基于VaR模型对中小板民营企业市场风险的度量毕业设计论文.docVIP

摘要 多年来，中国民营经济在国民经济中的地位不断提升，已发展到“三分天下有其一”的地步。伴随着改革深化，社会发展，民营企业面对更加复杂和更具挑战性的经济社会环境。20世纪90年代以来，国外金融危机频频爆发，市场风险管理的重要性也越来越凸显。特别是2008年爆发的金融危机，表面上这是由信用风险引起，而更深层次的原因则是市场风险的转移造成了市场的泡沫化繁荣。基于各机构面临更多的风险和更复杂的金融工具的事实，全球市场风险管理系统是必需和合理的。在各种市场风险管理方法中，VaR方法最为引人瞩目。VaR（Value at Risk）是度量、识别和管理市场风险的先进工具，也是巴塞尔委员会推荐的市场风险管理内部模型。与其他衡量方法相比，VaR对投资组合的整体风险概况提供了一种前瞻性的描述，因此可以更有效更积极的管理市场风险。 本文首先分析了研究的必要性和可行性，而后总结已有的研究成果，对VaR方法在国内外的应用现状进行分析。其次，介绍了VaR的核心思想和计算方法。最后，论文考察了我国民营企业日收益率的统计特征，选择恰当的衡量方法，通过结果对比和有效性检验找到适合我国民营企业市场风险的计量模型，并试图通过对市场风险影响因子的分析提出市场风险控制的建议。 关键词 民营企业；市场风险；VaR模型 Abstract Over the years, Chinese private economy has developed to the situation of one of the three points in the world in the national economy. With the deepening reform and social development, private enterprises face even more complex and more challenging economic and social environment. Since the 1990s, foreign financial crisis erupted repeatedly. The importance of risk management is becoming more and more prominent. Especially in 2008 the outbreak of the financial crisis, it is caused by the credit risk superficially, but the deeper reason is the transfer of market risk which produces frothy prosperity of the market. Based on the facts that organizations are facing more risk and more complex financial instruments, global market risk management system is necessary and reasonable. In all kinds of market risk management method, the most remarkable method is VaR. VaR, i.e. value at risk, is not only an advanced tool in measure, identification and management of market risk, but also the internal model in risk management recommended by Basel committee. Compared with other measures, VaR offers a prospective description for the overall risk of investment portfolio, and thus can be more effective and more active in market risk management. This paper first analyzes the necessity and feasibility of the research, and then summarizes the existing research results, furthermore analyses the application of the method at home and abroad. Se