基于VaR模型的风险价值度量分析
毕业论文关键词 VaR 模型 GARCH 模型 人民币汇率 压力测试 蒙特卡罗方法 Title EVSLUATION OF VALUE AT RISK BASED ON VaR MODLE
Abstract With innovation of financial products, market potential financial risks also continue to become more complex and unpredictable, thus prediction and measurement of financial risk in actual financial transactions plays an important role . Meanwhile, as China continues to be an opening country, the foreign exchange market has become even more changes, forecasting and measurement of exchange rate risk has also attract a lot of people to do researches and make development. VaR model as a basic model for measuring financial risks , which outlined an important role in the development of finance market. Two sets of data to the RMB exchange rate ,before and after mechanism reform of RMB exchange rate quotes ,as empirical evidence to prove the practicality and accuracy of VaR model. Predicted risk by the use of GARCH model under normal circumstances ,and Monte Carlo method is also worked. And stress test,which is the innowation in evaluating RMB exchange rate risk, used to predict extreme cases .All these methods making forecasting more comprehensive and accurate. Drawing a conclusion from the comparison between the risk of two sets of data :it is obvious that the risk of RMB exchange rate becomes higher than before.
Keywords VaR modle GARCH modle RMB exchange rate stress test Monte carlo method
目次
第1章绪论1
1.1研究背景1
1.2研究现状1
1.2.1VaR模型1
1.2.2压力测试理论1
1.2.3人民币汇率风险及其度量2
1.3研究框架2
1.3.1研究思路3
1.3.2研究内容3
1.4本文的创新之处4
第2章理论基础5
2.1VaR方法5
2.1.1VaR方法简介5
2.1.2VaR模型数学表达5
2.1.3VaR模型计算方法7
2.2压力测试理论7
2.2.1压力测试理论简介7
2.2.2压力测试实现方法7
2.3人民币汇率风险理论8
2.3.1人民币汇率风险8
2.3.2人民币汇率风险度量方法8
第3章VaR模型对人民币汇率风险的实证度量9
3.1样本选取及数据说明9
3.2模型前提假设的检验9
3.2.1随机游走检验9
3.2.2正态性检验13
3.2.3异方差检验14
3.3不同方法的VaR模型对人民币汇率风险的实证16
3.3.1蒙特卡罗方法对人民币汇率风险的实证度量16
3.3.2GARCH族模型对人民币汇率风险的实证度量16
3.4准确性检验21
第4章压力测试方法对人民币汇率的实证度量24
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