基于pair copula-SV模型的资产组合风险度量

将SV模型与pair copula模型相结合,构造了一个pair copula-SV模型,并借助Monte Carlo方法度量了资产组合的风险价值.选取4支股票构成资产组合进行实证分析,结果表明该模型的拟合效果较好,具有一定的实际应用价值,同时能够反映风险度量领域的发展趋势.     

不确定环境下基于VaR和CVaR的投资组合优化模型

对不确定环境下的投资组合问题进行研究,使用不确定测度来定义不确定环境下的VaR和CVaR,并用VaR和CVaR度量风险,建立基于VaR和CVaR风险控制的投资组合优化模型,并设计了集成遗传算法、99-方法的混合智能算法来求解此模型,最后通过实例验证了模型和算法的有效性。     

VaR方法的一种改进模型

VaR方法度量了在一定置信水平下资产可能的最大损失,指出了投资组合所面临的风险程度,但VaR方法并没有指出在何种比例下配置资产可以使得投资组合的VaR值最小.针对此问题,在德尔塔正态方法和蒙特卡罗模拟方法的基础上,提出了搜索化德尔塔方法,并利用证券市场的真实数据,与德尔塔正态方法的结论进行了对比分析.结果表明,搜索化德尔塔方法能够确定最优的投资比例,在此比例下,投资组合的VaR值达到最优.搜索化德尔塔方法可以帮助投资者合理地配置资产.     

基于Intranet的高性能金融仿真平台建立和使用

Monte Carlo仿真是实现金融证券定价及风险评估的主要方法．本文提出在Intranet上利用JAVA简单、快速建立并行Monte Carlo仿真平台的方法．SPMD编程模型用于程序设计，利用eager算法实现负载均衡、容错及适度并行．独立序列作为并行伪随机数生成技术从而保证并行仿真的可用性．股票期权定价及银行信用风险VaR实时计算作为应用，完成实际仿真系统设计及实验．获得理想运行结果．目前，该平台及应用系统可用于金融机构创新服务和风险管理中．     

条件收益率下的VaR分析

收益率是风险评价的基本命题，是计算VaR的基础。本文提出条件收益率的思想，即在一定价格水平上的收益率。通过沪深股市10支含H股股票的数据进行分析，证明条件收益率是客观存在的，且发现平均条件收益率随价格上升而下降的规律。据此，给出条件收益率下VaR的应用方法。     

广义Pareto分布下风险值估计

采用适当的统计方法来估计广义Pareto的分布参数，对于计算基于极值理论的风险值(VaR)具有重要的理论和现实意义．一般采用最大似然法(MLM)对它的参数进行估计，作者采用和McNeil，Frey相似的方法选择域值后，分别采用最大似然法、概率权重矩法(PWM)和矩法(MoM)对广义Pareto分布的参数进行了估计．并对上证指数的VaR进行了相应计算，最后对结果进行后验比较分析，探讨了不同估计方法的适用规律．     

GFC-robust risk management under the Basel Accord using extreme value methodologies

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. The median is not affected by extremes, unlike the mean. In periods of contagion, wherein the number and values of extremes are substantially greater, the use of the median would be expected to be even more robust than the mean. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008–2009 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.     

基于CARR模型与GARCH模型对VaR的比较研究

研究了在一般情形下和极端风险下的风险度量,分别采用基于极差、收益率为变量建模的CARR模型、GARCH模型应用于VaR的计算,结合深证成指的实际数据进行实证分析,分别对比在不同分布下GARCH模型和CARR模型计算出的VaR,最终得出基于在广义伽马分布下CARR模型算出的VaR值,能更加真实地反映深证股市极端情形下风险程度,而基于T分布下的GARCH模型更加真实地反映深证股市一般情形下的风险程度.     

Effect of foreign exchange management on firm performance using genetic algorithm and VaR

Management of foreign exchange risk is considered to be as important as trading results in firm performance when international trading and transaction of different kind of currencies are getting popular. Most previous researches on this issue have been based on the foreign exchange market and financial investing and accounting, focusing on theoretical point of view. And it is difficult to apply these research results to each company, since all companies in industry have different financial circumstances. In this paper, the solution for the foreign exchange management is proposed using GA and VaR which is very practical to export-oriented companies. The developed software enables a user to specify the criteria for the foreign exchange trading condition, constraints on dealing amount, GA operator and penalty, and variables in VaR. This approach is useful for managing foreign exchange holdings of a company in a practical way, analyzing past exchange rate trend with dealing results.     

基于n周期风险价值下的log最优资产风险控制模型及分析

针对现代金融市场风险控制，基于风险价值(VaR)风险理论，建立了n周期最优资产组合的风险控制模型。对模型解的性质给出分析，并证明了n周期投资风险模型最优解的存在性与惟一性，为n周期投资策略优于连续单周期投资策略及其风险控制提供模型分析．这为投资策略优化、投资风险控制提供了理论分析依据．