本文選題：尾部風(fēng)險(xiǎn) + 尾部相關(guān)　； 參考：《暨南大學(xué)》2013年碩士論文

【摘要】：極端事件對(duì)金融市場(chǎng)的影響巨大，我國(guó)股市受08年金融危機(jī)所累，至今未能走出發(fā)展的泥潭。極端事件引起的尾部風(fēng)險(xiǎn)越發(fā)受到廣大學(xué)者和金融監(jiān)管部門的興趣和關(guān)注。如何對(duì)尾部風(fēng)險(xiǎn)進(jìn)行測(cè)度，是時(shí)下學(xué)者們重點(diǎn)研究的課題。 風(fēng)險(xiǎn)價(jià)值(Value at risk)是現(xiàn)行風(fēng)險(xiǎn)度量的國(guó)際標(biāo)準(zhǔn)。不加區(qū)別的使用VaR對(duì)尾部風(fēng)險(xiǎn)進(jìn)行測(cè)量，將造成風(fēng)險(xiǎn)低估的嚴(yán)重后果。隨著金融風(fēng)險(xiǎn)度量理論的發(fā)展，，滿足一致性四公理被認(rèn)為是良好風(fēng)險(xiǎn)測(cè)度指標(biāo)的必要條件。滿足一致性準(zhǔn)則的尾部風(fēng)險(xiǎn)度量工具包括CVaR、ER、ES、TCE和TM等指標(biāo)，本文在簡(jiǎn)述，分析各指標(biāo)的優(yōu)劣后，選擇基于極值理論的VaR和ES作為尾部風(fēng)險(xiǎn)度量工具。 度量和分析股市尾部相關(guān)性，可以更加全面深刻的了解股市尾部風(fēng)險(xiǎn)。Copula函數(shù)由于善于捕捉變量間非線性、非對(duì)稱及尾部相關(guān)性特性，因此常被用來測(cè)量資產(chǎn)或股市間的尾部相關(guān)性。 本文的實(shí)證分兩部分進(jìn)行，首先是基于改進(jìn)閾值選取法的POT模型計(jì)算VaR和ES，返回檢驗(yàn)結(jié)果表明不加改進(jìn)的POT-VaR效果不如前者。實(shí)證第二部分采用Copula理論對(duì)上證指數(shù)、恒生指數(shù)、納斯達(dá)克指數(shù)做兩兩尾相關(guān)性度量，結(jié)果表明我國(guó)股市與境外成熟股市尾相關(guān)性明顯，呈非對(duì)稱性，且上尾相關(guān)性小于下尾相關(guān)性。
[Abstract]:The extreme events have great influence on the financial market. The stock market of our country has not been able to get out of the quagmire of development so far because of the financial crisis of 2008. The tail risk caused by extreme events has attracted more and more attention from scholars and financial regulators. How to measure tail risk is an important research topic for scholars. Value at riskis the current international standard of risk measurement. Using VaR indiscriminately to measure tail risk will result in serious consequences of risk underestimation. With the development of financial risk measurement theory, satisfying the four axioms of consistency is considered to be a necessary condition for good risk measurement. The tail risk measurement tools that satisfy the consistency criterion include CVaRGERE ESTCE and TM. After analyzing the merits and demerits of each index, this paper chooses VaR and es based on extreme value theory as tail risk measurement tools. By measuring and analyzing the tail correlation of the stock market, we can understand the stock market tail risk. Copula function is good at capturing the nonlinear, asymmetric and tail correlation characteristics of the stock market. Therefore, it is often used to measure the tail correlation between assets or stock markets. The empirical results of this paper are divided into two parts. Firstly, the VaR and ES-based POT-VaR are calculated based on the improved threshold selection method. The results of return test show that the effect of POT-VaR without improved POT-VaR is not as good as that of the former. In the second part, we use Copula theory to measure the correlation of Shanghai Stock Exchange Index, Hang Seng Index and Nasdaq Index. The results show that the correlation between Chinese stock market and overseas mature stock market is obvious and asymmetric. The correlation between upper tail and lower tail is smaller than that of lower tail.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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