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ID:33973399
大小:1.21 MB
页数:76页
时间:2019-03-03
《h基金公司股票投资市场风险管理研究》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、Hะ䠇ޢਮ㛗⾞ᣋ䍺ᐸ൰伄䲟㇗⨼⹊ガTheResearchofHFundManagementCompanyforRiskManagementofStockInvestmentMarketᆜṗφр⎭Ӛ䙐ཝᆜᆜ䲘φᆿ⌦㔅⎄ф㇗⨼ᆜ䲘щѐφᐛ㇗⨼δMBAε㘻φঘᯯᡆሲᐾφࡎ⎭嗏ᆜਭφ1101209337⨣㓝φM1012098ㆊ䗟ᰛᵕφ2012ᒪ12ᴾ23ᰛ㾷仾䲙Ⲵ⺞࠷ᇊѹᱟᖃ䍴ӗԧ٬ǃ㛑⾘ԧṬ઼࡙ᛵߥࠪ⧠䶎亴ᵏ㔃᷌ᰦⲴн⺞ᇊᙗDŽྲօᴹ᭸亴⍻ᒦᓖ䟿仾䲙ˈሩҾ仾䲙㇑⨶ᴹߣᇊᙗѹDŽሩҾⴞࡽ㛑⾘Ҽ㓗ᐲ൪䟽㾱Ⲵᣅ䍴ѫփѻаส䠁ޜਨᶕ䈤ˈҏ䴰㾱ᔪ・а྇ᆼழ
2、Ⲵ仾䲙亴⍻઼㇑⨶ᵪࡦˈᣅ䍴㘵ᴤѪޣ⌘Ⲵᱟᣅ䍴ᐖॺ४䰤ਟ㜭ࠪ⧠Ⲵᴰབྷҿᦏˈণаᇊᾲ⦷лਟ㜭Ⲵᴰབྷᣅ䍴ᦏཡDŽ䙊䗷䈳⹄᮷ㄐਁ⧠ⴞࡽHส䠁ޜਨሩҾส䠁൘㛑⾘ᐲ൪仾䲙㇑⨶઼ᦏཡ亴⍻Ⲵ䟿ॆᯩ⌅ѫ㾱ᱟപᇊᦏཡ∄઼䘁լVaRশਢ⁑ᤏ⌅єˈᒦᐼᵋᕅޕн਼VaRᯩ⌅䘋㹼ᯩ⌅∄䖳ˈӾ㘼䘹ਆࠪᴤѪᴹ᭸Ⲵ亴⍻઼㇑⨶ᯩ⌅DŽᵜㇷ䇪᮷⭡↔䘹ਆHส䠁ᰇлⲴєᴰިරส䠁㊫රѪ⹄ウሩ䊑ˈ࠶࡛ᱟ˖ᤷᮠර㛑⾘ส䠁઼䶎ᤷᮠරᔰ᭮ᔿ㛑⾘ส䠁DŽ࣐ޕࠐн਼ⲴVaRᯩ⌅(Delta-↓ᘱVaRˈশਢ⁑ᤏVaRˈCVaRˈᯩᐞ-ॿᯩᐞVaR)઼ส䠁ᴹ㇑⨶ᯩ⌅䘋㹼∄䖳DŽ䙊䗷䘀⭘Eviews
3、઼Excelᐕާᒦ⭘LRլ❦∄ਾ⍻Ự傼傼䇱ᯩ⌅Ⲵ߶⺞〻ᓖˈӾ㘼ᗇࠪަѝ∄䖳ᴹ᭸Ⲵᯩ⌅DŽ䙊䗷ᇎ䇱⹄ウˈਟԕᗇࡠⲴ㔃䇪ᱟ˖аǃሩҾᤷᮠර㛑⾘ส䠁ˈ࠶࡛䘋㹼ҶаᒤᵏˈйᒤᵏVaR亴⍻ˈᒦ䘹ਆҶн਼Ⲵᰦ䰤४䰤ᶕቿ㭭⢋➺ᐲᑖᶕⲴ䎻࣯ᖡ૽ˈཆ࣐н਼㖞ؑ≤ᒣ(99%ǃ95%ǃ90%)ޡ12ᛵߥDŽ⭘լ❦∄ਾ⍻Ự傼㺘᰾ˈশਢ⁑ᤏVaR઼Delta-↓ᘱVaR࠶࡛䙊䗷ҶⲴ11⅑(91.7%)઼10⅑(83.3%)ˈՈҾަԆ⁑රDŽCVaRᯩ⌅൘㖞ؑ≤ᒣ∄䖳վᰦ䈟ᐞ䖳བྷˈᙫޡ䙊䗷4⅑(33.3%)Ự傼ˈ㘼പᇊᦏཡ∄ᯩ⌅൘བྷ䜘࠶Ự傼ѝ䜭ᰐ⌅䙊䗷ˈӵ䙊䗷3⅑(25%
4、)DŽᴰਾ⭘Jarque-BeraỰ傼傼䇱Ҷ⁑ර䘹ਆⲴᤷᮠᱟ䎻ੁҾ↓ᘱ࠶ᐳⲴˈᒦ⭘ARCHỰ傼傼䇱ᤷᮠнᆈ൘ᶑԦᔲᯩᐞᛵߥˈ䈤᰾ԕкVaRⲴ䇑㇇䜭ᱟᴹ᭸ⲴDŽҼǃሩҾ䶎ᤷᮠරᔰ᭮ᔿ㛑⾘ส䠁ˈᯩᐞ-ॿᯩᐞVaR઼শਢ⁑ᤏVaR亴⍻ՈҾަԆ⁑රˈєᯩ⌅䙊䗷Ҷᡰᴹլ❦∄ਾ⍻Ự傼ˈնশਢ⁑ᤏᯩ⌅Ⲵ㋮⺞ᓖᴤ儈ˈỰ傼㔃᷌ᴤ᧕䘁Ҿњ㖞ؑ≤ᒣⲴ⨶䇪᧘㦀٬DŽ਼ᰦਁ⧠പᇊᦏཡ∄亴⍻൘བྷ䜘࠶Ự傼ѝᰐ⌅䙊䗷DŽᴰਾ᮷ㄐᔪ䇞Hส䠁㇑⨶ޜਨ൘ӺਾⲴᣅ䍴ᐕѝ࣐ޕDelta-↓ᘱ⁑ර઼ᯩᐞ-ॿᯩᐞ⁑රєVaRᯩ⌅ᒦ؍⮉শਢ⁑ᤏVaRᯩ⌅ᶕሩᰇлส䠁䘋㹼仾䲙ᓖ䟿઼㇑⨶DŽ㘼പᇊ
5、ᦏཡ∄Ⲵᯩ⌅઼CVaR⭡Ҿнཏ㋮⺞઼ᴹ᭸ᔪ䇞н⭘DŽީ䭤䈃φ䠁㶽仾䲙ˈ൘䲙ԧ٬ˈ↓ᘱ࠶ᐳˈส䠁ˈᣅ䍴㓴ਸABSTRACTTheexactdefinitionofriskistheuncertaintywhenweforecasttheassetvalue,stockpriceorprofitofcompanies.Howtoquantifyandforecasttheriskisimportantforriskmanagement.Asstockinvestmentfundisoneofthemostimportantpartsofthesto
6、ckmarket,systemofriskmanagementhastobesetup.Investoersaremorecareaboutthelargestlossundercertainpossiblility.WehavestudiedtheHfundmanagementcompany.Indexfundandnon-indexopen-endstockfundwillbediscussedinthepaper.ThemethodwhichnowbeusedinHfundincludesfixedpercentagelossandhis
7、toricalsimulationmethod.Exceptcontextabovewillbeintroduced,othermethodlikedelta-normalmethod,historicalsimulationmethodandCVaRwillalsobediscussed.AllthecalculationwillbefinishedbyEviewsandExceltools.AtlastLRbackingtestwillbeusedtoidentifytheeffectivenessofdifferentmethods.Fi
8、nallywecanconcludebasicconclusion.First,forIndexfund,12kindsofsituationhasb
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