基于VAR的房地产投资风险度量方法研究

主要论述了VAR方法在房地产投资风险中的应用。首先分析了应用VAR在我国房地产投资风险中的必要性,再通过计算VAR的方法给出了如何在房地产投资项目中应用VAR度量风险,最后对房地产业应用VAR的前景进行了分析。     

商业银行市场风险管理中的VAR模型

巴塞尔新资本协议规定金融机构满足资本充足率的要求,并将风险分为信用风险、市场风险和操作风险。针对市场风险的管理,本文着重介绍VAR模型的概念、VAR的种类以及主要特点,并指出VAR面临的主要问题及其在我国金融应用的前景。     

风险价值在房地产上市公司财务危机预警模型中的应用

一、风险价值定义及计算 风险价值（Valueat Risk,简称VAR）是指在一定的置信水平下,预期资产的最大可能损失,其被广泛用来衡量金融风险。设资产的收益为R,预期收益为一定值E限）,置信水平为1-a,则VAR可以由下式定义：P（R〈-VAR）=1-a（绝对损失）,其中VAR取损失的绝对值。在正态分布情况下,上式可化为：VAR=-up＋Zaop（其中：1-a为置信水平;为预期收益的波动性）。     

风险价值在房地产上市公司财务危机预警模型中的应用

一、风险价值定义及计算风险价值(Value at Risk,简称VAR)是指在一定的置信水平下,预期资产的最大可能损失,其被广泛用来衡量金融风险。设资产的收益为R,预期收益为一定值E(R),置信水平为1-a,则VAR可以由下式定义:P(R<-VAR)=1-a(绝对损失),其中VAR取损失的     

向量时间序列最佳逼近中自助法的发展

一、引言近些年来,使用向量自回归(VAR)模型分析经济变量之间的关系已经非常时兴。但是,在现代控制理论、估计和修匀理论以及滤波理论所产生的许多问题中,VAR 模型还没有得到应用。这些理论中发展的大多数技术都涉及到状态空间表示法。我们已经有一种方法,找到等价于 VAR 的状态空间表示法。经验告诉我们,这种状态     

贝叶斯视角下时变参数VAR建模——兼论“斜率之谜”

中国渐进式的改革实践要求中国宏观时间序列的建模能够允许参数平滑变化,而传统的VAR模型对此无能为力。本文详细阐述了在贝叶斯估计框架下,如何利用MCMC算法,建立时变参数VAR模型的过程,并利用该模型对徐高(2008)的数据重新进行了拟合,发现其文中提出的斜率之谜现象不复存在,因此时变参数VAR模型在拟合中国宏观时间序列方面更为精准。     

试用VAR法衡量企业外汇风险

本文首先介绍了VAR历史模拟法的基本原理,然后采用相应的历史数据,对一外贸企业次日的短期外汇风险进行了实际预测.通过对次日数据的检验,发现采用VAR历史模拟法预测次日的外汇风险与实际结果相吻合.     

滇中城市经济圈房地产价格传导研究

本论文主要分析滇中城市经济圈昆明,玉溪,曲靖,楚雄,武定房价的传导效应。首先介绍图模型DAG方法的基本原理和算法,且建立房价指数的VAR模型,通过对VAR模型各项之间的偏相关系数分析,确定各个变量之间的同期因果关系,为结构VAR模型的过度识别提供限制。通过方差分解对房价传导的动态因果关系和强度的分析,其实证结果对预测有交互影响的区域内不同城市的房价变动趋势具有很强的借鉴意义。     

RAROC和VAR在贷款定价中的综合应用

建立科学的贷款定价机制,对于商业银行的经营具有重大意义。本文是基于VAR技术的RAROC模型为贷款定价。在RAROC模型框架下,用基于Gaussian模型的VAR来测算贷款的经济资本,并应用于RAROC模型。用两模型的相结合,有效综合度量信用风险与市场风险,来为银行贷款合理定价。     

基于VAR模型的经济增长相关因素研究

利用VAR模型对影响经济增长的因素进行检验。     

Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective

The risk–return trade-off refers to the compensation required by investors for bearing risks, which can be viewed as the risk preference of investors in a market. The current study investigates the dynamic interdependence of risk–return trade-offs between China’s stock market and the crude oil market from the perspective of risk preference of investors, which is designed to explore the transmission process of investors’ risk preference in both markets. Specifically, this study applies the time-varying parameter GARCH-M model, namely TVP-GARCH-M model, to characterize the time-dependent risk–return trade-offs (investors’ risk preferences) in the crude oil and China’s stock markets, then examines their relationship through Granger causality tests. Results show that a variation in risk preferences of the oil market investors can dramatically cause a variation in risk preferences of the Chinese stock market investors, while the risk preference of investors in the Chinese stock market does not lead to that in the crude oil market, which is in accordance with expectations. The dynamic effect of investors’ risk appetite in the crude oil market is further examined by the TVP-VAR model. The findings of this work suggest that there generally exists a positive impact of investors’ risk preference in the oil market and that the effect is time-varying to a greater degree during the short and medium term. Moreover, responses of the Chinese stock market investors’ risk preference were more significant during the 2008 financial crisis. Additionally, the empirical results remain robust when applying alternative crude oil prices and China’s stock prices.     

中国股市β系数的多尺度特性分析

本文提出一种基于小波方差和小波协方差的β系数估计方法,并通过小波方差和小波协方差的多尺度分解估计出不同尺度上的风险系数,用该方法对中国证券A股市场分行业及投资组合的β系数进行了多尺度估计分析。实证结果表明,我国股市具有复杂的多尺度波动的特征,不同时间尺度上证券市场所表现出的风险不一样,短期投资的风险主要表现在高频波动,投资者应当考虑低尺度下的β系数,而长期投资风险主要表现为低频波动,应当考虑大尺度下的β系数。     

基于流动性调整CAViaR模型的风险度量方法

本文提出了流动性风险度量的一个新的方法,流动性调整的CAViaR模型。该模型能够直接反映资产流动性的变动对未来风险的影响,并在此基础上计算资产未来经过流动性调整的风险VaR,从而使投资者能够更好地管理风险,尤其是流动性风险。实证研究表明,该模型能够较好地刻画中国股市流动性风险的动态变化特征;并且发现股票流动性的大幅下降通常导致未来风险明显加大,且正向流动性下降所带来的风险往往较负向流动性要更大,因此更值得投资者关注。     

The Valuation Differential between Class A and B Shares: Country Risk in the Chinese Stock Market

The Chinese stock market has been characterized by a strict segmentation between domestic and foreign investors, with listed companies issuing Class A shares to domestic, and Class B shares to foreign, investors, respectively. Entitled to the same rights and obligations, however, the two classes of shares are traded at significantly different prices. The valuation differential is attributable to the different sets of investment opportunities available to domestic versus foreign investors and their risk tolerance. Foreign investors would require a higher rate of return to adjust for the country‐specific risk related to the Chinese stock market. The country risk of China can be decomposed into political risk, exchange rate risk, interest rate risk and market risk. Empirical tests provide strong evidence to support the decomposition model, showing the political risk of China as an important component.     

Wealth effects of time variation in investor risk preferences

We investigate the source of risk premiums: individual risk preferences. By examining the wealth characteristics of agents of different risk preferences, we study the financial incentive of investors to demonstrate different risk preferences. To accomplish this, we model the stock market utilizing artificial adaptive agents. If investors have incentive to vary their risk preferences, or if investors of a constant risk preference vary the way they participate in the market under different market conditions, this could lead to time variation in market risk premiums. We find that agents have significant incentive to demonstrate different risk preferences under different market conditions.(JEl G12)     

The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market

Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability.     

CAPM模型在上海股票市场的有效性检验

根据资本资产定价模型(CAPM),从上海A股市场随机抽取100支股票,计算它们的收益率,选择上证综合指数为市场组合的市场指数,并利用双层回归分析方法对2007年1月1日至2011年12月31日这段时间的100支股票进行实证检验。虽然很多国外研究表明,CAPM模型在一定程度上能够解释市场收益,并在资产估价、资本预算、投资风险分析方面已经得到了广泛应用,同时也有利于投资者构建最优的证券投资组合,但本文实证研究结果发现,CAPM模型并不适合中国的股票市场,股票预期收益率和系统风险之间不仅不存在正相关的关系,而且也不存在线性关系,除了系统风险外,非系统风险在解释股票收益上也具有一定的作用。     

基金股票仓位与A股市场走势相关性研究

在划分股市牛熊周期的基础上,采用VECM模型和VAR方法对基金股票仓位变动与股票市场走势之间关系进行研究,结果表明基金股票仓位与股票市场收益率二者之间的关系存在着显著性和非稳定性,即基金作为主要机构投资者对股票市场的走势具有重要影响作用,而在股市的各个不同阶段,基金持仓比例的波动与A股指数收益率二者之间的关系各不相同。     

基于游程检验的上海股票市场弱式有效性研究

有效市场假说理论是股票市场理论研究的基础之一,股票市场的有效性对政府的监管和投资者的投资策略都有着重要影响。本文选取2006年至2010年上海股票市场的一系列指数的日收盘价进行游程检验,得出上海股票市场是弱式有效市场的结论。     

Risk reporting and stock return in the UK: Does market competition Matter?

This study examines the extent to which market competition influences risk reporting practice. It also explores how market competition affects the usefulness of risk reporting. The automated textual analysis measures the level of risk reporting [how much to report] and its tone [how it is reported] of UK FTSE 350 firms. The abnormal stock return is used as a proxy for the usefulness of risk reporting. In contrast to the proprietary cost hypothesis, our results indicate that the level of risk reporting is a positive function of market competition. Besides, UK firms are likely to disseminate more (less) negative (positive) news about their risks when market competition increases. However, after examining the informativeness of this reporting, we provide evidence that the level of reported risk information does not significantly enhance the abnormal stock returns of UK firms. Nevertheless, the tone of the reported risks carries incremental information indicative of a firm’s abnormal stock return, especially when market competition decreases. The findings suggest that firms are likely to alleviate their proprietary costs by framing their reporting of risk information in a way that deters potential competitors from entering their market and that market competition diminishes the perceived informativeness of such reporting. The results provide implications for investors as they should not acknowledge the disclosure of higher risk information when asking for more corporate transparency, as it lacks informativeness. Besides, policymakers may impose extra compulsory requirements on the UK firms to avoid reporting overly optimistic risk news to protect investors and avoid the adverse effects of this reporting.