【正文】 更大的風(fēng)險(xiǎn)。因此，研究我國(guó)基金收益和風(fēng)險(xiǎn)是否對(duì)等，具有很強(qiáng)的現(xiàn)實(shí)意義 。 但是我們 不得不承認(rèn)， 我國(guó)金融市場(chǎng) 尚 不成熟， 投機(jī)氛圍濃烈，市場(chǎng)風(fēng)險(xiǎn)變動(dòng)較大 。 學(xué)校編碼： 分類號(hào) 密級(jí) 學(xué)號(hào)： UDC 碩 士 學(xué) 位 論 文 基于 VaR 的中國(guó)開(kāi)放式基金收益與風(fēng)險(xiǎn)關(guān)系實(shí)證研究 The Empirical Study on the Relationship between Chinese Openend Funds’ Return and Risk Based on VaR 指導(dǎo)教師姓名： 一級(jí)學(xué)科名稱： 應(yīng)用經(jīng)濟(jì)學(xué) 二級(jí)學(xué) 科名稱： 金融工程學(xué) 論文答辯時(shí)間： I 摘 要 自 1997 年 11 月《證券投資基金管理暫行辦法 》頒布實(shí)施以來(lái)，經(jīng)過(guò)十幾年的快速發(fā)展，中國(guó)證券投資基金以其專業(yè)投資管理、理性投資行為， 成為我國(guó)證券市場(chǎng)上主要的機(jī)構(gòu)投資者 之一。 與之伴隨的 ， 是 我國(guó)證券投資基金基民隊(duì)伍 的 迅速發(fā)展。 尤其是 金融危機(jī)之后， 證券投資基金表現(xiàn)不盡 人意， 與其他權(quán)益 類 高風(fēng)險(xiǎn)投資工具相比，并沒(méi)有表現(xiàn)出 ―低風(fēng)險(xiǎn) 低收益 ‖的特性 。 現(xiàn)代投資組合理論認(rèn)為：風(fēng)險(xiǎn)和收益之間存在著正相關(guān)關(guān)系，投資組合面臨的風(fēng)險(xiǎn)越大，投資者要求的風(fēng)險(xiǎn)溢價(jià)就會(huì)越高，即期望收益也就越高。 然而 ，最近很多學(xué)者發(fā)現(xiàn)， 在公司戰(zhàn)略領(lǐng)域存在 ―風(fēng)險(xiǎn) 收益悖論 ‖，即高風(fēng)險(xiǎn)低利潤(rùn)和低風(fēng)險(xiǎn)高利潤(rùn)現(xiàn)象。 換句話說(shuō)，股票的風(fēng)險(xiǎn)和回報(bào)應(yīng)該成反比才對(duì)。 VaR(Value at Risk)在險(xiǎn)價(jià)值，建立在嚴(yán)謹(jǐn)?shù)目茖W(xué)基礎(chǔ)之上，利用統(tǒng)計(jì)思想，為用戶提供了衡量市場(chǎng)風(fēng)險(xiǎn)的綜合性方法。由于其在風(fēng)險(xiǎn)衡量方面的前瞻性，已成為世界上衡量金融市場(chǎng)風(fēng)險(xiǎn)的關(guān)鍵技術(shù)。許多研究結(jié)果表明， VaR 能真實(shí)地反映基金風(fēng)險(xiǎn)， 將 在險(xiǎn)價(jià)值運(yùn)用到證券投資基金風(fēng)險(xiǎn)度量具有很大的價(jià)值。 本文主要檢驗(yàn)我國(guó)證券投資基金收益和 VaR、 ΔVaR是否存在相關(guān)性、存在什么樣的相關(guān)關(guān)系以及相關(guān)性是否會(huì)隨著時(shí)間、經(jīng)濟(jì)狀況的變化而變化 。 其 中非參數(shù) VaR 通過(guò)歷史模擬法計(jì)算，參數(shù) VaR 分別采用 Cornish 和 Fisher 擴(kuò)展模型和 GARCH 模型。其后 依 2020 年 10 月為分割點(diǎn)，把樣本分為兩個(gè)子樣本：前危機(jī)時(shí)期和后危機(jī)時(shí)期，進(jìn)一步發(fā)現(xiàn)危機(jī)前時(shí)期收益率和 VaR 存在著 較 強(qiáng)的正相關(guān)，但是在后危機(jī)時(shí)期，收益率和 VaR呈現(xiàn)負(fù)相關(guān)關(guān)系。 采取同樣的方法本文發(fā)現(xiàn)：從整個(gè) 樣本時(shí)期來(lái)看，較低的 ΔVaR 對(duì)應(yīng)著較高的收益率，但是前危機(jī)時(shí)期較低的 ΔVaR和較高 ΔVaR 都對(duì)應(yīng)著較高的收益率，這意味著基金經(jīng)理在牛市中大幅降低風(fēng)險(xiǎn)和增加風(fēng)險(xiǎn)都能獲得較高收益； 后危機(jī)時(shí)期，收益率和 ΔVaR 存在負(fù)相關(guān)關(guān)系，這種負(fù)相關(guān)性意味著在金融危機(jī)時(shí)期，減小證券投資基金風(fēng)險(xiǎn)可以增大基金收益。 關(guān)鍵詞 ：風(fēng)險(xiǎn)收益關(guān)系， Value at Risk，橫截面回歸， GARCH I ABSTRACT Since November 1997, Interim Measures on Securities Investment Fund Management promulgated, after ten years of rapid development, China39。s securities investment fund investors is growing rapidly. But we also have to admit, due to China39。s securities investment fund return and risk relationship. VaR (Value at Risk), based on rigorous scientific basis and the use of statistical thinking, provides users a prehensive measure of market risk at risk is a probalistic method of measuring the potential loss in portfolio value over a given time period and for a given distribution of historical at risk has risen above other risk measures as the dominating method II of quantifying risk. Since 1994 ,JP Morgan has firstly used VaR in its annual report to disclose their financial risks, VaR has quickly bee the new standard for global financial risk management. Many studies show that, VaR can truly reflect the Fund39。s risks. In this paper, we mainly test the relationship between return and risk(Var, ΔVaR) ,and test whether the correlation changes over time in different economic the paper,we use the natural logarithm difference of the sample data as the Fund’s the return does not meet the normal distribution, so we respectively use parametric and nonparametric methods to measure risk to cover the tail calulate nonparametric VaR by historical simulation method, parameters VaR by Cornish and Fisher extended model and GARCH models. By constructing the portfolio level and fund crosssectional regression analysis, the paper found that there is a weak positive correlation between fund returns and VaRs (parameters, nonparametric). Then,we divided the sample into two subsamples: precrisis period and the postcrisis period by October 2020 as a division point, and further found that there is a strong positive correlation between the precrisis period rate of return and VaR, but in the postcrisis period, there is a strong negative correlation. This explains to some extent that highrisk may not bring highyield. Take the same approach we found that: the entire sample period from the point of view, the lower ΔVaR corresponds to a higher rate of return, but before the crisis higher ΔVaR and lower ΔVaR corresponds to a higher rate of return, which means fund managers in reducing and increasing risk in a bull market access to higher ine risk. Postcrisis period, there is a negative correlation between the rate of return and ΔVaR, negative correlation means that, reducing the risk of securities investment funds can increase the ine of the Fund in the financial crisis. This article also found Bali, Gokcan and Liang (2020) based on samples of the proposed precrisis hedge fund investment strategies in the market, abnormal fluctuations invalid. III Key Words: Riskreturn relationship,Value at Risk,Crosssectional regression, GARCH I 目 錄 1 導(dǎo)論 ........................................................................................................................... 1 選題背景 ........................................................................................................... 1 研究意義 ........................................................................................................... 1 本文結(jié)構(gòu)和主要特色 ....................................................................................... 2 本文結(jié)構(gòu) ................................................................................................. 2 ..................................................................................................... 2 2 文獻(xiàn)綜述 .................................................................................................................. 4 證券投資基金風(fēng)險(xiǎn)衡量方法文獻(xiàn)綜述 ........................................................... 4 風(fēng)險(xiǎn)和收益關(guān)系文獻(xiàn)綜述 ............................................................................... 6 3 相關(guān)理論介紹 ........................................................................................................ 9 證券投資基金概述 ........................................................................................... 9 風(fēng)險(xiǎn)價(jià)值 VaR ................................................................................................. 10 風(fēng)險(xiǎn)價(jià)值 VaR 概述 .............................................................................. 10 計(jì)算時(shí)，定量因素的選擇 ............................................................ 12 衡量風(fēng)