引入信度理论的VaR模型探讨

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摘要

随着金融一体化的深入，全球银行保险的发展越来越迅速，目前已经成为国际

保险业的主要发展趋势．虽然我国的银行保险起步较晚，但是有着良好的发展前

景．在银行保险市场份额迅速扩大的同时，如何防范银行保险业务的市场风险，

已经引起了管理者的关注，也是现实中急需解决的一个重大问题．

本文从银行保险中存在的实际问题入手，拟就金融市场风险测量的VaR方法，

根据自己的理解系统阐释了此体系衡量金融市场正常波动的历史模拟法，参数分

析法和蒙特--卡罗模拟法三种经典VaR模型，以及衡量市场异常波动的压力试验和

极值理论两种极端VaR理论的基本原理与计算思路．

在简单介绍了保险非寿险精算学中的有限波动信度方法和最精确可信性模型

两种信度理论之后，本文将它们引入历史模拟法，参数分析法和极值理论，构建

出了新的风险测量的方法，即信度VaR风险预测方法，用以定量地测量金融市场中

存在的市场风险，并给出了其在证券投资中的实证研究．论文在最后指出了本文

所做的工作和未续所在．

关键词: 风险价值极值理论 Buhlmann 模型信度 VaR 模型

Abstract

With the development of the financial integration, the global bank insurance

is growing more and more rapidly. Now it has become the main trend in the

international insurance market. Banking Insurance starts late in china, but it has

good prospects for developments. While the bank insurance market is expanding

rapidly, it has been a concern among managers that how to guard against the risk

of bank insurance, also it is an important problem to be resolved urgently in

practice.

This thesis aims at improving the effectiveness of VaR models by combining

credibility theories----the limited fluctuation credibility theory and greatest

credibility theory (the Bayes measurement and the Buhlmann model) in actuarial

science with the historical simulation，the parametric methods，and the extreme

value theory．It develops from an introduction to the classical VaR models (the

historical simulation，the parametric methods，and the Monte Carlo simulation)

and the extreme analysis of VaR models (the stress testing and the extreme value

theory); based on a brief review of the credibility theories，it runs to combining

these credibility models into the classical and extreme VaR model systems．

With a

tentative conclusion of “Credibility VaR Model”，this paper finally points out the

significance and also the defect of this thesis．

Key word: Value at Risk，Extreme Value Theory，Buhlmann Model，

Credibility VaR Model

摘要

ABSTRACT

第一章绪论 ··················································································· 1

§1.1 银行保险概述 ··········································································1

§1.1.1 银行保险在我国的发展 ························································ 1

§1.1.2 银行保险的优势及市场风险简介 ············································2

§1.2 风险测量工具 ··········································································2

§1.2.1 风险测度方法的演进 ··························································· 3

§1.2.2 风险测度方法研究的重要性 ··················································4

§1.3 课题来源及构建信度 VaR 模型的意义 ···········································4

第二章金融市场风险测度 VaR ······························································ 6

§2.1 测度 VaR 方法 ·········································································· 6

§2.1.1VaR 的产生背景 ···································································6

§2.1.2 VaR 的测量基础 ·································································· 7

§2.2 经典 VaR 方法 ········································································· 7

1. 历史模拟法 ·········································································· 8

2. 参数分析法 ·········································································· 9

§2.3 极端 VaR 方法 ········································································10

§2.3.1 压力试验 ·········································································10

§2.3.2 极值理论 ·········································································12

第三章信度理论 ··············································································· 16

§3.1 信度模型简介 ········································································· 16

§3.1.1 信度理论概述 ···································································16

§3.1.2 信度模型介绍 ···································································16

§3.1.3 可信性模型定义、分类及比较 ············································· 17

§3.2 有限波动信度理论 ·································································· 18

§3.2.1 有限波动信度方法的基本思想 ············································· 18

§3.2.2 T 的分布 ·········································································· 19

§3.2.3 有限波动信度的特点 ························································· 20

§3.3 最精确信度理论 ······································································ 20

§3.3.1 最精确信度理论简介 ························································· 20

§3.3.2 理论基础 ·········································································20

§3.3.3 经典模型 ·········································································21

第四章信度 VaR 模型的构建 ······························································· 23

§4.1 有限波动信度参数分布法的 VaR 模型的构建 ································· 23

§4.2 Buhlmann 信度历史模拟法的 VaR 模型的构建 ································24

§4.3 贝叶斯信度极值 VaR 模型的构建 ················································ 26

第五章实证分析 ··············································································· 28

§5.1 信度理论在 VaR 应用中的理论探讨 ············································ 28

§5.2 实证分析 ·············································································· 28

§5.2.1 参数法及历史模拟法下的 VaR 计算 ······································· 28

§5.2.2 参数法及历史模拟法下的信度 VaR 计算 ································· 30

§5.2.3 总结 ··············································································· 30

第六章总结 ····················································································· 32

§6.1 本文所做工作 ········································································ 32

§6.２未续工作 ·············································································· 32

参考文献 ··························································································· 33

在读期间公开发表的论文和承担科研项目及取得成果 ································· 36

致谢 ······························································································ 37

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摘要：

I摘要随着金融一体化的深入，全球银行保险的发展越来越迅速，目前已经成为国际保险业的主要发展趋势．虽然我国的银行保险起步较晚，但是有着良好的发展前景．在银行保险市场份额迅速扩大的同时，如何防范银行保险业务的市场风险，已经引起了管理者的关注，也是现实中急需解决的一个重大问题．本文从银行保险中存在的实际问题入手，拟就金融市场风险测量的VaR方法，根据自己的理解系统阐释了此体系衡量金融市场正常波动的历史模拟法，参数分析法和蒙特--卡罗模拟法三种经典VaR模型，以及衡量市场异常波动的压力试验和极值理论两种极端VaR理论的基本原理与计算思路．在简单介绍了保险非寿险精算学中的有限波动信度方法和最精确可信性模...

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