基于衍生随机波动模型的河北省金融风险评估与预测研究
Research on Financial Risk Assessment and Forecast of Hebei Province Based on Derivative Stochastic Volatility Model

本文以十四五期间我省金融风险为研究对象，结合国内外经济、政治的复杂性与河北省现实经济发展的客观性，充分利用波动理论、预期理论、突变理论等核心方法对我省金融风险进行科学测度，力求为我省金融风险评估与预测提供有力的理论基础和实践工具。首先，准确刻画十四五期间河北省未来经济预期的基本状态，制定切实科学的经济预期评估指标与分类标准，建立系统的经济预期评估体系，保证经济预期研判的完整性、科学性，为金融风险评估做好宏观准备。其次，针对现有的波动理论，建立具有体制转换周期特征的随机波动系统，融入体制转换因子与经济预期因子，精准分析十四五期间金融市场风险的一般规律，给出科学评估我省金融风险的一般方法和指标体系。再次，引入突变理论，模拟突发情况及金融风险骤然演变对我省经济的影响。通过对某一金融市场的核心数据运用统计与优化的方法，对收集的数据进行清洗、处理，确保系统参数估计的科学性与有效性，检验突变理论的可靠性和一致性，做到金融风险提前预测，及时防控。最后，结合上述模型，对河北省金融风险进行实证研究，并对十四五期间金融市场风险进行预测研究，检验新型波动系统的稳定性与一致性，并用于指导金融风险防控的实践。
This paper takes the financial risk of our province during the 14th Five-Year Plan period as the research object, combines the complexity of domestic and foreign economy and politics and the objectivity of the real economic development of Hebei Province, makes full use of the core methods such as fluctuation theory, expectation theory and catastrophe theory to scientifically measure the financial risk of our province and strives to provide a powerful theoretical basis and practical tool for the financial risk assessment and prediction of our province. First of all, it accurately describes the basic state of the future economic expectation of Hebei Province during the 14th Five-Year Plan period, formulates practical and scientific economic expectation evaluation indicators and classification standards, establishes a systematic economic expectation evaluation system, ensures the integrity and scientific nature of economic expectation research and judgment, and makes macro preparations for financial risk assessment. Secondly, according to the existing volatility theory, this paper establishes a stochastic volatility system with the characteristics of regime switching cycle, integrates regime switching factor and economic expectation factor, accurately analyzes the general law of financial market risk during the 14th Five-Year Plan period, and gives the general method and index system of scientific evaluation of financial risk in our province. Thirdly, the abrupt change theory is introduced to simulate the impact of emergencies and sudden evolution of financial risks on the economy of our province. Through the use of statistics and optimization methods for the core data of a financial market, the collected data are cleaned and processed to ensure the scientific and effective estimation of system parameters, test the reliability and consistency of mutation theory, and achieve the prediction of