项目名称: 复杂环境下资产定价与风险管理的金融计量理论及其应用
项目编号: No.71331006
项目类型: 重点项目
立项/批准年度: 2014
项目学科: 管理科学
项目作者: 周勇
作者单位: 中国科学院数学与系统科学研究院
项目金额: 227万元
中文摘要: 资产定价和风险管理是现代金融理论的两大核心问题。由于复杂的经济和金融环境、市场微观结构及数据复杂性,特别地、金融市场的不确定性和非对称性,(超)高维和高频数据,直接影响着资产的定价及风险管理理论与方法,从而给金融计量理论和方法带来极大的挑战。微观层面上,本项目将从随机波动模型入手,研究非对称波动和高频数据的资产定价和风险管理理论与方法,包括(1)股市波动特征和杠杆效应;(2)风险资产资产定价,(3)动态最优套期保值策略;以及市场微观噪声高频金融数据的积分波动率和协方差矩阵的估计,以及大型投资组合选择和优化。宏观层面上,本项目将在一个全面系统性风险计量框架下,综合考虑宏观环境、信用环境以及流动性等风险因子的系统风险度量,以及复杂风险因素下极端金融风险识别和度量。本项目将创新发展金融计量学的理论与方法,并能够为我国金融体系的安全运行提供深刻的实证依据和切实可行的政策建议。
中文关键词: 资产定价;风险管理;随机波动率;高频数据;风险因素
英文摘要: Asset pricing and risk management are the core issues in modern finance theory. The complexity of economic and financial environment, microstructure of financial markets and data generating process, particularly the asymmetric and volatile, the ultra-high dimension and high frequency data, pose great challenges to financial econometric modeling and theory. On microstructure, this project will investigate asset pricing and risk management with a stochastic volatility model for asymmetrically volatile and high frequency data. Specifically, we will study: (1) the characteristics of market volatility and leverage effect; (2) pricing of risky assets; (3) dynamic portfolio management strategy; (4) estimation of integrated volatility and covariance matrix for high frequency noise data; and (5) high dimension portfolio optimization. At the macro level, the proposed project shall study the measurement of the system risk in an econometric model setting incorporating factors such as the macroeconomic environment, credit environment and liquidity, as well as the identification and estimation of the extreme risk. The proposed project will contribute to the financial econometric theory and methodology, provide quantitative underpinning for government policies to ensure safe functioning of the financial system in China.
英文关键词: Asset Pricing;Risk Managemnt;Stochastic Volatility ;High Frequency Data ;Risk Factors