摘要
选用蒙特·卡罗模拟法对我国第一只股指期货(沪深300股指期货)的VaR进行估计。根据历史数据,通过分析看出股指期货具有很高的风险,假设在该品种上投资100万元,则在95%置信水平下,持有期一天的做多的VaR值为36.72万元,做空的VaR值为33.42万元,当持有期达到十天时,整个投资几乎都是风险价值。因此无论是金融机构还是监管部门,都应该对该品种的投资风险有清醒的认识,完善的风险控制措施。
The VaR will be estimated, based on Monte Carlo simulation method. By analyzing, the value is 367,200 Yuan when you take long product and 334,200 Yuan, when you take short product, based on history data, holding one day, at 95% confidence level. All the investment will be in the risk, when holding period is more than ten days, weather you take long or short product. So it is necessary that the investor should alert the risk of this species and have anti-risk mecha- nism to control it.
基金
科技部软科学项目(No.2006kjb00356)
