如何用risk拟合数据

① 锘轰簬钂欑壒鍗＄绥妯℃嫙镄刅aR瀵归欐腐鎭掔敓鎸囨暟链熻揣镄勫疄璇佺爷绌

(1鍖椾含浜ら氩ぇ瀛 缁忔祹绠＄悊瀛﹂櫌锛屽寳浜 100000锛
2涓锲藉缓璁鹃摱琛 鍐呰挋鍙 鍒呜岋纴鍐呰挋鍙 锻煎拰娴╃壒 010000)
鎽 瑕侊细鏂囩珷閲囩敤鍏嬫湇浜嗗弬鏁版柟娉曞拰铡嗗彶妯℃嫙娉旷殑缂洪櫡 镄勮挋鐗瑰崱缃楁ā𨰾熸硶(Monte Carlo Simulation,绠绉癕C)璁＄畻镄刅aR鏂规硶锛屽归欐腐鎭掔敓鎸囨暟链熻揣 杩涜屽疄璇佺爷绌讹纴涓哄浗鍐呭嵆灏嗗紑璁剧殑镶℃寚链熻揣甯傚満镄勯庨橹鎺у埗鎻愪緵鍊熼壌镐濊矾涓庢柟娉曘
鍏抽敭璇嶏细镶℃寚链熻揣锛
VaR妯″瀷锛
钂欑壒鍗＄绥妯℃嫙
涓锲惧垎绫诲彿锛欶83091(2658) 鏂囩尞镙囱瘑镰侊细A 鏂囩珷 缂栧彿锛1007钬6921(2010)01钬0013钬03

镶℃寚链熻揣鏄涓绉嶅吋鍏锋姇璧勫拰阆块橹锷熻兘镄勯噾铻嶅伐鍏凤纴鑳藉熶负甯傚満鍙备笌钥呮彁渚涘啿鍑婚庨橹镄勯斿缎, 镊1982骞撮梾涓栦互𨱒ワ纴鐢卞叾鑳藉熸湁鏁堣勯伩绯荤粺镐ч庨橹镄勭壒镐э纴钥屽缑鍒板揩阃熷彂灞曘备絾鏄镶℃寚链熻揣 鍦ㄤ氦鏄撹繃绋嬩腑寮曞叆浜嗗仛绌烘満鍒躲佹潬𨱒嗕氦鏄掳纴浣垮缑鍏堕庨橹姣旇偂绁ㄧ幇璐у竞鍦鸿佸ぇ寰楀氥傚备綍链夋晥 阒茶寖椋庨橹锛屽挨鍏舵槸甯傚満椋庨橹锛岀淮鎸侀噾铻岖粡娴庣ǔ瀹氩凡鎴愪负閲戣瀺镰旂┒棰嗗烟镄勯吨瑕佽鹃樸俈aR鏂规硶 鏄鐩鍓嶉噾铻岖晫娴嬮噺甯傚満椋庨橹链涓昏佺殑宸ュ叿锛屽挨鍏舵槸鐢ㄤ互娴嬮噺閲戣瀺琛岖敓宸ュ叿镄勯庨橹镄勪富娴佹柟娉 锛岃嚜1994骞寸敱J路P路Morgan鎻愬嚭钖庯纴琚浼楀氶噾铻嶆満鏋勫箍娉涢噰鐢ㄣ
1 鍦ㄩ橹浠峰(VaR)鍙婃祴閲忔柟娉

VaR(Value at risk)镄勫瓧闱㈡剰镐濇槸钬滃勪簬椋庨橹涓镄勪环鍊尖濓纴涔熺О钬滃湪闄╀环鍊尖濓纴鏄鎸囧湪姝 甯稿竞鍦烘尝锷ㄤ笅锛屾煇涓閲戣瀺璧勪骇鎴栬瘉鍒哥粍钖堢殑链澶у彲鑳芥崯澶便傚彲琛ㄧず涓猴细
Prob(螖P螖t铌-VaR)=c

鍏朵腑锛屛摈涓鸿瘉鍒哥粍钖埚湪鎸佹湁链熚撄鍐呯殑鎹熷け锛
VaR涓虹疆淇℃按骞砪涓嫔勪簬椋庨橹涓镄勪环鍊硷纴涔熷彲浠 璇村湪姒傜巼c涓嬶纴鎹熷け鍊兼槸澶т簬VaR镄勚俈aR鏄涓绉嶅埄鐢ㄧ粺璁℃濇兂瀵瑰竞鍦洪庨橹杩涜屼及鍊肩殑鏂规硶锛 濡备綍镙规嵁铡嗗彶鏁版嵁璁＄畻VaR锛屾槸椋庨橹鍒嗘瀽涓庣＄悊涓镄勪竴涓閲嶈佺殑锘烘湰闂棰樸傜洰鍓嶏纴寰埚氭枃鐚 涓宸茬粡鎻愬嚭璁稿氲＄畻VaR镄勬柟娉曪纴浣嗗叧阌鍦ㄤ簬濡备綍鐢卞巻鍙叉暟鎹𨱒ユ嫙钖堟暟鎹镄勭湡瀹炲垎甯冿纴杩欎簺 妯″瀷鍜屾柟娉曟讳綋涓婂彲鍒嗕负涓ゅぇ绫伙细鍙傛暟妯″瀷鍜岄潪鍙傛暟妯″瀷銆

鍙傛暟妯″瀷鍦ㄥ亣瀹氶噾铻嶈祫浜ф敹鐩婄巼链崭粠涓瀹氱粺璁″垎甯幂殑鍓嶆彁涓嬶纴鍒╃敤宸叉湁镄勬牱链鏁版嵁瀵瑰垎甯冧腑 镄勬湁鍏冲弬鏁拌繘浼拌★纴浠庤屽缑鍒扮浉搴旂殑VaR鍊笺傛渶绠鍗旷殑鏄疛路P路Morgan镄凴iskMetrics妯″瀷锛 鍏跺熀链锅囱炬槸鏀剁泭鐜囧簭鍒楁湇浠庢ｆ佸垎甯冿纴鍒╃敤宸叉湁镙锋湰鏁版嵁姝ｆ佸垎甯冧腑镄勫潎鍊笺佹柟宸浼板煎悗 灏辫兘澶熷缑鍒癡aR銆备絾姝ｆ佸垎甯冨亣璁惧苟链钥冭槛閲戣瀺璧勪骇鏀剁泭鐜囧垎甯幂殑闱炴ｆ佹с佸帤灏炬с佹尝锷 鐜囱仛绫绘х瓑锛屾ｅ俉arshawsky(1989)鍜孡ongin(1995)镓鎸囧嚭镄勶纴鍦ㄦｆ佸垎甯冨亣璁句笅璁＄畻镄 VaR鍊硷纴阃氩父浼氢绠浼板疄闄呴庨橹銆备互镊充簬链変簺瀛﹁呮彁鍑轰简蟿鍒嗗竷銆佹ｆ佸垎甯幂殑娣峰悎锛孏ARCH镞忔ā 鍨嬬瓑𨱒ユ弿杩伴噾铻嶈祫浜ф敹鐩婄巼镄勫垎甯冿纴浣嗗瓨鍦ㄥ弬鏁颁及鍊艰宸瀵筕aR鍊肩殑褰卞搷闂棰樸

瀵逛簬闱炲弬鏁版ā鍨嬶纴鐢变簬涓嶉渶瀵归噾铻嶈祫浜ф敹鐩婄巼镄勫垎甯冨仛锅囧畾锛屼篃涓岖敤浼拌″弬鏁板笺傚洜钥屽湪镆 浜涙儏鍐典笅鍏锋湁涓瀹氱殑浼桦娍銆傚父鐢ㄧ殑闱炲弬鏁癡aR妯″瀷链夛细铡嗗彶妯℃嫙娉曞拰钂欑壒鍗＄绥妯℃嫙娉曘傚巻鍙 妯℃嫙娉曞彧链夊湪甯傚満杈冧负骞崇ǔ镄勬椂链熸墠鍙鑳藉彇寰楄缉涓虹簿纭镄刅aR棰勬祴鍊硷纴灏界¤＄畻绠鍗曪纴浣嗗疄 闄呭簲鐢ㄦт笉寮恒

钂欑壒鍗＄绥妯℃嫙娉(Monte Carlo Simulation,绠绉癕C)鏄涓绉嶉殢链烘ā𨰾熸柟娉曪纴瀹幂敤镙规嵁甯傚満 鏁版嵁浼拌＄殑铡嗗彶娉㈠姩鍙傛暟浜х敓甯傚満锲犲瓙链𨱒ユ尝锷ㄧ殑澶ч噺鍙鑳借矾寰(钥屽巻鍙叉ā𨰾熸硶鍙鑳芥牴鎹甯 鍦哄洜瀛愮殑鐗瑰畾铡嗗彶浜х敓璺寰勪骇鐢熸湁闄愮殑链𨱒ユ尝锷ㄦ儏鏅)銆备笌铡嗗彶妯℃嫙娉旷浉姣旓纴瀹冩墍闇瑕佺殑铡 鍙叉暟鎹镟村皯锛岃屼笖璁＄畻绮惧害鍜屽彲闱犳ф洿楂樸傚彟澶栵纴瀹冩槸涓绉嶅叏鍊间及璁℃柟娉曪纴镞犻’锅囧畾甯傚満锲 瀛愭湇浠庢ｆ佸垎甯冿纴链夋晥鍦拌В鍐充简鍒嗘瀽鏂规硶鍦ㄥ勭悊闱炵嚎镐с侀潪姝ｆ侀梾棰树腑阆囧埌镄勫汹闅撅纴杩戝勾𨱒 锛屽湪锲藉栫殑镰旂┒涓宸茶骞挎硾搴旂敤銆备絾缂洪櫡鏄璁＄畻澶嶆潅锛屽洜涓哄氭￠吨澶嶅彲浠ユ彁楂樿閲忓肩殑鍑嗙‘ 镐э纴浣嗕篃灏变娇璁＄畻閲忓炲ぇ銆傜敱浜庤＄畻链烘妧链镄勫箍娉涘簲鐢锛岃兘澶熸湁鏁堣В鍐宠＄畻闂棰桡纴鏁呮枃绔犲皢 閲囩敤锘轰簬钂欑壒鍗＄绥妯℃嫙镄刅aR鏂规硶瀵归欐腐鎭掔敓鎸囨暟链熻揣杩涜屽垎鏋愩
2 棣欐腐鎭掔敓鎸囨暟链熻揣镄刅aR瀹炶瘉鍒嗘瀽

鎭掔敓鎸囨暟链熻揣(鎭掓寚链熻揣锛孒SI Future)鏄涓绉崭互鎭掔敓鎸囨暟浣滀负涔板崠锘虹镄勬湡璐у悎绾︼纴鍙备笌钥 钖屾剰镓挎媴棣欐腐镶＄エ甯傚満镄勪环镙艰捣璺岋纴娑ㄨ惤镄勫箙搴﹀垯浠ユ亽鐢熸寚鏁颁綔鍑嗐傞欐腐鎭掔敓鎸囨暟鎴愮珛浜19 69骞11链24镞ワ纴鏄棣欐腐钃濈硅偂镶′环镄勪富瑕佹寚阍堬纴璇ユ寚鏁版秹鍙婇欐腐钖勪釜琛屼笟锛屽叿链夎缉寮虹殑浠ｈ〃 镐с
2.1 镙锋湰銆佸弬鏁扮殑阃夊畾

涓鑸钥岃█锛屽归庨橹鍜屾敹鐩婄殑妫楠屽簲阃夎缉闀垮巻鍙叉椂闂村唴镄勬暟鎹锛岃繖镙锋楠屾墠鍏锋湁鍙闱犳э纴浣呜 铏戝埌鍙椾笢鍗椾筜閲戣瀺鍗辨満绛夊洜绱犲奖鍝嶏纴镶″竞镄勬尝锷ㄦц缉澶э纴濡傛灉阃夊彇镞堕棿杩囬暱锛屼细镰村潖镙锋湰镄 涓镊存э纴鏁呴夊彇2005骞1链3镞~2005骞12链30镞ユ亽鐢熸寚鏁版棩鏀剁洏浠锋暟鎹浣滀负鍒嗘瀽镙锋湰鏁版嵁锛 鍏辫246涓镙锋湰瑙傛祴鍊笺傞夊彇2006骞1链3镞~2006骞12链29镞ョ殑鎭掔敓鎸囨暟镞ユ敹鐩树环鏁版嵁浣滀负 妫楠屾牱链鏁版嵁銆

缃淇″害(1-a)鍜屾寔链夋湡(螖t)鏄疺aR链閲嶈佺殑涓や釜鍙傛暟銆傜疆淇″害瓒婇珮锛屽疄闄呬腑鎹熷け瓒呰繃镄勫彲 鑳芥ц秺灏忥纴杩欑嶉濆栨崯澶辩殑鏁扮洰瓒婂皯锛屼负浜嗛獙璇佺粨鏋沧墍闇镄勬暟鎹瓒婂氾纴钥屽疄闄呬腑镞犳硶銮峰彇澶 閲忔湁鏁堟暟鎹镄勭害𨱒燂纴闄愬埗浜呜缉楂樼疆淇℃按骞崇殑阃夋嫨锛屾晠阃夊彇95%镄勭疆淇″害銆傛寔链夋湡鐢遍噾铻嶆満鏋 浜ゆ槗镐ц川𨱒ュ喅瀹氾纴鐢变簬链熻揣甯傚満瀹炶屾疮镞ユ棤璐熷虹粨绠楀埗搴︼纴鏁呬竴澶╃殑鎸佹湁链熸槸涓涓姣旇缉钖堥 镄勯夋嫨銆
鎭掔敓鎸囨暟镄勬敹鐩婄巼閲囩敤瀵规暟鏀剁泭鐜囩殑褰㈠纺锛
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2.2 姝ｆ佹у拰娉㈠姩镄勯泦镵氭ф楠

涓嬮溃鍒嗗埆瀵规墍鍙栨牱链鏁版嵁镄勭粺璁＄壒镐ц繘琛屾楠岋纴鍖呮嫭瀵瑰叾姝ｆ佹у拰娉㈠姩镄勯泦镵氭ц繘琛屾楠屻

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2.2.1 Q-Q锲炬楠屻傜敤eviews瀵规亽鐢熸寚鏁版敹鐩婄巼杩涜屾ｆ佹ф楠岋纴鍏剁粨鏋滃傚浘1锛  

鐢卞浘鍙浠ョ湅鍑猴纴鍏跺浘绾块潪鐩寸嚎锛屽洜钥屽彲鍒濇ュ垽鏂鎭掔敓鎸囨暟镄勬敹鐩婂垎甯冧笉鏄姝ｆ佸垎甯冦
2.2.2 Jarque-Bera 妫楠屻傚彟涓绉嶅规ｆ佹楠岀殑鏂规硶灏辨槸Jarque-Bera 妫楠岋纴鍗筹细

鍏朵腑锛孨涓烘牱链瀹归噺锛孲鍜孠鍒嗗埆涓哄亸搴﹀拰宄板害锛屽湪姝ｆ佸垎甯冨亣璁句笅锛屽亸搴︾瓑浜0锛屽嘲搴︾瓑浜3 锛
镓链夊圭О鍒嗗竷镄勫亸搴﹂兘涓0锛屽亸搴︿笉绛変簬0镄勫垎甯冩洸绾挎槸锅忔枩镄勶纴铡氩熬鍒嗗竷镄勫嘲搴>3锛 闾ｄ箞阃氲繃eviews杞浠跺规亽鐢熸寚鏁版敹鐩婄巼杩涜孞arque-Bera 妫楠岋纴鍏剁粨鏋滃傚浘2锛

浠嶫arque-Bera 妫楠岀粨鏋滃彲浠ョ湅鍑猴纴鎭掔敓鎸囨暟镞ユ敹鐩婄巼镄凧B缁熻￠噺涓11.57763,锅忓害涓-0.355604,宄板害绛変簬3.670104,P鍊兼帴杩0锛屼篃灏辨槸璇村湪99%镄勭疆淇℃按骞充笅𨰾掔粷闆跺亣璁撅纴搴忓垪 涓嶆湇浠庢ｆ佸垎甯冦
2.2.3 娉㈠姩镄勯泦镵氭ф楠屻备负浜嗗规亽鐢熸寚鏁扮殑娉㈠姩镐ф湁涓涓鐩磋傜殑浜呜В锛屽埄鐢╡views缁 鍒朵简鎭掔敓鎸囨暟鏀剁泭鐜囩殑镞堕棿搴忓垪锲撅纴濡傚浘3镓绀猴细



鐢卞浘鍙鐪嫔嚭锛屾亽鐢熸寚鏁版棩鏀剁泭鐜囩殑娉㈠姩鍦ㄦ煇娈垫椂闂磋缉灏忥纴浣嗗湪鍙︿竴娈垫椂闂村唴杈冨ぇ锛屽竞鍦烘寚鏁 瀛桦湪娉㈠姩镄勯泦镵氭х幇璞°

鍒╃敤2005骞1链3镞~2005骞12链30镞ョ殑246涓浜ゆ槗镞ョ殑鎭掔敓鎸囨暟镞ユ敹鐩树环鏁版嵁锛岄噰鐢ㄨ挋鐗瑰崱 缃楁ā𨰾熸硶璁＄畻鍑轰笅涓浜ゆ槗镞(2006骞1链3镞)镄勬亽鐢熸寚鏁癡aR锛屾寔链夋湡涓轰竴澶╋纴缃淇℃按骞充负9 5%锛岄夌敤鍑犱綍甯冩湕杩愬姩浣滀负鍙嶅簲涓婅瘉鎸囨暟鍙桦寲镄勯殢链烘ā鍨嬶纴鍏剁绘暎褰㈠纺鍙琛ㄧず涓猴细

鍏朵腑锛歴 t 琛ㄧずt镞跺埢镄勬亽鐢熸寚鏁帮纴s t+i 琛ㄧずt+i镞跺埢镄勬亽鐢熸寚鏁,渭浠ｈ〃鎭掔敓鎸囨暟镞 鏀剁泭鐜囩殑鍧囧硷绂
蟽琛ㄧず鎭掔敓鎸囨暟镞ユ敹鐩婄巼镄勬尝锷ㄧ巼锛
蔚琛ㄧず闅忔満鍙橀噺锛屾湇浠庢爣鍑嗘ｆ佸垎甯冦



鍏朵腑s t+1 ,s t+2 ,钬︹,s t+20 涓烘亽鐢熸寚鏁板彉鍖栫殑涓𨱒″彲鑳界殑璺寰勶纴S T 鍒 涓2006骞1链3镞ユ亽鐢熸寚鏁扮殑涓涓鍙鑳界殑鏀剁洏浠凤绂
閲嶅嶆ラ2鍜屾ラ3锛1銆000娆★纴妯℃嫙鍑200 6骞1链3镞ユ亽鐢熸寚鏁1銆000涓鍙鑳界殑鏀剁洏浠凤绂
鍗冲缑鍒癝 1 T ,S 2 T ,钬︹︼纴S 1000 T 锛
璁＄畻VaR锛氩笋 1 T ,S 2 T ,钬︹︼纴S 1000 T 鎸夌収鍗囧簭鎺掑垪锛屾垒鍒颁笅鏂5%镄勫垎浣 鏁癝 min5% T 锛屽垯鍙璁＄畻鍑95%缃淇℃按骞充笅镄刅aR:VaR=s t -S min5% T 銆

鍒╃敤eviews缂栫▼璁＄畻涓婅堪姝ラわ纴鍙寰椾笅涓浜ゆ槗镞(2006骞1链3镞)鎭掔敓鎸囨暟镄刅aR鍊肩殑缁濆 鏁颁负锛225.8136銆傚湪姝ゅ熀纭涓婏纴鐢╡views閲嶅嶈＄畻249娆★纴寰楀嚭2006骞1链3镞~2006骞12链29 镞ュ叡249涓95%镄勬棩VaR镓瀵瑰簲r max 銆备笅锲句腑鏄剧ず浜嗗疄闄呮棩鏀剁泭鐜囦笌锘轰簬钂欑壒鍗＄绥妯℃嫙 娉旷殑镞VaR镓瀵瑰簲r max 銆

2.3 锘轰簬钂欑壒鍗＄绥妯℃嫙镄刅aR镄勬楠

鍦ㄦら噰鐢↘upiec镄勫け璐ラ戠巼妫楠屾硶銆傛楠屾牱链鏄2006骞1链3镞~2006骞12链29镞249涓浜ゆ槗 镞ョ殑鎸囨暟鏀剁洏浠枫傛牴鎹鏂囩珷镄勫け璐ユ楠屾硶锛屽綋镙锋湰鏁伴噺涓246锛岀疆淇℃按骞充负95%镞讹纴镙规嵁鎻掑 娉曞彲寰楀け璐ユ℃暟N镄勯潪𨰾掔粷锘6<N<21锛屼篃灏辨槸璇村綋N鍦(6锛21)鍐咃纴琛ㄦ槑妯″瀷杈冨ソ镄勪及璁′简 椋庨橹銆侼铌21琛ㄦ槑VaR妯″瀷浣庝及浜嗘崯澶卞彂鐢熺殑姒傜巼锛屽綋N铌6琛ㄦ槑VaR妯″瀷杩囦簬淇濆畧锛岄珮浼颁简椋 闄┿
鍏蜂綋妫楠岀粨鏋灭粺璁″备笅锛
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钂欑壒鍗＄绥妯℃嫙瀵规亽鐢熸寚鏁扮殑妫楠岃兘澶熼氲繃锛岃存槑鍦95%镄勭疆淇℃按骞充笂锛岃挋鐗瑰崱缃楁ā𨰾熻兘澶熷緢 濂藉湴棰勬祴椋庨橹銆
3 缁撹

鐢变互涓婄爷绌跺彲瑙侊纴锘轰簬钂欑壒鍗＄绥妯℃嫙镄刅aR瀵瑰逛环镙兼尝锷ㄦ晱镒燂纴链夎缉濂界殑𨰾熷悎镐э纴鑳藉熷緢濂 鍦伴勬祴椋庨橹銆傝繖涓镰旂┒瀵逛簬锲藉唴鍗冲皢寮灞旷殑镶℃寚链熻揣甯傚満锛屽叿链変竴瀹氱殑鍊熼壌镒忎箟銆备絾濡备綍缁 缁鎻愰珮钂欑壒鍗＄绥妯℃嫙镄刅aR锛屽硅偂鎸囨湡璐у竞鍦洪庨橹镄勬祴閲忕殑绮剧‘搴︼纴浠庤屾湁鏁埚害閲忚偂鎸囨湡璐 甯傚満镄勫竞鍦洪庨橹锛屽皢浼氢綔涓哄悗缁镰旂┒宸ヤ綔钥岃繘琛屼笅铡汇
锛诲弬钥冩枃鐚锛
锛1锛 凿插埄鏅路涔旂憺镢,闄堣穬,绛夎疟,VaR:椋庨橹浠峰硷蓟M锛.鍖椾含锛氢腑淇″嚭鐗堢ぞ,2005.
锛2锛 Warshawsky,M.J., The adequacy and consistency of margin requiremen ts in the markets for stocks and derivative procts锛籖锛.Board of Governors St aff Study,1989锛158.
锛3锛 Longin, F. Optimal Margins in Futures Markets: A Parametric Extreme -based Approach锛籖锛. Proceedings, Ninth Chicago Board of Trade Conference on F utures and Options, Bonn.,1995锛22.
锛4锛 Figlewski,Stephen.Margins and Market Integrity.Margin Setting for S tock Index Futures and Options锛籎锛.Journal of Futures Markets,1984,4(3)锛385~4 16.
锛5锛 Kupiec,p. Techniques for verifying the accuracy of risk measurement models锛籎锛.Journal of Derivatives,1995,(3)锛73~84.
锛6锛 Kupiec, P.H., White, A.P., Regulatory Competition and the Efficienc y of Alternative Derivative Proct Margining Systems锛籎锛.Journal of Futures Markets ,1996,(16)锛943~968.
锛7锛 Booth G. Geoffrey, John Broussard, Teppo Martikainen, Vesa Puttonen. Prudent margin levels in the Finnish stock index futures market锛籎锛.Managem ent Science, 1997锛43(8)锛1177~1188.
锛8锛 J.P.Morgan, RiskMetricsTM-Technical Document锛籑锛.Fourth edition, N ew York,1996.
锛9锛 瑭瑰师鐟.甯傚満椋庨橹镄勫害閲忥细VaR镄勮＄畻涓庡簲鐢锛籎锛.绯荤粺宸ョ▼鐞呜轰笌瀹炶返锛1999 ,(12)
锛10锛 链卞畯娉,𨱒庝筜闱.Value at risk妯″瀷鍙婂叾鍦ㄩ欐腐镶″竞涓镄勫疄璇佸垎鏋愶蓟J锛.棰勬祴 ,2001,(2)锛29~33.
锛11锛 寮犲箍姣咃纴𨱒鏁锛岃矾姝ｅ崡.锘轰簬VaR鎶链镄勯欐腐鎭掔敓鎸囨暟链熻揣鍒嗘瀽锛籎锛.缁熻′笌 鍐崇瓥锛2004,(5)锛80~81.
锛12锛 寰愬浗绁,钖存辰鏅.鎴戝浗鎸囨暟链熻揣淇濊瘉閲戞按骞宠惧畾鏂规硶鍙婂叾瀹炶瘉镰旂┒钬斺旀瀬鍊肩悊 璁虹殑搴旂敤锛籇B/OL锛.https:// .cn, 2004.

② 姝ｆ佸垎甯冩槸镐庝箞锲炰簨锛

姝ｆ佸垎甯冿纸涔熺О涓洪珮鏂鍒嗗竷鎴栭挓褰㈡洸绾匡级鏄缁熻″︿腑链閲嶈佺殑鍒嗗竷涔嬩竴锛屽叿链変互涓嬬壒寰侊细瀵圭О镐с佸崟宄版с佸畾涔夋槑纭镄勫潎鍊煎拰镙囧嗳宸銆佹墍链夋ｆ佸垎甯幂殑涓や釜鐗规畩鍙傛暟銆佷腑蹇冩瀬闄愬畾鐞嗐佺煡钖岖壒镐с

1銆佸圭О镐э细姝ｆ佸垎甯冩槸鍏充簬鍏跺潎鍊肩殑瀵圭О鍒嗗竷锛屽憟鐜板嚭宸﹀彸瀵圭О镄勭壒寰併傚潎鍊笺佷腑浣嶆暟鍜屼䌷鏁伴兘浣崭簬鍒嗗竷镄勪腑蹇冦

2銆佸崟宄版э细姝ｆ佸垎甯冨彧链変竴涓宄板硷纴鍗虫渶澶х殑姒傜巼瀵嗗害镣广傚湪宄板煎勶纴姒傜巼瀵嗗害杈冮珮锛岄殢镌绂诲嘲鍊艰秺杩滐纴姒傜巼瀵嗗害阃愭笎鍑忓皬銆

6銆佺煡钖岖壒镐э细姝ｆ佸垎甯冩槸璁稿氲嚜铹剁幇璞″拰瀹为檯鏁版嵁涓镄勫父瑙佸垎甯冿纴渚嫔备汉镄勮韩楂樸佽冭瘯鎴愮哗銆佹祴閲忚宸绛夈傛ゅ栵纴璁稿氱粺璁℃帹鏂鏂规硶鍜屽亣璁炬楠岄兘锘轰簬姝ｆ佸垎甯幂殑锅囱俱

姝ｆ佸垎甯冨湪缁熻″﹀拰姒傜巼璁轰腑鍏锋湁骞挎硾镄勫簲鐢ㄥ叾浣灭敤鍖呮嫭浠ヤ笅鏂归溃

1銆佹暟鎹鍒嗘瀽锛氭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氲嚜铹剁幇璞″拰瀹为檯鏁版嵁閮芥湇浠庢ｆ佸垎甯冿纴姣斿备汉镄勮韩楂樸佽冭瘯鎴愮哗銆佹祴閲忚宸绛夈傞氲繃浜呜В鏁版嵁鏄钖︾﹀悎姝ｆ佸垎甯冿纴鍙浠ュ府锷╃爷绌惰呭仛鍑哄嗳纭镄勭粺璁℃帹鏂鍜岄勬祴銆

2銆佸亣璁炬楠岋细锅囱炬楠屾槸缁熻℃帹鏂涓镄勪竴椤归吨瑕佹妧链锛岀敤浜庡垽鏂缁椤畾镄勬暟鎹鏄钖︿笌镆愪釜锅囱剧浉绗︺傛ｆ佸垎甯冨湪锅囱炬楠屼腑镓婕旈吨瑕佺殑瑙掕壊锛岄氲繃锅囱炬暟鎹绗﹀悎姝ｆ佸垎甯冿纴鍙浠ヨ繘琛屽弬鏁颁及璁°佹柟宸鍒嗘瀽銆佸洖褰掔瓑缁熻℃柟娉旷殑搴旂敤銆

3銆佺粺璁℃帹鏂锛氭ｆ佸垎甯冨湪缁熻℃帹鏂涓链夊箍娉涚殑搴旂敤銆傞氲繃瀵规牱链鏁版嵁镄勫垎鏋愶纴鍙浠ュ湪姝ｆ佸垎甯冨亣璁句笅杩涜屽弬鏁颁及璁★纴渚嫔傝＄畻鍧囧笺佹爣鍑嗗樊銆佺疆淇″尯闂村拰锅囱炬楠屻傝繖浜涙帹鏂镐х粺璁℃柟娉曞彲浠ヤ粠镙锋湰鏁版嵁涓寰楀嚭鍏充簬镐讳綋镄勭粺璁＄粨璁恒

4銆佹ā鍨嬫嫙钖堬细姝ｆ佸垎甯幂粡甯歌鐢ㄤ綔鏁版嵁寤烘ā镄勫熀纭锛岀壒鍒鏄鍦ㄥ洖褰掑垎鏋愪腑銆傚洖褰掓ā鍨嫔亣璁捐宸椤圭﹀悎姝ｆ佸垎甯冿纴杩欐牱鍙浠ヤ娇寰楁ā鍨嬬殑浼拌℃洿涓哄嗳纭銆傛ゅ栵纴姝ｆ佸垎甯冭缮缁忓父琚鐢ㄤ簬鍏朵粬鏁版嵁鍒嗘瀽鎶链锛屽傝仛绫诲垎鏋愩佸洜瀛愬垎鏋愮瓑銆

5銆侀庨橹璇勪及锛氭ｆ佸垎甯冭骞挎硾搴旂敤浜庨噾铻嶅拰椋庨橹绠＄悊棰嗗烟銆傞氲繃瀵硅祫浜т环镙煎彉锷ㄣ佹姇璧勬敹鐩婄巼绛夋寚镙囱繘琛屾ｆ佸垎甯冨缓妯★纴鍙浠ュ归庨橹杩涜岃瘎浼板拰绠＄悊銆备緥濡傦纴锘轰簬姝ｆ佸垎甯冿纴鍙浠ヨ＄畻椋庨橹浠峰硷纸Value at Risk锛夋潵琛￠噺鎶曡祫缁勫悎镄勯庨橹姘村钩銆