财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2010年
2期
16~20
,共null页
汇率风险 DCC—GARCH模型 动态CVaR Mean—CVaR模型
彙率風險 DCC—GARCH模型 動態CVaR Mean—CVaR模型
회솔풍험 DCC—GARCH모형 동태CVaR Mean—CVaR모형
Exchange rate risk ; DCC GARCH model ; Dynamic CVaR ; Mean-CvaR model
利用DCC—GARCH模型结合条件风险价值CVaR描述了我国外汇储备的汇率风险，结果显示近期汇率风险有增加趋势。为了降低汇率风险，根据资产管理思想，通过建立Mean—CVaR模型得出了最优的币种结构。最后，对储备币种调整前后的CVaR进行了对比分析，结果显示通过币种调整汇率风险明显降低。
利用DCC—GARCH模型結閤條件風險價值CVaR描述瞭我國外彙儲備的彙率風險，結果顯示近期彙率風險有增加趨勢。為瞭降低彙率風險，根據資產管理思想，通過建立Mean—CVaR模型得齣瞭最優的幣種結構。最後，對儲備幣種調整前後的CVaR進行瞭對比分析，結果顯示通過幣種調整彙率風險明顯降低。
이용DCC—GARCH모형결합조건풍험개치CVaR묘술료아국외회저비적회솔풍험，결과현시근기회솔풍험유증가추세。위료강저회솔풍험，근거자산관리사상，통과건립Mean—CVaR모형득출료최우적폐충결구。최후，대저비폐충조정전후적CVaR진행료대비분석，결과현시통과폐충조정회솔풍험명현강저。
In this paper, the exchange rate risk of China＇s foreign exchange reserve is described by DCC-GARCH model combining with CVaR. The results show the risk is increasing recently. To avoid risks, optimal currency composition has been obtained from building a Mean-CVaR model based on asset management theories. In the end, a comparison analysis of the CVaR values before and after the adjustment shows the risks have reduced greatly.
