论文（设计）基于参数, 非参, 半参三类模型的VaR 方法的对比研究.doc

姓名：王翼 学号：34020051300946TEL：13799288091 E MAIL：kwing2900主导师：洪永淼、冼刍荛 导师组成员：蔡宗武、林海基于参数、非参、半参三类模型的VaR方法的对比研究Comparing and Ranking Parametric, Nonparametric and Semi-parametric VaR Models王翼Wang Yi主导师：洪永淼、冼刍荛main advisor: Hong Yongmiao, Xian Chuyao摘 要在这个机遇与风险并存的时代，在投融资环境越来越复杂多样的情况下，如何控制和管理我国股票市场、权证市场上的投资风险，对各金融投资机构而言，成为其生死存亡的一个关键，各个赢利性机构都要在最大化收益的同时，严格控制好各项资产风险。目前，测量风险应用最广泛的是VaR方法，但可用于计算VaR的模型众多且各有千秋，因此本文以寻找适合计算中国股市上股票和权证的VaR为目标，选取权证市场上38只权证的所有日数据，及其对应的32只股票从2000年至2007年的日数据，运用参数、非参以及半参三大类十三种模型和方法，包括正态分布和Student-t分布两种分布下的五种GARCH族模型、双变量GARCH模型、三种渐进演变的历史模拟法、蒙特卡罗模拟法、极值理论以及过滤的极值理论和条件自回归VaR方法，进行向前一天的VaR预测，再采用Kupiec检验和分位损失检验这两类视角不同的检验方法，来判断各类模型和方法在三种不同的预测期长度、两种不同的显著性水平下的表现优劣，以期寻求到不同情况下，最合适预测我国股票或权证VaR的模型或方法，最终为业界风险管理者提供一个比较全面的参考。本文通过一系列的实证检验，发现GARCH族模型和条件自回归VaR方法在两种检验下通常都表现良好，能够给出较优的VaR预测，而且对可观测的数据长度不敏感，在数据较少的情况下，同样能用于做预测。非参的方法历史模拟法、蒙特卡罗模拟法和半参的方法极值理论表现通常较差，不过在分位损失检验的标准下，过滤的历史模拟法和过滤的极值理论表现良好。关键词：VaR；半参；权证AbstractIn this era, opportunities are accompanied by risks and financing environment is more and more complicated, thus as a finance institute in Chinese capital market, how to control and manage its investment risk is the key point to survive in the market. Nowadays, the most popular tool to measure the risk of assets is Value-at-Risk, however, there are so many existing models and methods to estimate VaR and each one has its own advantages and disadvantages, therefore this article aims at finding out the best models for measuring the VaR in the context of Chinese stock and option markets. The article selects all the daily data of options which are being traded or have been traded and the daily data from 2000 to 2007 of their underlying stocks, applies parametric, nonparametric and semi-parametric models, including five kinds of GARCH models with Normal and Student-t distribution assumptions, three kinds of improved Historical Simulation methods, Monte Carlo method, Extreme Value Theory, Filtered Extreme Value Theory and Conditional Autoregressive Value-at-Risk, makes one-day ahead prediction. In addition we are the first to consider the information spillover between stock market and option market in estimating VaR. Finally, under three kinds of lengths of predictive periods and two kinds of critical level, uses Kupiec test and Quantile Loss test to compare and rank those models and methods from two different aspects, for giving some references of which model or method is the best under some given conditions.With a series of empirical studies, the article comes to the conclusion that GARCH models and Conditional Autoregressive Value-at-Risk usually perform well, and they are also applicable when lack of data because of not being sensitive to the length of data, on the contrary, Historical Simulation methods and Monte Carlo method do not work well, except filtered Historical Simulation and filtered Extreme Value Theory which perform well under Quantile Loss test. KeyWords: VaR; Semi-parametric; OptionEditor's note: Judson Jones is a meteorologist, journalist and photographer. He has freelanced with CNN for four years, covering severe weather from tornadoes to typhoons. Follow him on Twitter: jnjonesjr (CNN) - I will always wonder what it was like to huddle around a shortwave radio and through the crackling static from space hear the faint beeps of the world's first satellite - Sputnik. I also missed watching Neil Armstrong step foot on the moon and the first space shuttle take off for the stars. Those events were way before my time.As a kid, I was fascinated with what goes on in the sky, and when NASA pulled the plug on the shuttle program I was heartbroken. Yet the privatized space race has renewed my childhood dreams to reach for the stars.As a meteorologist, I've still seen many important weather and space events, but right now, if you were sitting next to me, you'd hear my foot tapping rapidly under my desk. I'm anxious for the next one: a space capsule hanging from a crane in the New Mexico desert.It's like the set for a George Lucas movie floating to the edge of space.You and I will have the chance to watch a man take a leap into an unimaginable free fall from the edge of space - live.The (lack of) air up there Watch man jump from 96,000 feet Tuesday, I sat at work glued to the live stream of the Red Bull Stratos Mission. I watched the balloons positioned at different altitudes in the sky to test the winds, knowing that if they would just line up in a vertical straight line "we" would be go for launch.I feel this mission was created for me because I am also a journalist and a photographer, but above all I live for taking a leap of faith - the feeling of pushing the envelope into uncharted territory.The guy who is going to do this, Felix Baumgartner, must have that same feeling, at a level I will never reach. However, it did not stop me from feeling his pain when a gust of swirling wind kicked up and twisted the partially filled balloon that would take him to the upper end of our atmosphere. As soon as the 40-acre balloon, with skin no thicker than a dry cleaning bag, scraped the ground I knew it was over.How claustrophobia almost grounded supersonic skydiverWith each twist, you could see the wrinkles of disappointment on the face of the current record holder and "capcom" (capsule communications), Col. Joe Kittinger. He hung his head low in mission control as he told Baumgartner the disappointing news: Mission aborted.The supersonic descent could happen as early as Sunday.The weather plays an important role in this mission. Starting at the ground, conditions have to be very calm - winds less than 2 mph, with no precipitation or humidity and limited cloud cover. The balloon, with capsule attached, will move through the lower level of the atmosphere (the troposphere) where our day-to-day weather lives. It will climb higher than the tip of Mount Everest (5.5 miles/8.85 kilometers), drifting even higher than the cruising altitude of commercial airliners (5.6 miles/9.17 kilometers) and into the stratosphere. As he crosses the boundary layer (called the tropopause), he can expect a lot of turbulence.The balloon will slowly drift to the edge of space at 120,000 feet (22.7 miles/36.53 kilometers). Here, "Fearless Felix" will unclip. He will roll back the door.Then, I would assume, he will slowly step out onto something resembling an Olympic diving platform.Below, the Earth becomes the concrete bottom of a swimming pool that he wants to land on, but not too hard. Still, he'll be traveling fast, so despite the distance, it will not be like diving into the deep end of a pool. It will be like he is diving into the shallow end.Skydiver preps for the big jumpWhen he jumps, he is expected to reach the speed of sound - 690 mph (1,110 kph) - in less than 40 seconds. Like hitting the top of the water, he will begin to slow as he approaches the more dense air closer to Earth. But this will not be enough to stop him completely.If he goes too fast or spins out of control, he has a stabilization parachute that can be deployed to slow him down. His team hopes it's not needed. Instead, he plans to deploy his 270-square-foot (25-square-meter) main chute at an altitude of around 5,000 feet (1,524 meters).In order to deploy this chute successfully, he will have to slow to 172 mph (277 kph). He will have a reserve parachute that will open automatically if he loses consciousness at mach speeds.Even if everything goes as planned, it won't. Baumgartner still will free fall at a speed that would cause you and me to pass out, and no parachute is guaranteed to work higher than 25,000 feet (7,620 meters).It might not be the moon, but Kittinger free fell from 102,800 feet in 1960 - at the dawn of an infamous space race that captured the hearts of many. Baumgartner will attempt to break that record, a feat that boggles the mind. This is one of those monumental moments I will always remember, because there is no way I'd miss this.