基于我国综合股价指数压力测试模型检验来自两岸三地股票市场证据.docVIP

PAGE PAGE 1 基于我国综合股价指数的压力测试模型检验 ——来自“两岸三地”股票市场的证据 本论文受到国家自然科学基金重大项目（编、南开大学亚洲研究中心--韩国高等教育财团（编号AS0601）、南开大学社科基金资助。 An Detection about Stress Test Model based on Stock Composite Index according to the our country ——Evidence from the Stock Market of Shanghai，Hong Kong and Taiwan 李莉 王艳艳 王玲玲 摘要：压力测试作为风险价值法的补充，已经成为国际上风险管理体系中不可缺少的一部分。我国部分商业银行也于2003年在银监会的牵头下进行了压力测试在风险评估方面的尝试，许多学者也开始对压力测试进行研究，但迄今为止，也没有根据我国的实际情况构建出一套既切实有效、又可操作性强的压力测试体系。基于这一实际问题，本文汇总了过去国内外学者所使用过的压力测试模型，并利用中国、香港和台湾股市的综合指数数据对各个模型假设分布下的压力测试值进行估计，并通过对照股市历史压力事件，以准确性及覆盖率来评价各模型的优劣。期望能够找出适合中国实际情况、满足的特定需要的压力测试模型。 关键词：压力测试 风险管理 股票市场 综合股价指数 Abstract: As the complement of VaR, Stress Test has become an indispensable part of the risk management system. Some of Chinese commercial banks had done some attempts in risk evaluation in 2003 with the guide of Bank Supervision Committee and some scholars had also done some relevant researches, but until now they have not found efficient and applicable stress test model based on Chinese situation. Based on the actual problem, this paper particularly introduces the method of Stress Test by comparing models with different distribution hypothesis. In sum, Scholars have used three models in the past, which were normal distribution model, mixed normal distribution model and extreme distribution model. With the stock composite index data materials of China, Hong Kong and Taiwan, this paper evaluates the values of stress test based on the models of different distribution hypothesis. Based on comparing stress events in history, this paper evaluates the models. The expectation is to find the proper stress test model which fits the Chinese actual situation and satisfies the special needs of Chinese commercial bank. Key Words: Stress Test, Risk Management, Stock Market, Stock Composite Index 一、引言 压力测试作为风险价值法(VaR) VaR是指在一定的持有期和置信水平下，某一证券组合所面临的最大潜在损失。的补充工具，已经成为一种有效的风险测量方法，其本质是“用户确定各种压力情景，利用确定的价值评估模型计算出在确定的压力情景下资产组合所产生的收益或损失”。压力测试可以用来衡量某一种风险造成的损失，比如利率风险、汇率风险、信用风险、