基于均值-CVaR模型的外汇储备币种配置研究.pdfVIP

第25卷 第2期 北京航空航天大学学报(社会科学版) Vol.25摇 No.2 2012年3月 Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition) March,2012 基于均值 -CVaR模型的外汇储备币种配置研究 宋晓东,韩立岩 (北京航空航天大学 经济管理学院,北京 100191) 摘摇 要:利用VAR模型来预测外汇储备各币种未来的收益率,利用DCC鄄GARCH模型结合条件风险价值 CVaR动态地描述不同币种结构下外汇储备的风险状况。 为了突出极端风险控制,通过建立均值 -CVaR模 型,研究不同目标收益率要求下的中国外汇储备币种的动态最优结构。 结果表明,在不降低收益率的前提下, 动态配置后的外汇储备CVaR风险显著降低。 关键词:外汇储备; 币种配置;DCC鄄GARCH模型;均值-CVaR模型 中图分类号:F821摇 摇 摇 文献标识码:A摇 摇 摇 文章编号:1008鄄2204(2012)02鄄0082鄄06 Research on Currency Allocation of Foreign Exchange Reserve Based on Mean鄄 CVaR Model Song Xiaodong,HanLiyan (School of Economics and Management,Beijing University of Aeronautics and Astronautics,Beijing 100191,China) Abstract:We analyze the volatility of the exchange rate of various foreign exchange reserves based on VAR model and present dynamically the risk of the different currency structure of foreign exchange reserves by using DCC鄄 GARCHmodel combining with the conditional value at risk(CVaR). Ultimately,according to Markowitz mean鄄vari鄄 ance model,weproposethemean鄄CVaRmodelto studythedynamicoptimal currency structureof China蒺sforeignex鄄 change reserves under different target yields. The results show that dynamic allocation can reduce the CVaR risk of foreign exchange reserves significantly at the same given yield rate. Key words:foreign exchange reserve;currency allocation;DCC鄄GARCH model;mean鄄CVaR model [2] 和张斌 估算出2006年中国的外汇储备持有成本高 一、引言 达5%左右。 此外,由于美元对人民币的持续贬值,也 造成了中国外汇储备的明显缩水。 自2005年7 月中 近年来