Оценка качества аппроксимации приращений процентных ставок и кредитных спредов на российском рынке различными функциями распределения
Аннотация
Целью исследования является выявление теоретической функции распределения, наиболее качественно аппроксимирующей эмпирические данные о приращениях процентных ставок и кредитных спредов и позволяющей обеспечить максимальную точность оценки рыночного риска при использовании моделей GARCH-VaR. В работе анализируется соответствие фактического распределения приращений процентных ставок, доходности облигаций и кредитных спредов на российском рынке 19 различным вероятностным распределениям на основе теста Андерсона – Дарлинга с использованием параметрического бутстрапа и осуществляется сравнение моделей VaR для прогнозирования квантилей приращений риск-факторов. Для учета временной изменчивости волатильности применяется модель GARCH–X, спецификация которой позволяет моделировать нелинейную зависимость волатильности приращений процентных ставок от уровня ставок. Согласно результатам тестов безусловного и условного покрытия, обобщенное гиперболическое распределение обеспечивает наиболее высокую точность вневыборочных прогнозов среди построенных параметрических моделей. Более простая в части спецификации и процедуры оценивания полупараметрическая модель FHS демонстрирует сопоставимое качество прогнозов. Исходя из полученных результатов сформулированы рекомендации по оценке VaR для облигаций и производных финансовых инструментов.
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