如何用risk擬合數據

① 鍩轟簬钂欑壒鍗＄綏妯℃嫙鐨刅aR瀵歸欐腐鎮掔敓鎸囨暟鏈熻揣鐨勫疄璇佺爺絀

(1鍖椾含浜ら氬ぇ瀛 緇忔祹綆＄悊瀛﹂櫌錛屽寳浜 100000錛
2涓鍥藉緩璁鵑摱琛 鍐呰挋鍙 鍒嗚岋紝鍐呰挋鍙 鍛煎拰嫻╃壒 010000)
鎽 瑕侊細鏂囩珷閲囩敤鍏嬫湇浜嗗弬鏁版柟娉曞拰鍘嗗彶妯℃嫙娉曠殑緙洪櫡 鐨勮挋鐗瑰崱緗楁ā鎷熸硶(Monte Carlo Simulation,綆縐癕C)璁＄畻鐨刅aR鏂規硶錛屽歸欐腐鎮掔敓鎸囨暟鏈熻揣 榪涜屽疄璇佺爺絀訛紝涓哄浗鍐呭嵆灝嗗紑璁劇殑鑲℃寚鏈熻揣甯傚満鐨勯庨櫓鎺у埗鎻愪緵鍊熼壌鎬濊礬涓庢柟娉曘
鍏抽敭璇嶏細鑲℃寚鏈熻揣錛
VaR妯″瀷錛
钂欑壒鍗＄綏妯℃嫙
涓鍥懼垎綾誨彿錛欶83091(2658) 鏂囩尞鏍囪瘑鐮侊細A 鏂囩珷 緙栧彿錛1007鈥6921(2010)01鈥0013鈥03

鑲℃寚鏈熻揣鏄涓縐嶅吋鍏鋒姇璧勫拰閬塊櫓鍔熻兘鐨勯噾鋙嶅伐鍏鳳紝鑳藉熶負甯傚満鍙備笌鑰呮彁渚涘啿鍑婚庨櫓鐨勯斿緞, 鑷1982騫撮棶涓栦互鏉ワ紝鐢卞叾鑳藉熸湁鏁堣勯伩緋葷粺鎬ч庨櫓鐨勭壒鎬э紝鑰屽緱鍒板揩閫熷彂灞曘備絾鏄鑲℃寚鏈熻揣 鍦ㄤ氦鏄撹繃紼嬩腑寮曞叆浜嗗仛絀烘満鍒躲佹潬鏉嗕氦鏄擄紝浣垮緱鍏墮庨櫓姣旇偂紲ㄧ幇璐у競鍦鴻佸ぇ寰楀氥傚備綍鏈夋晥 闃茶寖椋庨櫓錛屽挨鍏舵槸甯傚満椋庨櫓錛岀淮鎸侀噾鋙嶇粡嫻庣ǔ瀹氬凡鎴愪負閲戣瀺鐮旂┒棰嗗煙鐨勯噸瑕佽鵑樸俈aR鏂規硶 鏄鐩鍓嶉噾鋙嶇晫嫻嬮噺甯傚満椋庨櫓鏈涓昏佺殑宸ュ叿錛屽挨鍏舵槸鐢ㄤ互嫻嬮噺閲戣瀺琛嶇敓宸ュ叿鐨勯庨櫓鐨勪富嫻佹柟娉 錛岃嚜1994騫寸敱J路P路Morgan鎻愬嚭鍚庯紝琚浼楀氶噾鋙嶆満鏋勫箍娉涢噰鐢ㄣ
1 鍦ㄩ櫓浠峰(VaR)鍙婃祴閲忔柟娉

VaR(Value at risk)鐨勫瓧闈㈡剰鎬濇槸鈥滃勪簬椋庨櫓涓鐨勪環鍊尖濓紝涔熺О鈥滃湪闄╀環鍊尖濓紝鏄鎸囧湪姝 甯稿競鍦烘嘗鍔ㄤ笅錛屾煇涓閲戣瀺璧勪駭鎴栬瘉鍒哥粍鍚堢殑鏈澶у彲鑳芥崯澶便傚彲琛ㄧず涓猴細
Prob(螖P螖t鈮-VaR)=c

鍏朵腑錛屛擯涓鴻瘉鍒哥粍鍚堝湪鎸佹湁鏈熚攖鍐呯殑鎹熷け錛
VaR涓虹疆淇℃按騫砪涓嬪勪簬椋庨櫓涓鐨勪環鍊礆紝涔熷彲浠 璇村湪姒傜巼c涓嬶紝鎹熷け鍊兼槸澶т簬VaR鐨勩俈aR鏄涓縐嶅埄鐢ㄧ粺璁℃濇兂瀵瑰競鍦洪庨櫓榪涜屼及鍊肩殑鏂規硶錛 濡備綍鏍規嵁鍘嗗彶鏁版嵁璁＄畻VaR錛屾槸椋庨櫓鍒嗘瀽涓庣＄悊涓鐨勪竴涓閲嶈佺殑鍩烘湰闂棰樸傜洰鍓嶏紝寰堝氭枃鐚 涓宸茬粡鎻愬嚭璁稿氳＄畻VaR鐨勬柟娉曪紝浣嗗叧閿鍦ㄤ簬濡備綍鐢卞巻鍙叉暟鎹鏉ユ嫙鍚堟暟鎹鐨勭湡瀹炲垎甯冿紝榪欎簺 妯″瀷鍜屾柟娉曟諱綋涓婂彲鍒嗕負涓ゅぇ綾伙細鍙傛暟妯″瀷鍜岄潪鍙傛暟妯″瀷銆

鍙傛暟妯″瀷鍦ㄥ亣瀹氶噾鋙嶈祫浜ф敹鐩婄巼鏈嶄粠涓瀹氱粺璁″垎甯冪殑鍓嶆彁涓嬶紝鍒╃敤宸叉湁鐨勬牱鏈鏁版嵁瀵瑰垎甯冧腑 鐨勬湁鍏沖弬鏁拌繘浼拌★紝浠庤屽緱鍒扮浉搴旂殑VaR鍊箋傛渶綆鍗曠殑鏄疛路P路Morgan鐨凴iskMetrics妯″瀷錛 鍏跺熀鏈鍋囪炬槸鏀剁泭鐜囧簭鍒楁湇浠庢ｆ佸垎甯冿紝鍒╃敤宸叉湁鏍鋒湰鏁版嵁姝ｆ佸垎甯冧腑鐨勫潎鍊箋佹柟宸浼板煎悗 灝辮兘澶熷緱鍒癡aR銆備絾姝ｆ佸垎甯冨亣璁懼苟鏈鑰冭檻閲戣瀺璧勪駭鏀剁泭鐜囧垎甯冪殑闈炴ｆ佹с佸帤灝炬с佹嘗鍔 鐜囪仛綾繪х瓑錛屾ｅ俉arshawsky(1989)鍜孡ongin(1995)鎵鎸囧嚭鐨勶紝鍦ㄦｆ佸垎甯冨亣璁句笅璁＄畻鐨 VaR鍊礆紝閫氬父浼氫綆浼板疄闄呴庨櫓銆備互鑷充簬鏈変簺瀛﹁呮彁鍑轟簡蟿鍒嗗竷銆佹ｆ佸垎甯冪殑娣峰悎錛孏ARCH鏃忔ā 鍨嬬瓑鏉ユ弿榪伴噾鋙嶈祫浜ф敹鐩婄巼鐨勫垎甯冿紝浣嗗瓨鍦ㄥ弬鏁頒及鍊艱宸瀵筕aR鍊肩殑褰卞搷闂棰樸

瀵逛簬闈炲弬鏁版ā鍨嬶紝鐢變簬涓嶉渶瀵歸噾鋙嶈祫浜ф敹鐩婄巼鐨勫垎甯冨仛鍋囧畾錛屼篃涓嶇敤浼拌″弬鏁板箋傚洜鑰屽湪鏌 浜涙儏鍐典笅鍏鋒湁涓瀹氱殑浼樺娍銆傚父鐢ㄧ殑闈炲弬鏁癡aR妯″瀷鏈夛細鍘嗗彶妯℃嫙娉曞拰钂欑壒鍗＄綏妯℃嫙娉曘傚巻鍙 妯℃嫙娉曞彧鏈夊湪甯傚満杈冧負騫崇ǔ鐨勬椂鏈熸墠鍙鑳藉彇寰楄緝涓虹簿紜鐨刅aR棰勬祴鍊礆紝灝界¤＄畻綆鍗曪紝浣嗗疄 闄呭簲鐢ㄦт笉寮恆

钂欑壒鍗＄綏妯℃嫙娉(Monte Carlo Simulation,綆縐癕C)鏄涓縐嶉殢鏈烘ā鎷熸柟娉曪紝瀹冪敤鏍規嵁甯傚満 鏁版嵁浼拌＄殑鍘嗗彶娉㈠姩鍙傛暟浜х敓甯傚満鍥犲瓙鏈鏉ユ嘗鍔ㄧ殑澶ч噺鍙鑳借礬寰(鑰屽巻鍙叉ā鎷熸硶鍙鑳芥牴鎹甯 鍦哄洜瀛愮殑鐗瑰畾鍘嗗彶浜х敓璺寰勪駭鐢熸湁闄愮殑鏈鏉ユ嘗鍔ㄦ儏鏅)銆備笌鍘嗗彶妯℃嫙娉曠浉姣旓紝瀹冩墍闇瑕佺殑鍘 鍙叉暟鎹鏇村皯錛岃屼笖璁＄畻綺懼害鍜屽彲闈犳ф洿楂樸傚彟澶栵紝瀹冩槸涓縐嶅叏鍊間及璁℃柟娉曪紝鏃犻』鍋囧畾甯傚満鍥 瀛愭湇浠庢ｆ佸垎甯冿紝鏈夋晥鍦拌В鍐充簡鍒嗘瀽鏂規硶鍦ㄥ勭悊闈炵嚎鎬с侀潪姝ｆ侀棶棰樹腑閬囧埌鐨勫洶闅撅紝榪戝勾鏉 錛屽湪鍥藉栫殑鐮旂┒涓宸茶騫挎硾搴旂敤銆備絾緙洪櫡鏄璁＄畻澶嶆潅錛屽洜涓哄氭￠噸澶嶅彲浠ユ彁楂樿閲忓肩殑鍑嗙『 鎬э紝浣嗕篃灝變嬌璁＄畻閲忓炲ぇ銆傜敱浜庤＄畻鏈烘妧鏈鐨勫箍娉涘簲鐢錛岃兘澶熸湁鏁堣В鍐寵＄畻闂棰橈紝鏁呮枃絝犲皢 閲囩敤鍩轟簬钂欑壒鍗＄綏妯℃嫙鐨刅aR鏂規硶瀵歸欐腐鎮掔敓鎸囨暟鏈熻揣榪涜屽垎鏋愩
2 棣欐腐鎮掔敓鎸囨暟鏈熻揣鐨刅aR瀹炶瘉鍒嗘瀽

鎮掔敓鎸囨暟鏈熻揣(鎮掓寚鏈熻揣錛孒SI Future)鏄涓縐嶄互鎮掔敓鎸囨暟浣滀負涔板崠鍩虹鐨勬湡璐у悎綰︼紝鍙備笌鑰 鍚屾剰鎵挎媴棣欐腐鑲＄エ甯傚満鐨勪環鏍艱搗璺岋紝娑ㄨ惤鐨勫箙搴﹀垯浠ユ亽鐢熸寚鏁頒綔鍑嗐傞欐腐鎮掔敓鎸囨暟鎴愮珛浜19 69騫11鏈24鏃ワ紝鏄棣欐腐钃濈硅偂鑲′環鐨勪富瑕佹寚閽堬紝璇ユ寚鏁版秹鍙婇欐腐鍚勪釜琛屼笟錛屽叿鏈夎緝寮虹殑浠ｈ〃 鎬с
2.1 鏍鋒湰銆佸弬鏁扮殑閫夊畾

涓鑸鑰岃█錛屽歸庨櫓鍜屾敹鐩婄殑媯楠屽簲閫夎緝闀垮巻鍙叉椂闂村唴鐨勬暟鎹錛岃繖鏍鋒楠屾墠鍏鋒湁鍙闈犳э紝浣嗚 鉶戝埌鍙椾笢鍗椾簹閲戣瀺鍗辨満絳夊洜緔犲獎鍝嶏紝鑲″競鐨勬嘗鍔ㄦц緝澶э紝濡傛灉閫夊彇鏃墮棿榪囬暱錛屼細鐮村潖鏍鋒湰鐨 涓鑷存э紝鏁呴夊彇2005騫1鏈3鏃~2005騫12鏈30鏃ユ亽鐢熸寚鏁版棩鏀剁洏浠鋒暟鎹浣滀負鍒嗘瀽鏍鋒湰鏁版嵁錛 鍏辮246涓鏍鋒湰瑙傛祴鍊箋傞夊彇2006騫1鏈3鏃~2006騫12鏈29鏃ョ殑鎮掔敓鎸囨暟鏃ユ敹鐩樹環鏁版嵁浣滀負 媯楠屾牱鏈鏁版嵁銆

緗淇″害(1-a)鍜屾寔鏈夋湡(螖t)鏄疺aR鏈閲嶈佺殑涓や釜鍙傛暟銆傜疆淇″害瓚婇珮錛屽疄闄呬腑鎹熷け瓚呰繃鐨勫彲 鑳芥ц秺灝忥紝榪欑嶉濆栨崯澶辯殑鏁扮洰瓚婂皯錛屼負浜嗛獙璇佺粨鏋滄墍闇鐨勬暟鎹瓚婂氾紝鑰屽疄闄呬腑鏃犳硶鑾峰彇澶 閲忔湁鏁堟暟鎹鐨勭害鏉燂紝闄愬埗浜嗚緝楂樼疆淇℃按騫崇殑閫夋嫨錛屾晠閫夊彇95%鐨勭疆淇″害銆傛寔鏈夋湡鐢遍噾鋙嶆満鏋 浜ゆ槗鎬ц川鏉ュ喅瀹氾紝鐢變簬鏈熻揣甯傚満瀹炶屾瘡鏃ユ棤璐熷虹粨綆楀埗搴︼紝鏁呬竴澶╃殑鎸佹湁鏈熸槸涓涓姣旇緝鍚堥 鐨勯夋嫨銆
鎮掔敓鎸囨暟鐨勬敹鐩婄巼閲囩敤瀵規暟鏀剁泭鐜囩殑褰㈠紡錛
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2.2 姝ｆ佹у拰娉㈠姩鐨勯泦鑱氭ф楠

涓嬮潰鍒嗗埆瀵規墍鍙栨牱鏈鏁版嵁鐨勭粺璁＄壒鎬ц繘琛屾楠岋紝鍖呮嫭瀵瑰叾姝ｆ佹у拰娉㈠姩鐨勯泦鑱氭ц繘琛屾楠屻

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2.2.1 Q-Q鍥炬楠屻傜敤eviews瀵規亽鐢熸寚鏁版敹鐩婄巼榪涜屾ｆ佹ф楠岋紝鍏剁粨鏋滃傚浘1錛  

鐢卞浘鍙浠ョ湅鍑猴紝鍏跺浘綰塊潪鐩寸嚎錛屽洜鑰屽彲鍒濇ュ垽鏂鎮掔敓鎸囨暟鐨勬敹鐩婂垎甯冧笉鏄姝ｆ佸垎甯冦
2.2.2 Jarque-Bera 媯楠屻傚彟涓縐嶅規ｆ佹楠岀殑鏂規硶灝辨槸Jarque-Bera 媯楠岋紝鍗籌細

鍏朵腑錛孨涓烘牱鏈瀹歸噺錛孲鍜孠鍒嗗埆涓哄嚲搴﹀拰宄板害錛屽湪姝ｆ佸垎甯冨亣璁句笅錛屽嚲搴︾瓑浜0錛屽嘲搴︾瓑浜3 錛
鎵鏈夊圭О鍒嗗竷鐨勫嚲搴﹂兘涓0錛屽嚲搴︿笉絳変簬0鐨勫垎甯冩洸綰挎槸鍋忔枩鐨勶紝鍘氬熬鍒嗗竷鐨勫嘲搴>3錛 閭ｄ箞閫氳繃eviews杞浠跺規亽鐢熸寚鏁版敹鐩婄巼榪涜孞arque-Bera 媯楠岋紝鍏剁粨鏋滃傚浘2錛

浠嶫arque-Bera 媯楠岀粨鏋滃彲浠ョ湅鍑猴紝鎮掔敓鎸囨暟鏃ユ敹鐩婄巼鐨凧B緇熻￠噺涓11.57763,鍋忓害涓-0.355604,宄板害絳変簬3.670104,P鍊兼帴榪0錛屼篃灝辨槸璇村湪99%鐨勭疆淇℃按騫充笅鎷掔粷闆跺亣璁撅紝搴忓垪 涓嶆湇浠庢ｆ佸垎甯冦
2.2.3 娉㈠姩鐨勯泦鑱氭ф楠屻備負浜嗗規亽鐢熸寚鏁扮殑娉㈠姩鎬ф湁涓涓鐩磋傜殑浜嗚В錛屽埄鐢╡views緇 鍒朵簡鎮掔敓鎸囨暟鏀剁泭鐜囩殑鏃墮棿搴忓垪鍥撅紝濡傚浘3鎵紺猴細



鐢卞浘鍙鐪嬪嚭錛屾亽鐢熸寚鏁版棩鏀剁泭鐜囩殑娉㈠姩鍦ㄦ煇孌墊椂闂磋緝灝忥紝浣嗗湪鍙︿竴孌墊椂闂村唴杈冨ぇ錛屽競鍦烘寚鏁 瀛樺湪娉㈠姩鐨勯泦鑱氭х幇璞°

鍒╃敤2005騫1鏈3鏃~2005騫12鏈30鏃ョ殑246涓浜ゆ槗鏃ョ殑鎮掔敓鎸囨暟鏃ユ敹鐩樹環鏁版嵁錛岄噰鐢ㄨ挋鐗瑰崱 緗楁ā鎷熸硶璁＄畻鍑轟笅涓浜ゆ槗鏃(2006騫1鏈3鏃)鐨勬亽鐢熸寚鏁癡aR錛屾寔鏈夋湡涓轟竴澶╋紝緗淇℃按騫充負9 5%錛岄夌敤鍑犱綍甯冩湕榪愬姩浣滀負鍙嶅簲涓婅瘉鎸囨暟鍙樺寲鐨勯殢鏈烘ā鍨嬶紝鍏剁繪暎褰㈠紡鍙琛ㄧず涓猴細

鍏朵腑錛歴 t 琛ㄧずt鏃跺埢鐨勬亽鐢熸寚鏁幫紝s t+i 琛ㄧずt+i鏃跺埢鐨勬亽鐢熸寚鏁,渭浠ｈ〃鎮掔敓鎸囨暟鏃 鏀剁泭鐜囩殑鍧囧礆紱
蟽琛ㄧず鎮掔敓鎸囨暟鏃ユ敹鐩婄巼鐨勬嘗鍔ㄧ巼錛
蔚琛ㄧず闅忔満鍙橀噺錛屾湇浠庢爣鍑嗘ｆ佸垎甯冦



鍏朵腑s t+1 ,s t+2 ,鈥︹,s t+20 涓烘亽鐢熸寚鏁板彉鍖栫殑涓鏉″彲鑳界殑璺寰勶紝S T 鍒 涓2006騫1鏈3鏃ユ亽鐢熸寚鏁扮殑涓涓鍙鑳界殑鏀剁洏浠鳳紱
閲嶅嶆ラ2鍜屾ラ3錛1銆000嬈★紝妯℃嫙鍑200 6騫1鏈3鏃ユ亽鐢熸寚鏁1銆000涓鍙鑳界殑鏀剁洏浠鳳紱
鍗沖緱鍒癝 1 T ,S 2 T ,鈥︹︼紝S 1000 T 錛
璁＄畻VaR錛氬筍 1 T ,S 2 T ,鈥︹︼紝S 1000 T 鎸夌収鍗囧簭鎺掑垪錛屾壘鍒頒笅鏂5%鐨勫垎浣 鏁癝 min5% T 錛屽垯鍙璁＄畻鍑95%緗淇℃按騫充笅鐨刅aR:VaR=s t -S min5% T 銆

鍒╃敤eviews緙栫▼璁＄畻涓婅堪姝ラわ紝鍙寰椾笅涓浜ゆ槗鏃(2006騫1鏈3鏃)鎮掔敓鎸囨暟鐨刅aR鍊肩殑緇濆 鏁頒負錛225.8136銆傚湪姝ゅ熀紜涓婏紝鐢╡views閲嶅嶈＄畻249嬈★紝寰楀嚭2006騫1鏈3鏃~2006騫12鏈29 鏃ュ叡249涓95%鐨勬棩VaR鎵瀵瑰簲r max 銆備笅鍥句腑鏄劇ず浜嗗疄闄呮棩鏀剁泭鐜囦笌鍩轟簬钂欑壒鍗＄綏妯℃嫙 娉曠殑鏃VaR鎵瀵瑰簲r max 銆

2.3 鍩轟簬钂欑壒鍗＄綏妯℃嫙鐨刅aR鐨勬楠

鍦ㄦら噰鐢↘upiec鐨勫け璐ラ戠巼媯楠屾硶銆傛楠屾牱鏈鏄2006騫1鏈3鏃~2006騫12鏈29鏃249涓浜ゆ槗 鏃ョ殑鎸囨暟鏀剁洏浠楓傛牴鎹鏂囩珷鐨勫け璐ユ楠屾硶錛屽綋鏍鋒湰鏁伴噺涓246錛岀疆淇℃按騫充負95%鏃訛紝鏍規嵁鎻掑 娉曞彲寰楀け璐ユ℃暟N鐨勯潪鎷掔粷鍩6<N<21錛屼篃灝辨槸璇村綋N鍦(6錛21)鍐咃紝琛ㄦ槑妯″瀷杈冨ソ鐨勪及璁′簡 椋庨櫓銆侼鈮21琛ㄦ槑VaR妯″瀷浣庝及浜嗘崯澶卞彂鐢熺殑姒傜巼錛屽綋N鈮6琛ㄦ槑VaR妯″瀷榪囦簬淇濆畧錛岄珮浼頒簡椋 闄┿
鍏蜂綋媯楠岀粨鏋滅粺璁″備笅錛
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钂欑壒鍗＄綏妯℃嫙瀵規亽鐢熸寚鏁扮殑媯楠岃兘澶熼氳繃錛岃存槑鍦95%鐨勭疆淇℃按騫充笂錛岃挋鐗瑰崱緗楁ā鎷熻兘澶熷緢 濂藉湴棰勬祴椋庨櫓銆
3 緇撹

鐢變互涓婄爺絀跺彲瑙侊紝鍩轟簬钂欑壒鍗＄綏妯℃嫙鐨刅aR瀵瑰逛環鏍兼嘗鍔ㄦ晱鎰燂紝鏈夎緝濂界殑鎷熷悎鎬э紝鑳藉熷緢濂 鍦伴勬祴椋庨櫓銆傝繖涓鐮旂┒瀵逛簬鍥藉唴鍗沖皢寮灞曠殑鑲℃寚鏈熻揣甯傚満錛屽叿鏈変竴瀹氱殑鍊熼壌鎰忎箟銆備絾濡備綍緇 緇鎻愰珮钂欑壒鍗＄綏妯℃嫙鐨刅aR錛屽硅偂鎸囨湡璐у競鍦洪庨櫓鐨勬祴閲忕殑綺劇『搴︼紝浠庤屾湁鏁堝害閲忚偂鎸囨湡璐 甯傚満鐨勫競鍦洪庨櫓錛屽皢浼氫綔涓哄悗緇鐮旂┒宸ヤ綔鑰岃繘琛屼笅鍘匯
錛誨弬鑰冩枃鐚錛
錛1錛 鑿插埄鏅路涔旂憺钁,闄堣穬,絳夎瘧,VaR:椋庨櫓浠峰礆薊M錛.鍖椾含錛氫腑淇″嚭鐗堢ぞ,2005.
錛2錛 Warshawsky,M.J., The adequacy and consistency of margin requiremen ts in the markets for stocks and derivative procts錛籖錛.Board of Governors St aff Study,1989錛158.
錛3錛 Longin, F. Optimal Margins in Futures Markets: A Parametric Extreme -based Approach錛籖錛. Proceedings, Ninth Chicago Board of Trade Conference on F utures and Options, Bonn.,1995錛22.
錛4錛 Figlewski,Stephen.Margins and Market Integrity.Margin Setting for S tock Index Futures and Options錛籎錛.Journal of Futures Markets,1984,4(3)錛385~4 16.
錛5錛 Kupiec,p. Techniques for verifying the accuracy of risk measurement models錛籎錛.Journal of Derivatives,1995,(3)錛73~84.
錛6錛 Kupiec, P.H., White, A.P., Regulatory Competition and the Efficienc y of Alternative Derivative Proct Margining Systems錛籎錛.Journal of Futures Markets ,1996,(16)錛943~968.
錛7錛 Booth G. Geoffrey, John Broussard, Teppo Martikainen, Vesa Puttonen. Prudent margin levels in the Finnish stock index futures market錛籎錛.Managem ent Science, 1997錛43(8)錛1177~1188.
錛8錛 J.P.Morgan, RiskMetricsTM-Technical Document錛籑錛.Fourth edition, N ew York,1996.
錛9錛 瑭瑰師鐟.甯傚満椋庨櫓鐨勫害閲忥細VaR鐨勮＄畻涓庡簲鐢錛籎錛.緋葷粺宸ョ▼鐞嗚轟笌瀹炶返錛1999 ,(12)
錛10錛 鏈卞畯娉,鏉庝簹闈.Value at risk妯″瀷鍙婂叾鍦ㄩ欐腐鑲″競涓鐨勫疄璇佸垎鏋愶薊J錛.棰勬祴 ,2001,(2)錛29~33.
錛11錛 寮犲箍姣咃紝鏉鏁錛岃礬姝ｅ崡.鍩轟簬VaR鎶鏈鐨勯欐腐鎮掔敓鎸囨暟鏈熻揣鍒嗘瀽錛籎錛.緇熻′笌 鍐崇瓥錛2004,(5)錛80~81.
錛12錛 寰愬浗紲,鍚存辰鏅.鎴戝浗鎸囨暟鏈熻揣淇濊瘉閲戞按騫寵懼畾鏂規硶鍙婂叾瀹炶瘉鐮旂┒鈥斺旀瀬鍊肩悊 璁虹殑搴旂敤錛籇B/OL錛.https:// .cn, 2004.

② 姝ｆ佸垎甯冩槸鎬庝箞鍥炰簨錛

姝ｆ佸垎甯冿紙涔熺О涓洪珮鏂鍒嗗竷鎴栭挓褰㈡洸綰匡級鏄緇熻″︿腑鏈閲嶈佺殑鍒嗗竷涔嬩竴錛屽叿鏈変互涓嬬壒寰侊細瀵圭О鎬с佸崟宄版с佸畾涔夋槑紜鐨勫潎鍊煎拰鏍囧噯宸銆佹墍鏈夋ｆ佸垎甯冪殑涓や釜鐗規畩鍙傛暟銆佷腑蹇冩瀬闄愬畾鐞嗐佺煡鍚嶇壒鎬с

1銆佸圭О鎬э細姝ｆ佸垎甯冩槸鍏充簬鍏跺潎鍊肩殑瀵圭О鍒嗗竷錛屽憟鐜板嚭宸﹀彸瀵圭О鐨勭壒寰併傚潎鍊箋佷腑浣嶆暟鍜屼紬鏁伴兘浣嶄簬鍒嗗竷鐨勪腑蹇冦

2銆佸崟宄版э細姝ｆ佸垎甯冨彧鏈変竴涓宄板礆紝鍗蟲渶澶х殑姒傜巼瀵嗗害鐐廣傚湪宄板煎勶紝姒傜巼瀵嗗害杈冮珮錛岄殢鐫紱誨嘲鍊艱秺榪滐紝姒傜巼瀵嗗害閫愭笎鍑忓皬銆

6銆佺煡鍚嶇壒鎬э細姝ｆ佸垎甯冩槸璁稿氳嚜鐒剁幇璞″拰瀹為檯鏁版嵁涓鐨勫父瑙佸垎甯冿紝渚嬪備漢鐨勮韓楂樸佽冭瘯鎴愮嘩銆佹祴閲忚宸絳夈傛ゅ栵紝璁稿氱粺璁℃帹鏂鏂規硶鍜屽亣璁炬楠岄兘鍩轟簬姝ｆ佸垎甯冪殑鍋囪俱

姝ｆ佸垎甯冨湪緇熻″﹀拰姒傜巼璁轟腑鍏鋒湁騫挎硾鐨勫簲鐢ㄥ叾浣滅敤鍖呮嫭浠ヤ笅鏂歸潰

1銆佹暟鎹鍒嗘瀽錛氭ｆ佸垎甯冨父鐢ㄤ簬鎻忚堪鍜屽垎鏋愬疄闄呮暟鎹銆傝稿氳嚜鐒剁幇璞″拰瀹為檯鏁版嵁閮芥湇浠庢ｆ佸垎甯冿紝姣斿備漢鐨勮韓楂樸佽冭瘯鎴愮嘩銆佹祴閲忚宸絳夈傞氳繃浜嗚В鏁版嵁鏄鍚︾﹀悎姝ｆ佸垎甯冿紝鍙浠ュ府鍔╃爺絀惰呭仛鍑哄噯紜鐨勭粺璁℃帹鏂鍜岄勬祴銆

2銆佸亣璁炬楠岋細鍋囪炬楠屾槸緇熻℃帹鏂涓鐨勪竴欏歸噸瑕佹妧鏈錛岀敤浜庡垽鏂緇欏畾鐨勬暟鎹鏄鍚︿笌鏌愪釜鍋囪劇浉絎︺傛ｆ佸垎甯冨湪鍋囪炬楠屼腑鎵婕旈噸瑕佺殑瑙掕壊錛岄氳繃鍋囪炬暟鎹絎﹀悎姝ｆ佸垎甯冿紝鍙浠ヨ繘琛屽弬鏁頒及璁°佹柟宸鍒嗘瀽銆佸洖褰掔瓑緇熻℃柟娉曠殑搴旂敤銆

3銆佺粺璁℃帹鏂錛氭ｆ佸垎甯冨湪緇熻℃帹鏂涓鏈夊箍娉涚殑搴旂敤銆傞氳繃瀵規牱鏈鏁版嵁鐨勫垎鏋愶紝鍙浠ュ湪姝ｆ佸垎甯冨亣璁句笅榪涜屽弬鏁頒及璁★紝渚嬪傝＄畻鍧囧箋佹爣鍑嗗樊銆佺疆淇″尯闂村拰鍋囪炬楠屻傝繖浜涙帹鏂鎬х粺璁℃柟娉曞彲浠ヤ粠鏍鋒湰鏁版嵁涓寰楀嚭鍏充簬鎬諱綋鐨勭粺璁＄粨璁恆

4銆佹ā鍨嬫嫙鍚堬細姝ｆ佸垎甯冪粡甯歌鐢ㄤ綔鏁版嵁寤烘ā鐨勫熀紜錛岀壒鍒鏄鍦ㄥ洖褰掑垎鏋愪腑銆傚洖褰掓ā鍨嬪亣璁捐宸欏圭﹀悎姝ｆ佸垎甯冿紝榪欐牱鍙浠ヤ嬌寰楁ā鍨嬬殑浼拌℃洿涓哄噯紜銆傛ゅ栵紝姝ｆ佸垎甯冭繕緇忓父琚鐢ㄤ簬鍏朵粬鏁版嵁鍒嗘瀽鎶鏈錛屽傝仛綾誨垎鏋愩佸洜瀛愬垎鏋愮瓑銆

5銆侀庨櫓璇勪及錛氭ｆ佸垎甯冭騫挎硾搴旂敤浜庨噾鋙嶅拰椋庨櫓綆＄悊棰嗗煙銆傞氳繃瀵硅祫浜т環鏍煎彉鍔ㄣ佹姇璧勬敹鐩婄巼絳夋寚鏍囪繘琛屾ｆ佸垎甯冨緩妯★紝鍙浠ュ歸庨櫓榪涜岃瘎浼板拰綆＄悊銆備緥濡傦紝鍩轟簬姝ｆ佸垎甯冿紝鍙浠ヨ＄畻椋庨櫓浠峰礆紙Value at Risk錛夋潵琛￠噺鎶曡祫緇勫悎鐨勯庨櫓姘村鉤銆