极端情况下对我国股市风险的实证研究

摘要/Abstract

摘要： 准确地度量风险是对风险进行有效管理的前提也是投资者做出合理的投资决策的基础,然而在极端事件频繁发生的情况下,传统的VaR计算方法难以准确地度量股市风险,极值理论却可以很好地解决这一问题。本文特别关注了由2007年美国"次贷" 危机所引发的全球金融危机爆发时我国股市的风险度量问题,考虑到全球股市间极端事件的联动效应,利用基于极值理论的POT模型对上证综指日收益率的尾部数据直接建模拟合分布,进而计算出风险值VaR和CVaR,通过比较危机前后的风险值,发现随着金融危机的到来,我国股市的风险有了一定程度的释放。

关键词: 极值理论, POT模型, VaR, 次贷危机

Abstract: Accurate measure of risk is a prerequisite for effective risk management and a basis for investors to make rational decisions, but the traditional method of calculating VaR is invalid when extreme events occur frequently.Luckily, extreme value theory can solve this problem effectively. Risk measurement of China's stock market against the background of subprime crisis is studied. Considering the extreme co-movements and impacts, extreme value theory and POT model are used to fit the tail distributions of daily returns of Shanghai Composite Index, and then calculate VaR and CVaR. By comparing the risks before and after the crisis, it is shown that with the advent of the financial crisis, risks in China's stock market have been released to a certain degree.

Key words: extreme value theory, POT model, VaR, subprime crisis

中图分类号:

F830.9

王艺馨, 周勇. 极端情况下对我国股市风险的实证研究 [J]. 中国管理科学, 2012, 20(3): 20-27.

WANG Yi-xin, ZHOU Yong. The Empirical Study of China’s Stock Market Risk in Extreme Situations[J]. Chinese Journal of Management Science, 2012, 20(3): 20-27.

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