券商资产管理业务市场风险的度量与管理研究
|
摘要
鉴于目前国内券商的资产管理部门对现代市场风险管理的概念不甚了解，绝大部分券商基本上未建立具有现代意义的风险管理部门，还未系统的掌握现代市场风险度量理论和方法的现状，本文一方面致力于对现代市场风险度量的理论、模型和技术方法进行较为全面的介绍；另一方面，尝试构建基于VaR的券商资产管理业务市场风险管理系统。从文章结构来看，除绪论以外，本文共分四部分：
本文首先介绍了风险和市场风险及市场风险管理的基本概念和内涵，并从总体上给出了市场风险管理的基本过程，其包括市场风险的辨识、市场风险的测量、市场风险的灵敏度分析、市场风险的极值分析、市场风险的处理和市场风险的监管等，然后分析了我，国券商资产管理业务进行市场风险管理的必要性，及目前市场风险管理的现状。
其次，评价了有关市场风险度量的一些主要理论和方法，如Markowitz的均值—方差准则和风险分散原则、CAPM模型和风险的市场因素模型、单因素模型、多因素模型、Downside-risk、期权定价理论和现代基于损失计量风险的VaR等风险度量理论，并讨论了各种风险度量方法的具体适用条件及相应的缺陷。通过比较，本文认为VaR方法是一种较为理想的风险度量方法。
再次，讨论了VaR风险控制技术的产生背景、基本概念和VaR的详细计算方法并采用市场风险测度技术实证分析我国券商资产管理业务所面临的市场风险，最后给出了基于VaR的风险资本配置方法。
最后，讨论了基于VaR的券商资产管理业务市场风险管理体系的构建，详细分析了市场风险管理组织体系、市场风险管理功能体系和市场风险管理信息系统的构建。
Seeing that asset management department of security company don't understand the concept of modern market risk management well, Most securities companies basically havent set up modern risk management departments and haven't master the theory and the method of modern risk management systematically, on the one hand this thesis devote to introduceing the theory, model and technical method of modern market risk measurement, on the other hand it tries to set up a market risk management system for securities company based on VaR Method. Eecept for exordium this paper is divided into four parts:
Firstly, this thesis introduces the basic concept and connotation of risk and market risk. It illustrates the basic process of market risk management over all which consists of the discrimination of market risk, the measurement of market risk, the sensitivity analysis of market risk, extreme value analysis of market risk, the treatment and the inspection of market risk. Afterwards it analyzes the necessity that the asset management department of security company carries out market risk management and it also analyzes the current situation of market risk management of management department of security company.
Secondly, this thesis evaluates some main theories and method about market risk measurement. Such as Mean-Variance criterion of Markowitz and Risk decentralization principal, Single-factor model, Multifactor model, Down-risk model, Black-scholes model and VaR model based on the calculation of loss. It also discusses the suitable conditions and defects of every theory and method, and think that VaR is a more perfect method for risk measurement by comparison.
Thirdly, this thesis discusses the producing background and basic concept of VaR risk control technique, moreover detailedly introduces the computational method of VaR and the adopts measuring technique on market risk to analyze the market risk which asset management department is faced in demonstration, finally it recommend the method of risk capital allocation based on VaR detailedly.
Finally, it discusses the construction of market risk management system for securities company and analyze the construction of organizational system, functional
system and information managing system for market risk management.
本文首先介绍了风险和市场风险及市场风险管理的基本概念和内涵，并从总体上给出了市场风险管理的基本过程，其包括市场风险的辨识、市场风险的测量、市场风险的灵敏度分析、市场风险的极值分析、市场风险的处理和市场风险的监管等，然后分析了我，国券商资产管理业务进行市场风险管理的必要性，及目前市场风险管理的现状。
其次，评价了有关市场风险度量的一些主要理论和方法，如Markowitz的均值—方差准则和风险分散原则、CAPM模型和风险的市场因素模型、单因素模型、多因素模型、Downside-risk、期权定价理论和现代基于损失计量风险的VaR等风险度量理论，并讨论了各种风险度量方法的具体适用条件及相应的缺陷。通过比较，本文认为VaR方法是一种较为理想的风险度量方法。
再次，讨论了VaR风险控制技术的产生背景、基本概念和VaR的详细计算方法并采用市场风险测度技术实证分析我国券商资产管理业务所面临的市场风险，最后给出了基于VaR的风险资本配置方法。
最后，讨论了基于VaR的券商资产管理业务市场风险管理体系的构建，详细分析了市场风险管理组织体系、市场风险管理功能体系和市场风险管理信息系统的构建。
Seeing that asset management department of security company don't understand the concept of modern market risk management well, Most securities companies basically havent set up modern risk management departments and haven't master the theory and the method of modern risk management systematically, on the one hand this thesis devote to introduceing the theory, model and technical method of modern market risk measurement, on the other hand it tries to set up a market risk management system for securities company based on VaR Method. Eecept for exordium this paper is divided into four parts:
Firstly, this thesis introduces the basic concept and connotation of risk and market risk. It illustrates the basic process of market risk management over all which consists of the discrimination of market risk, the measurement of market risk, the sensitivity analysis of market risk, extreme value analysis of market risk, the treatment and the inspection of market risk. Afterwards it analyzes the necessity that the asset management department of security company carries out market risk management and it also analyzes the current situation of market risk management of management department of security company.
Secondly, this thesis evaluates some main theories and method about market risk measurement. Such as Mean-Variance criterion of Markowitz and Risk decentralization principal, Single-factor model, Multifactor model, Down-risk model, Black-scholes model and VaR model based on the calculation of loss. It also discusses the suitable conditions and defects of every theory and method, and think that VaR is a more perfect method for risk measurement by comparison.
Thirdly, this thesis discusses the producing background and basic concept of VaR risk control technique, moreover detailedly introduces the computational method of VaR and the adopts measuring technique on market risk to analyze the market risk which asset management department is faced in demonstration, finally it recommend the method of risk capital allocation based on VaR detailedly.
Finally, it discusses the construction of market risk management system for securities company and analyze the construction of organizational system, functional
system and information managing system for market risk management.
引文
[1] Jean Philippe Bouchaud and Mare Potters. Worse fluctation method for fast Value at Risk estimates. URL:www. gloriamundi.org, 1999
[2] David Li. Value at Risk based on the volatility、skewness and kurtosis. URL: www. gloriamundi.org, 1999
[3] Longin F M. From Value at Risk to stress testing :the extreme value approach. Journal of Banking and Finance, 2000, (24): 1097～1130
[4] Ho L C, Burridge P and Cadle J. Value at Risk:applying the extreme value approach to Asian markets in the recent financial turmoil. Finance Journal, 2000, (8):249～273
[5] 牛昂．银行风险管理的新方法．国际金融研究，1997，(7)：9～13
[6] 姚刚．风险值测定法浅析．经济科学，1998，(1)：5～8
[7] 郑文通．金融风险管理的VaR方法及其应用．国际金融研究，1999，(9)：58～62
[8] 刘宇飞．VaR模型及其在金融监管中的应用．经济科学，1999，(1)：39～50
[9] 张尧庭．金融市场的统计分析．南宁：广西师范大学出版社，1998
[10] 詹原瑞．市场风险的量度VaR的计算与应用．系统工程理论与实践，1999，(12)：1～7
[11] 王春峰，万海晖，张维．金融市场风险测量模型—VaR．系统工程学报，2000，(1)：67～75
[12] 范英．VaR方法及其在股市风险分析中的应用初探．中国管理科学，2000，(9)：26～32
[13] 戴国强，徐龙炳，陆蓉．VaR方法对我国金融风险管理的借鉴及应用．金融研究，2000，(7)：45～51
[14] 陈忠阳．金融风险分析与研究-市场和机构的理论、模型和技术．第一版．北京：中国人民大学出版社，2001
[15] 陈守东，俞世典．基于GARCH模型的VaR方法对中国股市的分析．吉林大学社会科学学报，2002，(7)：11～17
[16] 赵宏．关于完善我国商业银行风险管理体系的构想．财经研究，1997，(11)：
20～31
[17] 林伟．刍议西方投资银行的风险管理．工业技术经济，1998，(4)：86～87
[18] March J G and Z Shapira. Managerial perspectives on risk and risk taking. Management Science, 1985, (10): 1404～1418
[19] Jorion P. Risk:measuring the risk in Value at Risk. Financial Analysis Journal, 1996, (11) :47～55
[20] Jorion P. Value at Risk:The new benchmark for controlling market risk. New York:Mc Graw-Hill company, Inc, 1997
[21] Harry Markowitz. Portfolio Selection. second edition. New York:Thomas Wilson& Company, 1991
[22] 威廉·夏普．证券投资理论与资本市场．第1版．北京：中国经济出版社，1992
[23] Harlow W V. Asset allocation in a downside risk framework. Financial Analysis Journal, 1991, (9): 28～40
[24] Hull John. Options、futures、and other derivatives.北京：清华大学出版社，2000
[25] Morgan JP. Riskmetrics technical document, forth edition. New York:Morgan Guaranty Trust, 1996
[26] Morgan Guaranty Trust. RiskMetrics Technical Document. third edition. New York: Morgan Guaranty Trust, 1995
[27] Oarbade K. Assessing risk and capital adequacy for treasury securities. Bankers Trust, 1986, (8): 17～29
[28] Bollerslev, Tim. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 1986, (31) :307～327
[29] Hsieh D. Implication of nonlinear dynamics for financial risk management. Journal of Financial and Quantitative Analysis, 1993, 28 (1):41～64
[30] Jon Danielsson. Beyond the sample:extreme quantile and probability estimation. Tinbergen Institute Rotterdam, working paper, URL: www. hag.hi.is/～jond/, 1997a
[31] Hill. A simple general approach to inference about the tail of a distribution. Annals of Statistics, 1975, (35): 1163～1173
[32] Hall. Using the bootstrap to estimate mean squared error and select smoothing
parameter in nonparametric problems. Journal of Econometrics, 1990, (32): 177～203
[33] Thomas C Wilson. The handbook of Risk Management and Analysis. New York: Thomas Wilson&Company, 1996
[34] 埃德加·彼得．资本市场的秩序与混沌．北京：经济科学出版社，1999
[35] Kupiec P. Technique for verifying the accuracy of risk measurement models. Journal of Derivatives, 1995, (3): 73～84
[36] Best P. Implementing value at risk. New York:John Wiley&Sons, 1998
[37] 陆懋祖．高等时间序列经济计量学．上海：上海人民出版社，1999
[38] 王耀东，张德远，张海雄．经济时间序列分析．上海：上海财经大学出版社，1996
[39] 现代应用数学手册编委会．概率统计与随机过程卷．北京：清华大学出版社，1998
[40] 平狄克·罗伯特．计量经济模型与经济预测．第4版．北京：机械工业出版社，1999
[41] 王明涛．证券投资风险的计量、预测与控制．上海：上海财经大学出版社，2002
[2] David Li. Value at Risk based on the volatility、skewness and kurtosis. URL: www. gloriamundi.org, 1999
[3] Longin F M. From Value at Risk to stress testing :the extreme value approach. Journal of Banking and Finance, 2000, (24): 1097～1130
[4] Ho L C, Burridge P and Cadle J. Value at Risk:applying the extreme value approach to Asian markets in the recent financial turmoil. Finance Journal, 2000, (8):249～273
[5] 牛昂．银行风险管理的新方法．国际金融研究，1997，(7)：9～13
[6] 姚刚．风险值测定法浅析．经济科学，1998，(1)：5～8
[7] 郑文通．金融风险管理的VaR方法及其应用．国际金融研究，1999，(9)：58～62
[8] 刘宇飞．VaR模型及其在金融监管中的应用．经济科学，1999，(1)：39～50
[9] 张尧庭．金融市场的统计分析．南宁：广西师范大学出版社，1998
[10] 詹原瑞．市场风险的量度VaR的计算与应用．系统工程理论与实践，1999，(12)：1～7
[11] 王春峰，万海晖，张维．金融市场风险测量模型—VaR．系统工程学报，2000，(1)：67～75
[12] 范英．VaR方法及其在股市风险分析中的应用初探．中国管理科学，2000，(9)：26～32
[13] 戴国强，徐龙炳，陆蓉．VaR方法对我国金融风险管理的借鉴及应用．金融研究，2000，(7)：45～51
[14] 陈忠阳．金融风险分析与研究-市场和机构的理论、模型和技术．第一版．北京：中国人民大学出版社，2001
[15] 陈守东，俞世典．基于GARCH模型的VaR方法对中国股市的分析．吉林大学社会科学学报，2002，(7)：11～17
[16] 赵宏．关于完善我国商业银行风险管理体系的构想．财经研究，1997，(11)：
20～31
[17] 林伟．刍议西方投资银行的风险管理．工业技术经济，1998，(4)：86～87
[18] March J G and Z Shapira. Managerial perspectives on risk and risk taking. Management Science, 1985, (10): 1404～1418
[19] Jorion P. Risk:measuring the risk in Value at Risk. Financial Analysis Journal, 1996, (11) :47～55
[20] Jorion P. Value at Risk:The new benchmark for controlling market risk. New York:Mc Graw-Hill company, Inc, 1997
[21] Harry Markowitz. Portfolio Selection. second edition. New York:Thomas Wilson& Company, 1991
[22] 威廉·夏普．证券投资理论与资本市场．第1版．北京：中国经济出版社，1992
[23] Harlow W V. Asset allocation in a downside risk framework. Financial Analysis Journal, 1991, (9): 28～40
[24] Hull John. Options、futures、and other derivatives.北京：清华大学出版社，2000
[25] Morgan JP. Riskmetrics technical document, forth edition. New York:Morgan Guaranty Trust, 1996
[26] Morgan Guaranty Trust. RiskMetrics Technical Document. third edition. New York: Morgan Guaranty Trust, 1995
[27] Oarbade K. Assessing risk and capital adequacy for treasury securities. Bankers Trust, 1986, (8): 17～29
[28] Bollerslev, Tim. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 1986, (31) :307～327
[29] Hsieh D. Implication of nonlinear dynamics for financial risk management. Journal of Financial and Quantitative Analysis, 1993, 28 (1):41～64
[30] Jon Danielsson. Beyond the sample:extreme quantile and probability estimation. Tinbergen Institute Rotterdam, working paper, URL: www. hag.hi.is/～jond/, 1997a
[31] Hill. A simple general approach to inference about the tail of a distribution. Annals of Statistics, 1975, (35): 1163～1173
[32] Hall. Using the bootstrap to estimate mean squared error and select smoothing
parameter in nonparametric problems. Journal of Econometrics, 1990, (32): 177～203
[33] Thomas C Wilson. The handbook of Risk Management and Analysis. New York: Thomas Wilson&Company, 1996
[34] 埃德加·彼得．资本市场的秩序与混沌．北京：经济科学出版社，1999
[35] Kupiec P. Technique for verifying the accuracy of risk measurement models. Journal of Derivatives, 1995, (3): 73～84
[36] Best P. Implementing value at risk. New York:John Wiley&Sons, 1998
[37] 陆懋祖．高等时间序列经济计量学．上海：上海人民出版社，1999
[38] 王耀东，张德远，张海雄．经济时间序列分析．上海：上海财经大学出版社，1996
[39] 现代应用数学手册编委会．概率统计与随机过程卷．北京：清华大学出版社，1998
[40] 平狄克·罗伯特．计量经济模型与经济预测．第4版．北京：机械工业出版社，1999
[41] 王明涛．证券投资风险的计量、预测与控制．上海：上海财经大学出版社，2002
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |