基于均值-CVaR模型的外汇储备币种配置研究

宋晓东; 韩立岩

基于均值-CVaR模型的外汇储备币种配置研究

北京航空航天大学经济管理学院, 北京 100191

基金项目: 国家自然科学基金资助项目(70831001,70821061)

详细信息

作者简介:
宋晓东(1984-),男,山东威海人,博士研究生,研究方向为金融工程.

中图分类号: F821
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出版历程
- 收稿日期: 2011-01-03
- 发布日期: 2012-03-24

Research on Currency Allocation of Foreign Exchange Reserve Based on Mean- CVaR Model

School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

摘要

摘要: 利用VAR模型来预测外汇储备各币种未来的收益率,利用DCC-GARCH模型结合条件风险价值CVaR动态地描述不同币种结构下外汇储备的风险状况。为了突出极端风险控制,通过建立均值-CVaR模型,研究不同目标收益率要求下的中国外汇储备币种的动态最优结构。结果表明,在不降低收益率的前提下,动态配置后的外汇储备CVaR风险显著降低。
- 外汇储备 /
- 币种配置 /
- DCC-GARCH模型 /
- 均值-CVaR模型
Abstract: We analyze the volatility of the exchange rate of various foreign exchange reserves based on VAR model and present dynamically the risk of the different currency structure of foreign exchange reserves by using DCC-GARCH model combining with the conditional value at risk(CVaR). Ultimately, according to Markowitz mean-variance model, we propose the mean-CVaR model to study the dynamic optimal currency structure of China-s foreign exchange reserves under different target yields. The results show that dynamic allocation can reduce the CVaR risk of foreign exchange reserves significantly at the same given yield rate.
- foreign exchange reserve /
- currency allocation /
- DCC-GARCH model /
- mean-CVaR model

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参考文献(18)

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基于均值-CVaR模型的外汇储备币种配置研究

作者简介: 宋晓东(1984-),男,山东威海人,博士研究生,研究方向为金融工程.

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出版历程

Research on Currency Allocation of Foreign Exchange Reserve Based on Mean- CVaR Model

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出版历程

目录

作者简介:
宋晓东(1984-),男,山东威海人,博士研究生,研究方向为金融工程.