摘要
风险值 (VaR)与压力测试都是衡量金融资产价格波动风险的重要工具。为了考虑市场在不同状态下报酬率分布的结构性变化,引入波动性状态转移的ARCH(SWARCH)模型对波动性进行描述,使VaR与压力测试值能够在统一的样本数据和框架下得到一致性的估计。此外,SWARCH模型还同时考虑了金融市场波动性、波动性状态和状态概率的时变性,使VaR与压力测试值的估计具有很好的灵活性。以上海股市为样本进行了实证分析,验证了基于SWARCH模型能够得到VaR与压力测试值的一致性估计。
Both Value-at-Risk and stress testing loss are important measures for the financial market risk. The regime-switching ARCH models are introduced to describe the structure changes in return distribution of different market situations so as to get coherent estimation from VaR and stress testing loss. Furthermore, the estimation of these two measures has sufficient agility due to changes over time in volatility, states the volatility and probability of the states in SWARCH model. To assess the performance of this approach, this paper uses the Shanghai stocks market data in an empirical study. The result of the empirical study indicates that these two measures can achieve coherent estimaiton results based on SWARCH model.
出处
《管理科学》
CSSCI
2005年第1期68-73,共6页
Journal of Management Science
基金
国家杰出青年科学基金资助项目 (70225002)
关键词
风险值
压力测试值
混合分布
状态转移的ARCH
Value-at-Risk
Stress testing loss
Mixture distribution
Regime-switching ARCH
