【正文】 對(duì)市場(chǎng)風(fēng)險(xiǎn)影響因子的 分析提出市場(chǎng)風(fēng)險(xiǎn)控制的建議。 本文首先分析了研究的必要性和可行性，而后總結(jié)已有的研究成果，對(duì)VaR 方法在國(guó)內(nèi)外的應(yīng)用現(xiàn)狀進(jìn)行分析。 VaR（ Value at Risk）是度量、識(shí)別和管理市場(chǎng)風(fēng)險(xiǎn)的先進(jìn)工具，也是巴塞爾委員會(huì)推薦的市場(chǎng)風(fēng)險(xiǎn)管理內(nèi)部模型?；诟鳈C(jī)構(gòu)面臨更多的風(fēng)險(xiǎn)和更復(fù)雜的金融工具的事實(shí)，全球市場(chǎng)風(fēng)險(xiǎn)管理系統(tǒng)是必需和合理的。 20 世紀(jì) 90 年代以來，國(guó)外金融危機(jī)頻頻爆發(fā)，市場(chǎng)風(fēng)險(xiǎn)管理的重要性也越來越凸顯。畢業(yè)設(shè)計(jì)（論文） I 摘要 多年來，中國(guó)民營(yíng)經(jīng)濟(jì)在國(guó)民經(jīng)濟(jì)中的地位不斷提升，已發(fā)展到“三分天下有其一”的地步。伴隨著改革深化，社會(huì)發(fā)展，民營(yíng)企業(yè)面對(duì)更加復(fù)雜和更具挑戰(zhàn)性的經(jīng)濟(jì)社會(huì)環(huán)境。特別是 2020 年爆發(fā)的金融危機(jī)，表面上這是由信用風(fēng)險(xiǎn)引起，而更深層次的原因則是市場(chǎng)風(fēng)險(xiǎn)的轉(zhuǎn)移造成了市場(chǎng)的泡沫化繁榮。在各種市場(chǎng)風(fēng)險(xiǎn)管理方法中， VaR 方法最為引人矚目。與其他衡量方法相比， VaR 對(duì)投資組合的整體風(fēng)險(xiǎn)概況提供了一種前瞻性的描述，因此可以更有效更積極的管理市場(chǎng)風(fēng)險(xiǎn)。其次，介紹了 VaR 的核心思想和計(jì)算方法。 關(guān)鍵詞 民營(yíng)企業(yè)；市場(chǎng)風(fēng)險(xiǎn)； VaR 模型 畢業(yè)設(shè)計(jì)（論文） II Abstract Over the years, Chinese private economy has developed to the situation of one of the three points in the world in the national economy. With the deepening reform and social development, private enterprises face even more plex and more challenging economic and social environment. Since the 1990s, foreign financial crisis erupted repeatedly. The importance of risk management is being more and more prominent. Especially in 2020 the outbreak of the financial crisis, it is caused by the credit risk superficially, but the deeper reason is the transfer of market risk which produces frothy prosperity of the market. Based on the facts that anizations are facing more risk and more plex financial instruments, global market risk management system is necessary and reasonable. In all kinds of market risk management method, the most remarkable method is VaR. VaR, . value at risk, is not only an advanced tool in measure, identification and management of market ris k, but also the internal model in risk management remended by Basel mittee. Compared with other measures, VaR offers a prospective description for the overall risk of investment portfolio, and thus can be more effective and more active in market risk management. This paper first analyzes the necessity and feasibility of the research, and then summarizes the existing research results, furthermore analyses the application of the method at home and abroad. Secondly, this paper introduces the core ideas and calculation method of VaR. Finally, it calculates the day returns of private enterprises. Then on the bases of statistical characteristic, it selects the appropriate measure method. Through the results contrast and validity check this paper tries to find a suitable measurement model for private enterprises, and attempts to give suggestion on market risk control. Keywords The private enterprise。 VaR model 畢業(yè)設(shè)計(jì)（論文） I 目錄 摘要 .............................................................................................................................. I Abstract ..................................................................................................................... II 第 1 章 緒論 ............................................................................................................... 1 課題背景 .......................................................................................................... 1 課題研究的可行性和必要性 ......................................................................... 2 對(duì)中小板民營(yíng)企業(yè)市場(chǎng)風(fēng)險(xiǎn)管理研究的可行性 ................................ 2 對(duì)中小板民營(yíng)企業(yè)市場(chǎng)風(fēng)險(xiǎn)管理研究的必要性 ................................ 2 文獻(xiàn)綜述 .......................................................................................................... 3 國(guó)外研究現(xiàn)狀 .......................................................................................... 3 國(guó)內(nèi)研究現(xiàn)狀 .......................................................................................... 4 本文的研究方法和主要觀點(diǎn) ......................................................................... 6 第 2 章 中小板民營(yíng)企業(yè)市場(chǎng)風(fēng)險(xiǎn)的管理 ............................................................. 7 中小板民營(yíng)企業(yè)的識(shí)別 ................................................................................. 7 市場(chǎng)風(fēng)險(xiǎn)的度量 ............................................................................................. 8 市場(chǎng)風(fēng)險(xiǎn)的特征 ...................................................................................... 8 市場(chǎng)風(fēng)險(xiǎn)的度量方法 .............................................................................. 9 在險(xiǎn)價(jià)值 VaR 方法 ...................................................................................... 10 VaR 定義 .................................................................................................. 10 VaR 的核心思想 ..................................................................................... 12 VaR 計(jì)算的基本原理 ............................................................................. 13 計(jì)算 VaR 的主要方法 ........................................................................... 14 與其他風(fēng)險(xiǎn)度量方法的比較 ............................................................... 17 第 3 章 VaR 度量中小板民營(yíng)企業(yè)的市 場(chǎng)風(fēng)險(xiǎn) .................................................. 19 度量方法及變量的選擇 ............................................................................... 19 VaR 度量中小板民營(yíng)企業(yè)市場(chǎng)風(fēng)險(xiǎn)的分析 ............................................... 20 數(shù)據(jù)分析 ................................................................................................. 20 模型的建立 ............................................................................................ 24 VaR 的計(jì)算結(jié)果與分析 ......................................................................... 26 準(zhǔn)確性檢驗(yàn) .................................................................................................... 27 第 4 章 市場(chǎng)風(fēng)險(xiǎn)管理建議 .................................................................................... 30 畢業(yè)設(shè)計(jì)（論文） II 民營(yíng)企業(yè)面臨的主要市場(chǎng)風(fēng)險(xiǎn) .................................................................. 30 民營(yíng)企業(yè)市場(chǎng)風(fēng)險(xiǎn)管理建議 ....................................................................... 31 結(jié)論 ........................................................................................................................... 33 參考文獻(xiàn) ....................................................................................