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基于VaR-Copula的信息安全评价模型研究 总被引:1,自引:0,他引:1
林正奎 《数学的实践与认识》2012,42(8):85-90
近年来,我国信息安全面临的形势越来越严峻,而作为信息安全风险防范的最基础手段——风险评价理论和方法还没有得到有效发展和真正发挥作用.研究在深入分析信息安全风险理论基础上,采用VaR理论和Copula法,构建了一种信息安全评价模型,得到了从整体上来把握和衡量信息安全的VaR指标,解决了现有研究主要集中于构建指标体系及其基础上评价模型的弊端.最后,并采用实例验证了该模型的有效性. 相似文献
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CVaR风险度量模型在投资组合中的运用 总被引:9,自引:1,他引:8
风险价值(VaR)是近年来金融机构广泛运用的风险度量指标,条件风险价值(CVaR)是VaR的修正模型,也称为平均超额损失或尾部VaR,它比VaR具有更好的性质。在本中,我们将运用风险度量指标VaR和CVaR,提出一个新的最优投资组合模型。介绍了模型的算法,而且利用我国的股票市场进行了实证分析,验证了新模型的有效性,为制定合理的投资组合提供了一种新思路。 相似文献
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孙春花 《数学的实践与认识》2014,(24)
VaR技术作为全球广为流行的金融风险管理技术,其测度的是极端情况下的风险头寸,但在传统假设下可能会极大地低估其值,这就会使得在实践中使用VaR值作为风险管理标准时面临更大的新的风险.考虑我国股市处于不同市场态势下对风险头寸的影响,就牛、熊市中分别估测VaR值.首先利用各种Delta-Gamma-Johnson转换函数对经验数据进行正态性调整.考虑通过转换机制调整后的经验数据仍然存在的异方差性特征,然后运用GARCH模型计算时变VaR值,以此来改善VaR的计算风险,探讨我国股票市场VaR技术的适用性和准确性. 相似文献
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本文研究了金融风险管理理论中风险价值(VaR)的非参数核光滑估计和经验估计的效率问题.对非独立的时间序列损失/收益样本,在均方误差(MSE)准则的意义下引入亏量的概念,亏量越大表明估计效率越低.并利用亏量对VaR模型的核光滑估计和基于样本分位数的经验估计进行了比较,在理论上证明了VaR模型的核光滑估计优于经验估计.同时,通过计算机模拟证实了理论获得的结论.本文还对国内沪深两市上的证券投资基金进行了实证分析,计算了样本基金的VaR风险度量的经验估计和核光滑估计,并计算了样本基金基于周收益率和VaR估计的风险调整收益(RAROC)值,以此对样本基金的业绩做出了有用的评价. 相似文献
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条件收益率下的VaR投资组合研究 总被引:1,自引:0,他引:1
本文以新的VaR风险控制体系和价格条件的VaR理论为基础,建立了一种新的最优投资组合模型——μ_s-VaR_s模型。其主要特点有:首先,μ_s-VaR_s模型主要关注相对价格的预期收益和风险,在没有股指期货对冲大盘指数风险的条件下,该模型可以为投资组合跑赢大盘提供了科学思路;其次,在μ_s-VaR_s风模型中,仿照夏普指数创建出了新的选股指标γ_s_i(t),使投资组合更有效率;最后,μ_s-VaR_s模型充分考虑了沪深股票市场的交易成本和交易条件限制,使模型具有较强的现实可用性.经过对沪深股票市场的实证分析发现:μ_s-VaR_s模型明显优于马柯威茨的M-V模型;应用μ_s-VaR_s模型所构建的投资组合的累积收益率显著高于大盘的同期累积收益率. 相似文献
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基于VaR理论正态分布假设导致的尾部风险低估问题,研究了GEV分布下的BMM模型及区间关联下的极值VaR的建模,并实证分析了沪深股市极端风险.研究结果表明:BMM模型对金融风险的厚尾具有更合理的理论基础.然而,涨跌停板极大地抑制了沪深股市极值数据的异质性,形成"极值不极"现象,导致在较高置信度下BMM模型更为有效,而在较低置信度下反而存在低估问题,有效性尚不及VaR模型. 相似文献
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In order to study the effect of different risk measures on the efficient portfolios (frontier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
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Wang Yi Chen Zhiping Zhang Kecun Department of Scientific Computing Applied Softwares Faculty of Science Xi''''an Jiaotong University Xi''''an China. 《高校应用数学学报(英文版)》2006,(4)
In order to study the effect of different risk measures on the efficient portfolios (frontier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivari-ate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
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VaR方法在证券市场尖峰、胖尾分布中的实证分析 总被引:2,自引:0,他引:2
标准 Va R方法的假设条件与实际数据之间存在较大的差距 ,而差距是必严重影响 Va R方法的实际应用效果 .为此 ,本文从实际数据的基本特征出发 ,讨论了 Va R方法在尖峰、胖尾分布中的计算公式 ,并使用该计算公式对我国证券市场的实际数据进行了实证分析 .分析结果表明 ,推广的 Va R计算方法对证券市场风险预警有更可靠的揭示作用 . 相似文献
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Wang Yi Chen Zhiping Zhang Kecun 《高校应用数学学报(英文版)》2006,21(4):369-382
In order to study the effect of different risk measures on the efficient portfolios (fron- tier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
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基于金融时间序列的多重分形特征及衡量市场风险的VaR模型,建立我国沪深股市的股票关联网络,实证研究三种网络拓扑结构特征,并使用协整检验方法分析网络稳定性和宏观经济变量间的长期均衡关系。结果表明:股票价格网络不具有无标度性,多标度网络和风险网络都具有无标度性;在三种网络中,风险网络具有更强的鲁棒性。此外,股市波动率和网络稳定系数间互为格兰杰因果关系,股市波动的前期变化能有效解释网络稳定性系数的变化;网络稳定性与宏观经济变量间具有长期的均衡关系,GDP增长率、消费者物价水平CPI对网络稳定性具有正向效应,利率对网络稳定性具有负向效应。风险网络的提出有助于分析我国股市的短期风险及稳定性,并为制定系统风险防御策略提供参考。 相似文献
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This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow an Ornstein–Uhlenbeck process while the contribution rate follows a geometric Brownian Motion. Thus, the pension manager has to hedge the risks of interest rate, stock and contribution rate. Different from most works in DC pension plan, the pension manger has to obtain the optimal allocations under loss aversion and Value-at-Risk(VaR) constraints. The loss aversion pension manager is sensitive to losses while the VaR pension manager has to ensure the quality of wealth at retirement. Since these problems are not standard concave optimization problems, martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Moreover, sensitivity analysis is presented in the end to show the economic behaviors under these two criterions. 相似文献