CAJ | 학술논문

省级政府投融资平台公司在城镇化建设中发挥着重要作用，其投融资风险问题亦逐渐引起重视。基于平台公司的投资收益会随着市场等宏观环境的变化而波动的考虑，将平台公司的项目投资资产视为金融资产而度量其风险状况。考虑单笔投资的情形，建立极值理论和 SV-t模型的相结合平台公司一维融资风险动态 VaR模型；进而考虑多笔投资间的非线性关系，结合 Copula 函数和蒙特卡洛模拟思路，建立平台公司多维融资风险度量模型。所构建的模型避免了传统研究的强主观性，并实现了投资风险的实时、动态度量。
성급정부투융자평태공사재성진화건설중발휘착중요작용，기투융자풍험문제역축점인기중시。기우평태공사적투자수익회수착시장등굉관배경적변화이파동적고필，장평태공사적항목투자자산시위금융자산이도량기풍험상황。고필단필투자적정형，건립겁치이론화 SV-t모형적상결합평태공사일유융자풍험동태 VaR모형；진이고필다필투자간적비선성관계，결합 Copula 함수화몽특잡락모의사로，건립평태공사다유융자풍험도량모형。소구건적모형피면료전통연구적강주관성，병실현료투자풍험적실시、동태도량。
The Provincial Government financing platform plays an important role in the process of urbanization,and its financing risk is getting more attention.Considering that the pro-j ect investment return changes with the market condition and other macro factors,this paper took proj ect investments as typical financial assets to measure their risks.For single investments,we built a dynamic VaR model combing SV-t model with the extreme value theory.Considering the nonlinear relationship between multiple financing proj ects,we built a new model combing Copula function with Monte Carlo simulation.The models we built in our paper can avoid the subj ectivi-ty existed in traditional models,and can measure the investment risk dynamically.