai security market is made.In this method, event risk is described by random jumps,and the return series can be described by a jump-GARCH process whose parameters can be estimated by simulated annealing algorithm.By simulation method,the distribution of intending return and the VaR can be obtained simply.The empirical study on index of Shanghai security market shows it’s reasonable and necessary to incorporate event risk to VaR models.

Key words: value at risk, event risk, jump-diffusion process, simulated annealing, simulation method

中图分类号:

F830.49

张利兵, 梁妤, 潘德惠. 考虑事件风险的在险价值研究[J]. 中国管理科学, 2005, (2): 113-117.

ZHANG Li-bing, LIANG Yu, PAN De-hui. Study of Value at Risk Based on Event Risk[J]. Chinese Journal of Management Science, 2005, (2): 113-117.

参考文献

[1] Philippe J.Risk:Measuring the Riusk in Value at Risk[J].Finance Analysis Journal,1996,52(6):47-56.
[2] 陈云贤等.风险——收益决策分析[M].北京:新华出版社,2001:70-76.
[3] 金德环,等.中国证券市场波动与控制研究[M].上海:上海财金大学出版社,2003:239-245.
[4] Engle,R F.Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation[J].Econometrica,1982,50:987-1006.
[5] Bollerslev T.Generalized Autoregressive Conditional Heteroscedasticity[J].Journal of Econometrics,1986,31:307-327.
[6] Longin F.From Value at Risk to Stress Testing:The Extreme Value approach[J].Journal of Banking and Finance,2000,24(7):1097-1130.
[7] Alexandr S.Value-at-risk-Based Risk Management:Optimal Policies and Asset Prices[L].The Review of Financial Studies,2001,14(2):371-405.
[8] Rockafellar R T,Uryasev S.Conditional Value-at-Risk for General Loss Distributions[J].Journal of Banking ＆ Finance,2002,26:1443-1471.
[9] 陈学华,杨辉耀.VaR-APARCH模型与证券投资量化分析[J].中国管理科学,2003,11(1):28-34.
[10] 郭福华,彭大衡等.机会约束下的均值-VaR投资组合模型研究[J].中国管理科学,2004,12(1):28-34.
[11] Merton RC.Option Pricing When underlying Stock Returns Are Discontinuous[J].Journal of Economics,1976,3:123-141.
[12] 马克.洛尔,列夫.博罗夫斯基,隐斌等译.金融风险管理手册[M].北京:机械工业出版社,2002:48-49.
[13] 康立山,谢云,等.非数值并行算法——模拟退火算法[M].北京:科学出版社,2000:22-38.
[14] Metropolis N,Rosenbluth A,Rosenbuth M et al.Equation of State Calculations by Fast Computing Machines[J].Journal of Chemical Physics,1953,21:1087-1092.
[15] 茆诗松,王静龙.数理统计[M].上海:华东师范大学出版社,1990:8-10.