基于RiskMetrics模型的国债指数风险研究

RiskMetrics模型是一组被广泛应用的金融风险管理工具,其核心技术是在险价值(VaR)方法。研究这种对线性金融工具计算VaR的简单方法。其中,用指数加权移动平均方法(EWMA)来计算收益率的波动,用最小RMSE标准来确定最优衰减因子。通过对上证国债指数的实证研究,计算最优的衰减因子和国债指数的每日VaR值。从中可以看出,上证国债指数的波动性较大,并且每日VaR的预测结果与所假设的置信水平能够很好的吻合。

Research on National Bond Index Risk Based on RiskMetrics Model

RiskMetrics model has been applied widely as a set of management tools against financial risks,and its core technology is Value-at-Risk.This paper discusses a simple VaR method for linear instrument in which the volatility of return is computed by the Exponentially Weighted Moving Average(EWMA) method,and the optimal decay factor is determined by the Root Mean Squared Error(RMES) criterion.An empirical research based on the data of ShangZheng national bond index,the optimal decay factor and daily VaR indicates that the volatility of ShangZheng national bond index is high,while the daily VaR forecasts are well mapped at the supposed confidence level.