本文選題：VaR模型　切入點：蒙特卡洛模擬　出處：《河北大學(xué)》2013年碩士論文

【摘要】：信用風(fēng)險是銀行面臨的主要風(fēng)險。銀行作為現(xiàn)代金融體系的主體部分，是國家經(jīng)濟狀況的晴雨表，因此銀行的信用風(fēng)險管理水平將影響整個國家的經(jīng)濟穩(wěn)定。目前，我國對信用風(fēng)險的量化研究尚處在起步階段，在理論上還有許多問題值得探討。同時，隨著世界經(jīng)濟一體化趨勢的加強和我國加入WTO后金融準入制的實施，外資銀行正紛紛擠入中國市場，憑借著雄厚的經(jīng)濟實力和先進的風(fēng)險度量控制手段與我國本土銀行展開全面競爭。結(jié)合我國實際情況，加強對信用風(fēng)險量化管理方法的研究就顯得非常重要了。本文首先回顧了信用風(fēng)險度量研究的發(fā)展軌跡，并簡要介紹了四種常用的風(fēng)險度量模型，以及信用風(fēng)險度量的基本概念：非預(yù)期損失和VaR值。且本文對VaR的三種計算方法：歷史模擬法，方差-協(xié)方差法和蒙特卡洛模擬法以及VaR優(yōu)缺點，，應(yīng)用步驟等進行了簡要的介紹。并對蒙特卡洛模擬的相關(guān)概念，基本原理以及方法的優(yōu)越性等進行了簡要的介紹，然后介紹了專門用于蒙特卡洛模擬的分析軟件（Crystal Ball），以及如何使用該軟件來實現(xiàn)對于這些隨機問題的研究。在借鑒了其它幾個風(fēng)險度量模型的基礎(chǔ)后，把不良貸款率作為信用風(fēng)險的量化指標(biāo)，建立了白噪聲過程，一階自回歸過程，一般自回歸過程三個用于度量銀行不良貸款率的VaR模型。最后，以中國民生銀行的不良貸款率數(shù)據(jù)為例，對建立的三個度量模型進行了模擬計算，并就計算結(jié)果進行了嘗試性的實證分析。最后就銀行如何加強風(fēng)險管理，防范信用風(fēng)險提出了一些相關(guān)的措施。
[Abstract]:The credit risk is the main risk faced by the bank. As the main part of the modern financial system, the bank is the barometer of the national economic situation. Therefore, the credit risk management level of the bank will affect the economic stability of the whole country. At present, The quantitative study of credit risk in China is still in its infancy, and there are still many problems worth discussing in theory. At the same time, with the strengthening of the trend of world economic integration and the implementation of financial access system after China's entry into WTO, Foreign banks are crowding into the Chinese market one after another, and by virtue of their strong economic strength and advanced risk measurement and control means, they are engaged in a comprehensive competition with our local banks. It is very important to strengthen the research on the quantitative management of credit risk. Firstly, this paper reviews the development of the research on credit risk measurement, and briefly introduces four commonly used risk measurement models. And the basic concepts of credit risk measurement: unexpected loss and VaR value. In this paper, three calculation methods of VaR: historical simulation, variance-covariance, Monte Carlo simulation, and the advantages and disadvantages of VaR, are presented. The related concepts, basic principles and advantages of Monte Carlo simulation are introduced briefly. Then it introduces the analysis software Crystal Baller, which is specially used in Monte Carlo simulation, and how to use this software to realize the research of these random problems. Taking the non-performing loan ratio as the quantitative index of credit risk, three VaR models are established to measure the non-performing loan ratio of banks, such as white noise process, first-order autoregressive process and general autoregressive process. Taking the non-performing loan ratio data of China Minsheng Bank as an example, this paper simulates and calculates the three measurement models established, and makes a tentative empirical analysis on the calculated results. Finally, how to strengthen the risk management of the banks is discussed. Some related measures are put forward to prevent credit risk.
【學(xué)位授予單位】：河北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.33

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