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摘要随着金融产品的不断创新，市场中潜在的金融风险亦不断趋于复杂难测，因此金融风险的预测与度量在实际金融交易中的重要性与日俱增。同时中国作为一个不断开放的大国，外汇市场也愈加风云变幻，人民币汇率风险的预测与度量也被很多人不断研究发展。 VaR 模型作为度量金融风险的基本模型， 本文简述了VaR 模型在金融市场发展过程中的重要作用以及基本理论和常用方法。以人民币汇率中间价报价机制改革前后的两组人民币汇率中间价数据作为实证材料，论证了 VaR 模型的实用性及准确性。运用适合度量人民币汇率风险的 GARCH 模型和蒙特卡罗方法预测一般情况下的风险，并引入压力测试预测极端情况下的人民币汇率风险，使得预测更加全面且准确。通过对比改革机制前后两组数据的风险水平得出结论：改革人民币汇率中间价报价机制后，人民币汇率波动风险明显变大。 49898
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毕业论文关键词 VaR 模型 GARCH 模型 人民币汇率 压力测试 蒙特卡罗方法 Title EVSLUATION OF VALUE AT RISK BASED ON VaR MODLE
Abstract With innovation of financial products, market potential financial risks also continue to become more complex and unpredictable, thus prediction and measurement of financial risk in actual financial transactions plays an important role . Meanwhile, as China continues to be an opening country, the foreign exchange market has become even more changes, forecasting and measurement of exchange rate risk has also attract a lot of people to do researches and make development. VaR model as a basic model for measuring financial risks , which outlined an important role in the development of finance market. Two sets of data to the RMB exchange rate ,before and after mechanism reform of RMB exchange rate quotes ,as empirical evidence to prove the practicality and accuracy of VaR model. Predicted risk by the use of GARCH model under normal circumstances ,and Monte Carlo method is also worked. And stress test,which is the innowation in evaluating RMB exchange rate risk, used to predict extreme cases .All these methods making forecasting more comprehensive and accurate. Drawing a conclusion from the comparison between the risk of two sets of data :it is obvious that the risk of RMB exchange rate becomes higher than before.
Keywords VaR modle GARCH modle RMB exchange rate stress test Monte carlo method
目次
第1章绪论1
1.1研究背景1
1.2研究现状1
1.2.1VaR模型1
1.2.2压力测试理论1
1.2.3人民币汇率风险及其度量2
1.3研究框架2
1.3.1研究思路3
1.3.2研究内容3
1.4本文的创新之处4
第2章理论基础5
2.1VaR方法5
2.1.1VaR方法简介5
2.1.2VaR模型数学表达5
2.1.3VaR模型计算方法7
2.2压力测试理论7
2.2.1压力测试理论简介7
2.2.2压力测试实现方法7
2.3人民币汇率风险理论8
2.3.1人民币汇率风险8
2.3.2人民币汇率风险度量方法8
第3章VaR模型对人民币汇率风险的实证度量9
3.1样本选取及数据说明9
3.2模型前提假设的检验9
3.2.1随机游走检验9
3.2.2正态性检验13
3.2.3异方差检验14
3.3不同方法的VaR模型对人民币汇率风险的实证16
3.3.1蒙特卡罗方法对人民币汇率风险的实证度量16
3.3.2GARCH族模型对人民币汇率风险的实证度量16
3.4准确性检验21
第4章压力测试方法对人民币汇率的实证度量24