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| 基于状态转换的风险分解VaR模型研究 | |
| 引用本文： | 王劲松,刘家鹏,苏 涛,刘 睿.基于状态转换的风险分解VaR模型研究[J].西北农林科技大学学报,2013,13(4):116-120. |
| 作者姓名： | 王劲松 刘家鹏 苏 涛 刘 睿 |
| 作者单位： | 1. 东北大学工商管理学院,沈阳,110004 2. 中国计量学院经管学院,杭州,310018 3. 天津市统计局,天津,300020 4. 云南大学发展研究院,昆明,650091 |
| 摘 要： | VaR的度量涉及到资产组合的未来市场因素分布、波动性以及定价三个方面。针对传统CAPM和GARCH方法的不足,作者提出了市场指数及证券(组合)分别服从独立的马尔科夫状态转换过程下的风险分解VaR模型——SSRM模型。模型能够分别呈现市场的系统风险和个股特有风险,在方法上允许市场指数、证券(组合)分别存在波动性的突然跳跃。凸出特点是既综合考虑了市场和特定资产的关系,又考虑了资产和市场风险的时变性特征。实证显示模型较经典的GARCH-β模型在VaR估计方面有显著优势。 |
| 关 键 词： | VaR 状态转换 风险分解 股票市场 SSRM模型 GARCH-β模型 |
An Empirical Research on Risk-decomposition VaR Model Based on Markov Regime Switching |
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| WANG Jin-song,LIU Jia-peng,SU Tao,LIU Rui.An Empirical Research on Risk-decomposition VaR Model Based on Markov Regime Switching[J].Journal of Northwest Sci-Tech University of Agriculture and Forestry(Social Science),2013,13(4):116-120. | |
| Authors: | WANG Jin-song LIU Jia-peng SU Tao LIU Rui |
| Institution: | 1.School of Business Administration,NortheasternU niversity,Shenyang110819;2.School of Economics & Management,ChinaJ iliang University,Hangzhou310018;3.TianjinS tatistics Bureau,Tianjin300020;4.School of Development Studies,Yunnan University,Kunming650091,China) |
| Abstract: | The measurement of VaR portfolio concerns three aspects:the distribution of future market,volatility and pricing.In this article the SSRM(Switching-Switching Regime Model) is proposed which means that the market index and the security portfolio follow an independent Markov process respectively.In this model, the sudden jump of the market index and portfolio is allowed.The empirical study shows this model has obvious superiority compared to CAPM model combining with GARCH model. |
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