经济研究导刊
經濟研究導刊
경제연구도간
ECONOMIC RESEARCH GUIDE
2015年
15期
289-293
,共5页
静态模型%动态模型%VaR%ES
靜態模型%動態模型%VaR%ES
정태모형%동태모형%VaR%ES
static model%dynamic model%VaR%ES
选取上海证券交易所金融、工业指数的收盘价为观察对象，分别对静态及动态模型、上证金融及工业指数的风险程度以及不同置信水平下的度量准确性进行了比较研究，结果表明：动态风险度量模型对VaR、ES的度量比静态模拟更加准确；上证金融指数的风险程度要略高于上证工业指数的风险程度；置信度为99%时度量风险模型要比置信度为95%时更加精确。
選取上海證券交易所金融、工業指數的收盤價為觀察對象，分彆對靜態及動態模型、上證金融及工業指數的風險程度以及不同置信水平下的度量準確性進行瞭比較研究，結果錶明：動態風險度量模型對VaR、ES的度量比靜態模擬更加準確；上證金融指數的風險程度要略高于上證工業指數的風險程度；置信度為99%時度量風險模型要比置信度為95%時更加精確。
선취상해증권교역소금융、공업지수적수반개위관찰대상，분별대정태급동태모형、상증금융급공업지수적풍험정도이급불동치신수평하적도량준학성진행료비교연구，결과표명：동태풍험도량모형대VaR、ES적도량비정태모의경가준학；상증금융지수적풍험정도요략고우상증공업지수적풍험정도；치신도위99%시도량풍험모형요비치신도위95%시경가정학。
select the financial and industrial index of the Shanghai stock exchange for the object of observation,respectively for the static and dynamic model,the degree of risk of Shanghai financial and industrial index and the accuracy of measurement under different confidence level carried on the comparative study.the results show that:for the measurements of VaR and ES,dynamic risk measurement model is more accurate than static risk measurement model;Shanghai financial index of degree of risk is higher than the Shanghai industrial average degree of risk;confidence measure risk model of 99% is more accurate than the confidence level of 95%.
