结构转换模型及其在长期风险管理中的应用

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1、中国科学技术大学博士学位论文结构转换模型及其在长期风险管理中的应用姓名：过蓓蓓申请学位级别：博士专业：金融工程指导教师：方兆本20091001摘要最后一章是对全文的总结，指出文中亟待改进之处以及未来研究方向。关键词：结构转换模型长期风险管理次贷危机抵押债务证券信用违约互换股票指数变点风险价值条件尾部期望股指期权定价ⅡAbstractABSTRACTTheoutbreakofsubprimemortgagecrisisleadstheworldtoreconsideraboutthefinancialderivativestradingan

2、dtheimportanceofriskmanagement．Theinnovationoffinancialproductsmaybeusefulforreconstructingriskdistribution，diversifyingtheriskandhedgingtherisk．Atthemeantime，itwillhelpfinancialinstitutiontobreakthroughthelimitationofliquidity,toreducefinancingcost，andthen，tobringUSadyna

3、micmarket．However,ifmarketparticipantspaymoreattentiontoprofitmaximization，withoutnoticingorforeseeingthelong—termtrendorchangesofeconomicandfinancialenvironment，theleverageofderivativeswillenlargetherisksandbringthemtoworldwide．Basedonthenecessityoflong—termriskmanagemen

4、t，wefocusonapopularnonlineartimeseriesmodel，Markovregime-switchingmodel．Itisveryflexibleandwidelyusedinanalyzinglong-rundynamicsofmacroeconomy,likeGNPdata，tocapturethoseunexpectedbutrecurrentphenomena．Recently,it’Srecommendedbytheinvestors，suchasinsurancecompany,whichmake

5、long—terminvestments，tocalculatereserve．Butithasnotbeensystematicallystudiedbydomesticresearchers．Theframeandinnovationaredescribedinsixchaptersinthispaper．InChapter1，thedevelopmentandtheimportanceofriskmanagementarebrieflysummarized,andtheresearchesofregime—switchingmode

6、lsarereviewed．Then，theframeofthewholepaperisintroduced．InChapter2，thebasictheoryofregime—switchingtypemodelsisdescribed．Themethodstosetaconcretemodel，estimateparametersandanalyzeestimationresidualsaresystematicallypresented．Atlast，twospecificextensionsofregime-switchingmo

7、delarelisted．Chapter3istheapplicationofregime-switchingmodeltoanewfield．Themodelisusedtomeasurethecreditriskimpliedbycreditdefaultswapindex．WeassumethatthespreadofCDSindexlocatesinoneofthetwostates，whicharespreadtighten—volatilitydecreasestateandspreadwiden—volatilityincr

8、easestate．TheresultsshowthatCDSindexdoessensitivelyrespondtobigeventsinfmancialmarket．Therefore，