基于拔靴滤波历史模拟法的黄金市场VaR测度研究

doi:10.16381/j.cnki.issn1003-207x.2019.07.005

中国管理科学 ›› 2019, Vol. 27 ›› Issue (7): 46-55.doi: 10.16381/j.cnki.issn1003-207x.2019.07.005

基于拔靴滤波历史模拟法的黄金市场VaR测度研究

吕永健¹, 符廷銮², 胡颖毅², 戴丹苗³

1. 西南财经大学金融学院, 四川成都 611130;
2. 西南财经大学中国金融研究中心, 四川成都 611130;
3. 国信证券博士后工作站, 广东深圳 518001

收稿日期:2015-05-14 修回日期:2017-06-28 出版日期:2019-07-20 发布日期:2019-08-01
通讯作者: 戴丹苗(1989-),女(土家族),湖北恩施人,国信证券博士后工作站研究员,经济学博士,研究方向:资本市场与公司金融,Email:daidanmiao@guosen.com.cn. E-mail:daidanmiao@guosen.com.cn
基金资助:
国家自然科学基金青年基金资助项目（71801034）；中国博士后科学基金资助项目（2019M652870）

A Study of Risk Measurements of Chinese Gold Market based on Bootstraped Filtered Historical Simulation Approaches

LYU Yong-jian¹, FU Ting-luan², HU Ying-yi², DAI Dan-miao³

1. School of Finance, South Western University of Finance and Economics, Chengdu 611130, China;
2. Institute of Chinese Financial Studies, South Western University of Fiance and Economics, Chengdu 611130, China;
3. Guosen Postdoctoral Workstation, Shenzhen 518001, China

Received:2015-05-14 Revised:2017-06-28 Online:2019-07-20 Published:2019-08-01

摘要/Abstract

摘要： 传统历史模拟法（THS，Tranditional Historical Simulation）和滤波历史模拟法（FHS，Filtered Historical Simulation）是国际商业银行使用最多的VaR预测方法。首先，论文在已有研究成果的基础上，构造了BHW（Bootstraped Hull and White）历史模拟法；然后，以国内黄金交易数据为样本，采用6种严谨的后验分析（Backtesting analysis）方法，对BHW方法及几种主流历史模拟法、GARCH模型方法的VaR预测精确性进行了实证分析。论文的主要结论包括：（1）综合论文所采用的几种金融风险测度方法来看，BHW方法表现出了相对较好的精确性，而实务界中广泛使用的THS方法则表现出了最差的精确性；（2）不同的历史模拟法受样本规模因素影响的程度显著不同，例如THS方法和HW方法均不同程度的受到了样本规模因素影响；（3）总体来看，BHW方法表现出了相对较好的风险预测精确性，可以作为测度黄金市场风险的选择之一。

关键词: 历史模拟法, BHW, VaR, 黄金市场, 后验分析

Abstract: Traditional Historical Simulation and Filtered Historical Simulation are the most used risk measurements among international commercial banks. Another filtered historical simulation approach——BHW is presented in this paper, which is constructed by Hull and White (1998) and bootstrap methods. Then the spot trading of gold price is taken as samples, and the accuracy of the BHW method and other popular methods, such as traditional historical simulation methods, BRW methods, Hull and White(1998) methods and parametrical GARCH methods are backtested. Since Dumitrescu et al. (2012) pointed out that there's none backtesting method have absolute advantage on others, and suggest that take more backtesting methods as possible, six different methods are taken. The conclusions include:(1) Compared with the other 4 popular risk measurement methods, BHW methods shows relative better accuracy; (2) In the small sample case (125 days), the advantage of BHW are significantly better than other methods, when the sample size become larger (250 days), HW, BHW and GARCH models all show relative better accuracy, and the HW approach is slightly better than other methods; (3) the accuracy of different historical simualtion methods are influenced by rolling sample size differently.

Key words: Historical Simulation, BHW, Value at Risk, gold market, backtesting

中图分类号:

吕永健, 符廷銮, 胡颖毅, 戴丹苗. 基于拔靴滤波历史模拟法的黄金市场VaR测度研究[J]. 中国管理科学, 2019, 27(7): 46-55.

LYU Yong-jian, FU Ting-luan, HU Ying-yi, DAI Dan-miao. A Study of Risk Measurements of Chinese Gold Market based on Bootstraped Filtered Historical Simulation Approaches[J]. Chinese Journal of Management Science, 2019, 27(7): 46-55.

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基于拔靴滤波历史模拟法的黄金市场VaR测度研究

A Study of Risk Measurements of Chinese Gold Market based on Bootstraped Filtered Historical Simulation Approaches

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