基于下界VaR对沪深股市市场风险的实证研究

Lower Bound VaR And Its Empirical Analysis of the Market Risk Between Shenzhen and Shanghai Stock Markets

本文应用Luciano和Marena提出的计算资产组合VaR的上下界的方法,对沪深股市的市场风险做了实证研究,并与传统的正态VaR做了比较。实证分析表明,沪深股市的市场风险确实存在"厚尾"和"波动聚集"现象。本文对国内市场的波动聚集现象进行了详细分析,并讨论了风险控制模型的相关检验,下界VaR通过了两次模型检验。

In this paper, the VaR bounds measure for portfolios of correlated financial assets, proposed by Luciano and Marena, is applied to study the market risk of Shenzhen and Shanghai Stock Markets. Comparisons with the traditional VaR values under the normality assumptions on returns are also discussed. Empirical analysis indicates that the market risk of Shenzhen and Shanghai Stock Markets indeed has a fat-tail and violation cluste- ring. This article provides a detailed analysis of the violation clustering phenomenon of domestic market and discusses the corresponding model back-testing procedure. Lower bound VaR passes the two model tests.