证券投资基金市场风险与信用风险度量及其关系研究
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引用本文:谢赤1, 2,胡扬斌1,龙剑友1.证券投资基金市场风险与信用风险度量及其关系研究[J].财经理论与实践,2019,(3):52-58
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谢赤1, 2,胡扬斌1,龙剑友1 (1. 湖南大学 工商管理学院湖南 长沙410082 2. 湖南大学 金融与投资管理研究中心湖南 长沙410082) 
中文摘要:运用VaR模型和KMV模型分别度量证券投资基金的市场风险和信用风险,并基于面板向量自回归模型(PVAR)考量两者之间的相互作用关系。结果表明:基金投资同时存在市场风险和信用风险,且它们互为Granger原因。同时,信用风险显著受前一期市场风险的正向影响,而市场风险显著受前一期信用风险的负向影响。因此,在衡量基金投资的总风险时,必须充分考虑其市场风险与信用风险之间的耦合关系。
中文关键词:证券投资基金  市场风险  信用风险  PVAR模型
 
Research on Market Risk and Credit Risk of Securities Investment Funds and Their Relationship
Abstract:The VaR model and the KMV model are used to measure the market risk and credit risk of the securities investment fund respectively, and the interaction between them was investigated based on panel vector autoregressive model (PVAR). The results show that fund investment has both market risk and credit risk, and they are Granger causes to each other. At the same time, credit risk is significantly affected by the positive impact of the previous market risk; and market risk is significantly affected by the negative impact of the previous period of credit risk. Therefore, in measuring the total risk of fund investment, we must fully consider the coupling relationship between market risk and credit risk.
keywords:securities investment fund  market risk  credit risk  PVAR model
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