基于极值理论的我国银行间同业拆借利率的风险度量 Alternative Title Risk measurement Based on Extreme Value Theory with Application in Interbank Offering Market 贺壬癸 Thesis Advisor 严定琪 2012-06-02 Degree Grantor 兰州大学 Place of Conferral 兰州 Degree Name 硕士 Keyword 极值理论 VaR GARCH模型 GARCH-EVT模型 阀值 风险管理 Abstract 同业拆借利率作为我国货币市场的主要基准利率，寻找适当的金融时间序列模型来描述它的随机波动过程，并且选择合适的风险测度方法来度量我国同业拆借利率风险，对于我国银行间同业拆借利率市场的风险管理具有重大的理论及现实意义。极值理论是一种研究极端情形下分布特征的理论，其在金融资产风险管理中扮演着很重要的角色，是关于市场极端情形下风险的建模和量化的一种重要方法。由于金融资产回报数据具有波动聚集性和厚尾性特性，本文将极值理论和~GARCH~类模型有机结合起来，首先利用~GARCH~模型描述我国银行间同业拆借利率对数收益序列的自相关和异方差现象，获得近似独立同分布的残差序列，并对该模型中残差的条件分布的合理假定进行了实证分析比较。然后利用极值分布理论中的~POT~方法对残差序列进行极值分析，给出了极值分布各参数的极大似然估计，进一步计算了一定置信水平下的~VaR~值，并对估计结果进行了回测检验。 Other Abstract Interbank lending rates is the main benchmark interest rate in the currency market of China, looking for appropriate financial time series model to describe its random wave process, and choose appropriate risk measurement method to measure the interbank lending interest rate risk, for our country the interbank loan interest rate market risk management has theoretical and practical significance. Extreme value theory has been recognized as an important set of probable and statistical tools fot the modeling of rare events in that it plays a very important role in risk management as a major method of modeling and market risk. Because financial assets return data has clustering volatility and fat-tail characteristics, this paper will combine extreme value theory with GARCH model to build the GARCH-EVT modle. Firstly, an GARCH Model was built to fit the autocorrelation and heteroskedasticity of logreturn series, in order to obtain the residual sequence tha have appriximate i.i.d distribution. Then, POT method was utilised to analyze the innovations and estimate the interval of VaR, The parameters in POT model was solved by MLE. Finaly, Through bask testing, we find that our model is suitable to measure risk in the interbank offering Market in China. URL 查看原文 Language 中文 Document Type 学位论文 Identifier https://ir.lzu.edu.cn/handle/262010/225158 Collection 数学与统计学院 Recommended CitationGB/T 7714 贺壬癸. 基于极值理论的我国银行间同业拆借利率的风险度量[D]. 兰州. 兰州大学,2012.
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