上证综合指数VaR计算方法研究.pdf

西南交通大学硕士研究生学位论文第|I页 Abstract On the basi s of pari son and anal ysi s of general VaR methods in the process puting the VaR of posite Index,thi s paper seeks to create a model of more accuracy and practical guidance to the VaR measurement of plex cation of index risk provides a helpful reference for investors in their investment operatioil. In the application of Fractal Distribution method to the putation of posite Index,a simplifi ed Fractal posed of Normal Distribution and Cauthy Distribution i sderived to estimate posite to short period of the development of Chinese securities market and 1ack of historical data,the appli cation of Fractal Distribution needs further verification. According to the actual 口erformance of the market and referring to some methods in Coherent Market Hypothesis,thi s paper establishes putable nonlinear statistical method. C1assified Market Model,to calculate the VaR of posite Index. In the judgement of market situation,investors generallY divide the market into three kinds,.,rising market,dropping market and non-trend market. By means of analYsis and classifi cation of historical time series data of posite Index,this paper creates Yield distributions that belong respectively to rising market,dropping market and r;on—trend market. It uses technicallY arialytical methods to analyze the market situations of the periods when the calculation ofVaR i srequired, and establishes the probability distributions in rising market, dropping market and non—trend ,it utilizes expectation method bination distribution method to work out the VaR of posite Index. 西南交通大学硕士研究生学位论文第||I页 Through verification,analysi pari SOn,we get t0 know that Classified Market Model makeS a good estimation of the VaR of posite Index and fullY satisfi es the requirement of investment risk addition,it has the capabilitY to trace the change ofactual profi tand loss pos i te Index。therefore itoffers guidance to investors.