银行间债券市场风险VaR的度量分析——基于分位数回归模型

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1、·目录目录第1章引言.......................................................11.1研究背景和意义..............................................11.1.1本文的研究背景..........................................11.1.2本文的研究目的及意义....................................31.2文献综述................................

2、....................41.3文章思路与文章结构..........................................71.4本文特色与不足..............................................8第2章银行间债券市场的现状和作用.................................92.1银行间债券市场的现状........................................92.2银行间债券市场的作用...................

3、....................13第3章VaR与金融市场风险度量.....................................173.1金融市场风险定义及分类.....................................173.1.1金融风险的定义.........................................173.1.2金融风险的分类.........................................173.1.3金融市场风险的发展现状..............

4、...................183.1.4金融市场风险管理过程...................................203.2金融市场风险度量技术发展与演变.............................213.2.1名义值度量法...........................................223.2.2灵敏度方法.............................................223.2.3波动性方法........................

5、.....................223.3VaR方法概述................................................243.3.1VaR的定义..............................................253.3.2VaR主要计算方法介绍....................................26第4章参数法计算VaR.............................................314.1VaR计算方法及IGAR

6、CH、EGARCH、PARCH简介....................314.1.1VaR模型的计算方法......................................31V···万方数据···华侨大学硕士学位论文1.1ARCH模型...............................................321.2GARCH模型..............................................321.3EGARCH模型...........................

7、..................331.4PARCH模型..............................................341.5运用模型计算VaR的主要步骤.............................341.1.1IGARCH、EGARCH、PARCH方法测度银行间债券回购市场VaR........352.1样本条件收益率序列的统计特征...........................352.2平稳性检验.......................................

8、......362.3异方差检验.............................................362.4厚尾性检验.............................................3