金融市场风险度量方法研究及其实证分析

Risk Measurement of Financial Market and Its Empirical Analysis

随着全球金融一体化、自由化进程加速,金融资产市场化、可交易化程度不断加深,金融市场风险逐渐成为金融机构和其他经济主体面对的主要风险之一。基于VaR方法的市场风险测量理论和技术,为测量金融市场风险提供了统一的框架和指标,成为金融市场风险管理的主流方法。在遵循VaR方法的基本框架下,利用VaR进行金融市场风险测量、管理所涉及的基本理论和实证问题进行研究和讨论,结果表明在我国的证券市场上GARCH模型能比较准确的度量市场风险。

With the acceleration of global financial integration and liberalization, marketization of financial assets, and transferable degree, financial market risk becomes one of the risks faced by financial institutions and other economic subjects. The theory of risk measurement of financial market by VaR, becoming the mainstream method of managing financial market risk, provides unified frame and index for measuring financial market risk. According to VaR, the research on the basic theory and practice of risk measurement and management of financial market shows that GARCH model can measure market risk correctly in Chinese stock market.