金融工程视角下的数字货币风险管理研究
摘 要
本研究从金融工程视角出发，采用定量分析与案例研究相结合的方法，构建了数字货币风险测度模型，并提出了相应的风险管理策略。研究首先通过GARCH族模型对主流数字货币的波动性进行测度，发现比特币等主要数字货币具有显著的波动聚集效应和杠杆效应；其次运用Copula函数分析数字货币与传统金融资产的相关性结构，揭示了其在投资组合中的风险分散价值；最后基于VaR和CVaR方法评估了不同市场情境下的尾部风险。针对这一现象，本研究创新性地提出了基于智能合约的动态对冲策略和跨市场套利机制，为投资者提供了更为有效的风险管理工具。研究成果不仅丰富了金融工程理论在数字货币领域的应用，也为监管机构制定相关政策提供了实证依据，对促进数字货币市场的健康发展具有重要的理论和实践意义。
关键词：数字货币 风险管理 GARCH模型
Abstract
From the perspective of financial engineering, this study uses a combination of quantitative analysis and case study to construct a digital currency risk measurement model, and proposes the corresponding risk management strategy. Firstly, we measured the volatility of mainstream digital currency through the GARCH family model, and found that major digital currencies have significant fluctuation aggregation effect and leverage effect; Secondly, we analyzed the correlation structure between digital currency and traditional financial assets, and revealed the risk diversification value in the portfolio; finally, we evaluated the tail risk in different market situations based on VaR and CVaR methods. In view of this phenomenon, this study innovatively proposes the dynamic hedging strategy and cross-market arbitrage mechanism based on smart contracts, which provides investors with more effective risk management tools. The research results not only enrich the application of financial engineering theory in the field of digital currency, but also provide an empirical basis for the regulatory agencies to formulate relevant policies, which has important theoretical and practical significance for promoting the healthy development of the digital currency market.
Keyword:Digital currency risk management GARCH model
目 录
1绪论 1
1.1研究背景和意义 1
1.2研究现状 1
2数字货币风险特征分析 2
2.1数字货币市场波动性特征 2
2.2数字货币流动性风险分析 2
2.3数字货币技术安全风险评估 3
3金融工程工具在风险管理中的应用 4
3.1衍生品工具在价格风险管理中的应用 4
3.2VaR模型在数字货币风险评估中的运用 4
3.3智能合约在风险控制中的创新应用 5
4数字货币风险管理体系构建 5
4.1基于金融工程的风险预警机制设计 5
4.2多层次风险对冲策略研究 6
4.3监管科技在风险管理中的应用探索 7
5结论 7
参考文献 9
致谢 10
摘 要
本研究从金融工程视角出发，采用定量分析与案例研究相结合的方法，构建了数字货币风险测度模型，并提出了相应的风险管理策略。研究首先通过GARCH族模型对主流数字货币的波动性进行测度，发现比特币等主要数字货币具有显著的波动聚集效应和杠杆效应；其次运用Copula函数分析数字货币与传统金融资产的相关性结构，揭示了其在投资组合中的风险分散价值；最后基于VaR和CVaR方法评估了不同市场情境下的尾部风险。针对这一现象，本研究创新性地提出了基于智能合约的动态对冲策略和跨市场套利机制，为投资者提供了更为有效的风险管理工具。研究成果不仅丰富了金融工程理论在数字货币领域的应用，也为监管机构制定相关政策提供了实证依据，对促进数字货币市场的健康发展具有重要的理论和实践意义。
关键词：数字货币 风险管理 GARCH模型
Abstract
From the perspective of financial engineering, this study uses a combination of quantitative analysis and case study to construct a digital currency risk measurement model, and proposes the corresponding risk management strategy. Firstly, we measured the volatility of mainstream digital currency through the GARCH family model, and found that major digital currencies have significant fluctuation aggregation effect and leverage effect; Secondly, we analyzed the correlation structure between digital currency and traditional financial assets, and revealed the risk diversification value in the portfolio; finally, we evaluated the tail risk in different market situations based on VaR and CVaR methods. In view of this phenomenon, this study innovatively proposes the dynamic hedging strategy and cross-market arbitrage mechanism based on smart contracts, which provides investors with more effective risk management tools. The research results not only enrich the application of financial engineering theory in the field of digital currency, but also provide an empirical basis for the regulatory agencies to formulate relevant policies, which has important theoretical and practical significance for promoting the healthy development of the digital currency market.
Keyword:Digital currency risk management GARCH model
目 录
1绪论 1
1.1研究背景和意义 1
1.2研究现状 1
2数字货币风险特征分析 2
2.1数字货币市场波动性特征 2
2.2数字货币流动性风险分析 2
2.3数字货币技术安全风险评估 3
3金融工程工具在风险管理中的应用 4
3.1衍生品工具在价格风险管理中的应用 4
3.2VaR模型在数字货币风险评估中的运用 4
3.3智能合约在风险控制中的创新应用 5
4数字货币风险管理体系构建 5
4.1基于金融工程的风险预警机制设计 5
4.2多层次风险对冲策略研究 6
4.3监管科技在风险管理中的应用探索 7
5结论 7
参考文献 9
致谢 10
