数理统计毕业论文-VaR方法及其在我国应用研究.docx

学士学位论文VaR方法及其在我国的应用研究学院、专业数学科学学院 统计学研究方向数理统计学生姓名孟野驰学号20121105043指导教师姓名魏岳嵩指导教师职称副教授2016年4月24日淮北师范大学本科生毕业论文（设计）诚信承诺书本人郑重承诺所呈交的毕业论文（设计）《VaR方法及其在我国的应用研究》，是在指导教师魏岳嵩的指导下严格按照学校和学院有关规定完成的．本人在毕业论文（设计）中引用他人的观点和参考资料均加以注释和说明．本人承诺在毕业论文（设计）选题和研究过程中没有抄袭他人的研究成果和伪造相关数据等行为，若有抄袭行为，由本人承担一切责任．承诺人：2012年级统计学专业签 名：2016年 月 日VaR方法及其在我国的应用研究摘要近年来，我国金融市场逐步兴起，金融风险也随之增多，如果对金融风险不给予重视，经济发展就会举步维艰，因此，处理好金融风险对金融市场来说至关重要．VaR方法可以量化金融风险，评估和测量金融资产组合在正常市场波动下可能产生的损失，并使其表达为具体的金融数额．VaR方法因其优点和对市场的适应性，已成为金融机构管理金融风险的主要工具．本文首先对我国当前金融风险管理进行简单的介绍，然后重点介绍VaR方法产生的背景、定义、优点、常用模型、表示公式以及计算系数和其在风险管理中的应用，最后通过上海证券交易所和深圳证券交易所公布的数据对上证综合指数和深证综合指数进行实证研究，计算VaR值并探讨不同VaR计算方法的优点和局限.关键词：VaR方法；金融市场；风险；中国股市VaR method and its application research in our countryABSTRACTIn recent years, financial risk increases with the gradual springing up of financial markets in our country. The economic development will be difficult if the financial risks is unnoticed. Therefore, it plays an vital role to deal with the financial risks for the financial markets. The VaR method can quantify the financial risks, evaluate and measure the loss that may be caused by the normal market fluctuation of the combined financial assets, and make it the specific financial amount. The VaR method has been the main tool for the financial risk management to the financial institutions because of its advantages and the adaptability to markets.The article first makes a brief introduction to the current financial risk management in our country. Then it emphatically introduces the generation background, definition, advantages, common used models, representation formulas, calculating factors of the VaR method and its application in the risk management. Finally, empirical study to Shanghai Composite Index and Shenzhen Composite Index is made, according to the statistics releases by Shanghai Stock Exchange and Shenzhen Stock Exchange, to calculate the VaR value and make a discussion about the advantages and limitation of different VaR calculating methods.Keywords：VaR metho