VaR模型及其在创业投资风险管理中的应用——基于创业板指数的实证研究

摘要

创业投资运作过程中面临的风险问题要求其对风险进行测量与评估. 选取2014年1月1日至2014年12月31日我国创业板指数日收益率和股票收盘价格作为样本,对其进行实证研究,建立VaR模型来测量其风险. 实证结果表明:目前我国高新技术企业和中小企业的股票价格波动较大,风险较高,创业投资机构面临的风险比较高. 只有反复和分阶段地去评价投资对象,在投资过程中采取组合投资、投资后监管和增值管理等,才能分散和控制风险.%There are many serious risks involving the operation of venture capital,hence,the need to measure and evaluate the risk of venture capital.In this paper,the VaR model is established,and the daily return rate and the stock closing price of the gem index from January 1 ,2014 to December 31 ,2014 are used as samples to conduct measurement and empirical study of the risk of venture capital.The empirical results show that the stock price fluctuation of China′s high-tech enterprises and small and medium-sized enterprises is bigger,and the risk is higher,therefore, the risk confronted by venture capital institutions is relatively high,and venture capital institutions have to conduct a repeated and phased assessment of investment object,take a portfolio in-vestment in the process of investment and strengthen the supervision and management of investment to spread and control risk.