典型事实在中国债券市场风险管理中的应用价值分析被引量：5

Applied Analysis of Stylized Facts in Risk Management in China's Bond Market

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摘要金融市场典型事实对于风险测度及风险管理至关重要,本文在金融市场典型事实约束下分别构建了不同的债券市场风险测度模型,通过严格的后验分析对比研究了各种模型的适用范围和准确程度,进而分析了不同典型事实在风险管理中的应用价值。实证结果表明:测度中国债券市场的动态风险胖尾分布比正态分布更为准确,因而在风险管理中具有极其重要的应用价值;收益率的自相关性和分布的有偏性在极端风险测度中能够提供更多的有效信息;收益波动没有明显的杠杆效应,刻画杠杆效应的模型并没有表现出更好的风险测度能力。 Stylized facts play an important role in risk measurement and risk management inthe financial market. The paper builds various models of risk measurement in bond market, which are underneath the stylized facts in financial markets. In addition, the applied range and the accuracy of these models are discussed by strict backtesting, then, the paper analyzes the applied value of stylized facts in risk management in China＇ s bond market. Empirical results show that fat-tailed distribution, which has very important practical value in risk management, is more accurate than normal distribution in measuring dynamic risk in China＇ s bond market, and the autocorrelation of return and the skewed distribution contain more valuable information in extreme risk measurement. Besides, the leverage effect of vola-tility is not significant. Moreover, compared with the other models, the model on leverage effect does not own stronger capabilities of risk measurement.

作者侯县平黄登仕陈王徐凯 Hou Xianping Huang Dengshi Chen Wang Xu Kai(School of Management, Chengdu University of Information Technology, Chengdu 610103 School of Economics and Management, Southwest Jiaotong University, Chengdu 610031 School of Economics and Management, Chengdu University, Chengdu 610106)

机构地区成都信息工程大学管理学院西南交通大学经济管理学院成都学院经济管理学院

出处《管理评论》 CSSCI 北大核心 2016年第9期41-50,共10页 Management Review

基金国家自然科学基金项目(71171025)

关键词典型事实债券市场动态风险风险管理后验分析 stylized facts, bond market, dynamic risk, risk management, backtesting

分类号 F224 [经济管理—国民经济] F832.51 [经济管理—金融学]

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