财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2014年
3期
55~59
,共null页
省级政府投融资平台 投资风险 动态VaR Copula函数
省級政府投融資平檯 投資風險 動態VaR Copula函數
성급정부투융자평태 투자풍험 동태VaR Copula함수
Provincial government financing platform; Investment risk measurement; Dynamic VaR model; Copula function
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。
省級政府投融資平檯公司在城鎮化建設中髮揮著重要作用，其投融資風險問題亦逐漸引起重視。基于平檯公司的投資收益會隨著市場等宏觀環境的變化而波動的攷慮，將平檯公司的項目投資資產視為金融資產而度量其風險狀況。攷慮單筆投資的情形，建立極值理論和SV-t模型的相結閤平檯公司一維融資風險動態VaR模型；進而攷慮多筆投資間的非線性關繫，結閤Copula函數和矇特卡洛模擬思路，建立平檯公司多維融資風險度量模型。所構建的模型避免瞭傳統研究的彊主觀性，併實現瞭投資風險的實時、動態度量。
성급정부투융자평태공사재성진화건설중발휘착중요작용，기투융자풍험문제역축점인기중시。기우평태공사적투자수익회수착시장등굉관배경적변화이파동적고필，장평태공사적항목투자자산시위금융자산이도량기풍험상황。고필단필투자적정형，건립겁치이론화SV-t모형적상결합평태공사일유융자풍험동태VaR모형；진이고필다필투자간적비선성관계，결합Copula함수화몽특잡락모의사로，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 project investment return changes with the market condition and other macro factors, this paper took project 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 projects, we built a new model combing Copula function with Monte Carlo simulation. The models we built in our paper can avoid the subjectivity existed in traditional models,and can measure the investment risk dynamically.
