摘要
本文围绕养老金投资股市的市场风险评价和市场风险控制,分析传统市场风险控制模型VAR的不足及技术瓶颈,在考虑养老金投资股市的特殊性的基础上对其进行修正和改进,提出准确性和适应性更强的VG-GARCH-VAR模型,并结合压力测试对未来构建养老金投资股市市场风险分析与控制体系给出方向性建议。
This paper focuses on risk assessment and risk control of pension investment in stock market, analyzing the inadequate technical bottleneck of traditional VAR model in market risk control. Considering the special nature of pension, corrections and improvements must be conceived and proposed. This paper suggests VG-GARCH-VAR model, which is more accurate and adaptable. Combined with the stress test, directional advices have been given for the future of risk analysis and control system of pension investment in stock market.
出处
《上海管理科学》
2014年第2期29-34,共6页
Shanghai Management Science
