论文部分内容阅读
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。
The typical facts of the financial market are crucial for risk measurement and risk management. In this paper, we construct different bond market risk measurement models under the constraints of the typical facts of the financial markets. By rigorous post-test analysis, we compare the applicability and accuracy of various models The degree, then analyzes the different typical facts in the risk management application value. The empirical results show that the measurement of the dynamic fat fat tail distribution in China’s bond market is more accurate than the normal distribution and therefore has extremely important application value in risk management. The autocorrelation and biased distribution of the returns can be used in the extreme risk measure Can provide more effective information; the volatility of earnings has no obvious leverage effect, and the model of describing leverage effect does not show a better ability of risk measurement.