I 摘要 本文以ZY公司作为案例研究主体，通过对案例公司经营环境分析，得出提 升风险控制能力是案例企业发展的关键，进一步对ZY公司所面临的的风险进行 评估，得出其面临的最主要的风险为市场风险。基于VaR方法的特性，从理论 层面初步提出利用VaR模型优化ZY公司现有市场风险控制机制。并进一步对 VaR用于度量我国A股市场中的个股和投资组合尾部风险的有效性进行检验。 在获得理论基础和实证检验数据后，借助回溯测试的方式，研究将VaR模型应 用于投资实务的可行性，研究发现将VaR模型应用于提升投资组合风险收益比 和控制投资组合最大回撤均有不错的效果。 充分的实证检验后，基于检验结论和ZY公司市场风险控制中的不足提出了 具体的优化方案，包括利用VaR模型提升ZY公司对市场风险的度量精度、利用 VaR模型调整投资组合来提高组合风险收益比、利用VaR模型限制投资组合风 险暴露来控制组合最大回撤以及其他提升ZY公司市场风险控制能力的优化建议。 本文以解决具体商业问题为目标，研究结论可以帮助ZY公司提升市场风险 控制能力，有较强的实用性。本文也有许多不足之处，在实证测试时仅考虑了国 内股票市尝也仅对比了三种基础VaR计算方式在实证中的有效性，另外VaR 在实际投资的应用以及对投资组合的优化方式也可以有多种不同的选择，本文未 能更详尽的进行分析与测试。 作者期望通过本研究，不仅可以帮助ZY公司提升市场风险管理能力和企业 竞争力，同时也希望能为行业内的市场风险控制提供参考。 关键词：VaR；市场风险控制；私募证券投资基金 Abstract II Abstract In this thesis, ZY Company has been taken as the main body for case study. By analyzing the operating environment of ZY Company, a conclusion has been reached that the key to the development of ZY Company lies in improving the ability to control the risks. The risks confronted by ZY Company have been further evaluated and market risk has been identified as the principal risk. Based on the features of VaR method, it is preliminarily suggested to utilize the VaR model to optimize the existing market risk control mechanism of ZY Company from the theoretical level. VaR is further tested to measure the effectiveness when applied to assess individual stock and portfolio tail risks in China’s A-share market. Resorting to the retrospective testing, after obtaining theoretical basis and empirical test data, a research has been conducted to study the methods and effects of VaR model when employed in real investment. Pleasant effects have been achieved when applying the VaR model to raise the investment portfolio risk-return ratio and control the maximum drawdown of investment portfolio. With sufficient empirical test, a specific optimization plan was proposed, based on the test conclusions and the deficiencies in ZY Company’s market risk control mechanism, including using the VaR model to improve the accuracy of ZY Company’s market risk measurement, to adjust the investment portfolio to increase the portfolio risk-return ratio, and to limit the portfolio risk exposure to control the maximum drawdown of the portfolio along with other optimization suggestions to improve ZY Company’s market risk control ability. Aiming at providing solutions to specific business problems, the research conclusion plays a practical role in helping ZY Company to improve its market risk control ability. There have been some rough edges in this thesis, such as only taking the domestic stock market into consideration in the empirical test and the effectiveness of the very three basic VaR calculation methods in the empirical test is Abstract III compared. Multiple choices, remaining unanalyzed and tested fully, are available when it comes to the practical investment application of VaR and optimization methods of investment portfolio. It is expected that this thesis could not merely help ZY Company to improve its market risk management ability and corporate competitiveness, but also provide a reference for market risk control in the industry as well as propel the progress and development of the private equity industry. Key Words：VaR; Market Risk Control; Private Securities Investment Fund 目录 IV 目录 第一章 引言............................................................................................... 1 1.1 课题的背景及研究意义 ................................................................................... 1 1.1.1选题的背景 ...................................................................................................................... 1 1.1.2研究的意义 ...................................................................................................................... 2 1.2 国内外相关研究动态及文献综述 ................................................................... 3 1.2.1国内外研究回顾 .............................................................................................................. 3 1.2.2文献回顾评述 .................................................................................................................. 4 1.3 研究思路与框架 ............................................................................................... 5 第二章 相关概念与理论基础 .................................................................. 7 2.1 私募证券投资基金的概念与特征 ................................................................... 7 2.1.1私募证券投资基金的概念 .............................................................................................. 7 2.1.2私募证券投资基金的特征 .............................................................................................. 7 2.2 企业环境分析工具 ........................................................................................... 8 2.2.1PEST 分析法 ................................................................................................................... 8 2.2.2波特五力模型 .................................................................................................................. 9 2.3 市场风险的评估方法 ..................................................................................... 10 2.3.1波动性指标 .................................................................................................................... 10 2.3.2证券或组合的β ............................................................................................................. 11 2.3.3VaR方法 ........................................................................................................................ 11 2.4 VaR指标的原理及计算方法 ......................................................................... 11 2.4.1 VaR的原理 ................................................................................................................... 12 2.4.2常用的VaR计算方法 .................................................................................................. 12 2.5 本章小结 ......................................................................................................... 15 第三章 ZY公司当前经营状况的分析 .................................................. 16 3.1 ZY公司内部环境分析 ................................................................................... 16 3.1.1 ZY公司概况 ................................................................................................................. 16 3.1.2 ZY公司的竞争优势和劣势 ......................................................................................... 18 目录 V 3.2 ZY公司外部环境分析 ................................................................................... 19 3.2.1 宏观环境分析 ............................................................................................................... 19 3.2.2 行业竞争环境分析 ....................................................................................................... 22 3.3 本章小结 ......................................................................................................... 25 第四章 ZY公司的风险因素分析 .......................................................... 27 4.1 ZY公司面临的风险因素分析 ....................................................................... 27 4.1.1一般性风险因素分析 .................................................................................................... 27 4.1.2市场风险因