风险估值在沪深股市风险测量中的应用研究

以中国沪、深股市的风险测量为研究对象,收集了近5年的沪深股市每日指数收盘价;运用风险估值(VaR)常用的方差-协方差法和历史模拟法,通过对单一金融产品和资产组合的风险测量,论证了利用VaR技术计算股市风险的可行性.与传统的风险测量方法相比,方差-协方差法和历史模拟法在精确量化投资风险方面具有简捷易行的显著优势.利用指数加权移动平均方法考察了VaR对股市收益率波动性的描述能力,结果表明VaR计算值基本涵盖了绝大部分交易日的损失,有效降低了"幽灵效应",并且捕捉了波动的聚集性.从资产组合的VaR小于单个金融产品的VaR的结果看,VaR技术在股市风险测量上符合现代投资组合理论的基本思想.

Application Study of Value-at-Risk Methodology for Measuring Risk in Shanghai and Shenzhen Stock Markets

Regarding the risk measure in Shanghai and Shenzhen stock markets as a research object, collecting closing index of each day in S-S market over recent 5 years, and using the common variance-covariance and historical simulation method of calculating VaR (value at risk), the feasibility and maneuverability of using VaR technique for calculating risk of the stock market were demonstrated. Compared with traditional methods, it has distinct merits of simple and easiness in quantitating the investment risk. Through adopting EWMA(exponentially weighted moving average) method, the capability of VaR technique in describing variety of stock market's yield was investigated. The result shows that VaR value basically covers most exchange day's loss, reduces "the ghosting effect" effectively, and catches the fluctuant assemble, and the effectiveness of VaR technique was validated. From the results that the VaR value in financial asset portfolio less than the individual financial product, it indicates that the VaR technique in measuring stock market's risk accords with the basic idea of modern portfolio theory.