基于極值理論和GARCH的風(fēng)險度量VaR及其實證分析.pdf

1、HANGZHOUNMALNIVERSITY碩士學(xué)位論文論文題目：基于極值理論和GARCH的風(fēng)險度量VaR及其實證分析作者姓名：倪烈恒指導(dǎo)教師：陳輝曾祥金教授學(xué)科專業(yè)：應(yīng)用數(shù)學(xué)所在學(xué)院：理學(xué)院提交日期：2009年6月杭州師范大學(xué)碩士學(xué)位論文基于極值理論和GARCH的風(fēng)險度量VaR及其實證分析IIIAbstractTheintroductionofValueatRisk(VaR)madeitpossibletoquantifyriskman

2、agement.Sincetheconceptwasfirstraisedin1993ithasbeenadoptedasastardmethodtomeasuremarketrisksbyfinancialganizations.Asthefluctuationoffinancialmarketgettingacuterfinancialemergencieshappenfrequentlyinrecentyearstherefeam

3、eproperwayisneededtohlethesesituations.StudieshaveshowedthatthetraditionalcalculationofVaRwillunderestimatetheresults.Becausealmostalltheobservedvalueswillconcentrateonthecentralpartofthedistributionwhenusingtraditionalw

4、ays.ButactuallythetailofthedistributionisthekeyfthecalculationofVaR.Pointinthetailcalledextremevalueisusuallyobservevaluethatoccurrarelyimpactcrucially.Theextremevaluetheyprovidesamodeofstatisticsanalysisftheseextremeval

5、ues.Duringthestudywefoundthatextremevaluetheyfailtotakethevolatilityclusteringoffinancialassetearningsintoconsiderationomitheteroskedasticityoffinancialassetearningsyieldthoughitdirectlyresearchesthetailoffinancialassete

6、arningsyield.Fthisreasonitcan’treflectthedailydynamicofrisks.In1986BollerslevsuggestedamodelnamedGRACHwhichcansatisfyinglydisplayheteroskedasticitybutconcernsthewholedistribution.Therefethispaperestablishesadynamicmodelo

7、frisksmeasurementconsistsofGARCHGPDGARCHGEVEGARCHGPDEGARCHGEVbycombiningextremevaluetheyGARCHmodel.ThepaperalsomakesafactcomparisontowardsGARCHGEVEGARCHGEVmodelpeakvaluemethodinmeasuringVaRbaseonShenzhencompositeindex.Th

8、eanalysisfindingsrevealthat:(1)GARCHGEVEGARCHGEVpeakvaluemethodcanallmeasuretheVaRaccuratelyfurthermetheaccuracyofthemodelishigherinhigherconfidencelevel.(2)WhenusingGEVdistributionfitsthetailofreturncomparedwithstaticmo

9、deldynamicmodelcanmeasuretherisksoffinancialassetsmeeffectivelyinthelowerconfidencelevel.Butinhigherconfidencelevelithasnodifferencesbetweenthem..Belowisthetextstructure:chapter1istheintroductionwhichsummarizesthebackgro