静态及动态风险度量模型的实证对比分析

摘要

select the financial and industrial index of the Shanghai stock exchange for the object of observation,respectively for the static and dynamic model,the degree of risk of Shanghai financial and industrial index and the accuracy of measurement under different confidence level carried on the comparative study.the results show that:for the measurements of VaR and ES,dynamic risk measurement model is more accurate than static risk measurement model;Shanghai financial index of degree of risk is higher than the Shanghai industrial average degree of risk;confidence measure risk model of 99% is more accurate than the confidence level of 95%.%选取上海证券交易所金融、工业指数的收盘价为观察对象，分别对静态及动态模型、上证金融及工业指数的风险程度以及不同置信水平下的度量准确性进行了比较研究，结果表明：动态风险度量模型对VaR、ES的度量比静态模拟更加准确；上证金融指数的风险程度要略高于上证工业指数的风险程度；置信度为99%时度量风险模型要比置信度为95%时更加精确。