摘要
VaR(在险价值)方法是当今运用得最为广泛的金融市场风险度量方法。历史模拟法作为计算VaR的主要方法之一,其计算出来的VaR的风险度量效果需要得到现实金融市场数据的检验。本文通过选取上证综指日收益率的历史数据,分别在市场波动性不发生改变、市场波动性变大和市场波动性变小三种情况下对历史模拟法的有效性进行检验,检验结果表明在市场波动性不发生变化的情况下,历史模拟法计算的VaR能够有效地度量市场风险;在市场波动性变大的情况下,该方法会低估市场风险;在市场波动性变小的情况下,该方法会高估市场风险。通过对历史模拟法的计算原理进行分析,历史样本自身的时滞性是导致该方法在市场波动性发生变化时无效的原因。
VaR（value at risk）method is the most popular tool in risk measure of financial market now. Historical simulation method is one of the main methods that calculate VaR, and its effectiveness needs to be tested by actual data from financial market. This paper selects the historical data of daily yield rate of the Shanghai Com- posite Index, and empirically tests the effectiveness of historical simulation method under three kinds of volatility changing conditions. The empirical result shows that VaR calculated by historical simulation method will measure market risk effectively when the volatility of market does not change. However, the method will underestimate the risk when the volatility of market climbs, and overestimate the risk when the volatility of market declines. By an- alyzing its calculation principles, we find the hysteresis of historical data. This characteristic is the reason why the method is ineffective when volatility of market changes. So, investors who use it to measure market risk must consider changes of volatility in the future.
出处
《运筹与管理》
CSSCI
CSCD
北大核心
2017年第12期112-118,共7页
Operations Research and Management Science
基金
国家自然科学基金面上项目(71471045)
国家自然科学基金创新研究群体项目(71721001)
中国博士后科学基金特别资助项目(2015T80896)
中国博士后科学基金面上项目(2014M560658)
广东省自然科学基金项目(2017A030313399
2017A030313397)
广东省高等教育‘创新强校工程’项目(GWTP-GC-2017-03)
广东省普通高校特色创新项目(人文社科类)
教育部人文社会科学研究规划基金项目(15YJAZH051)
关键词
风险管理
历史模拟法
在险价值
波动性
risk management
historical simulation method
value at risk
volatility
