本文選題：商業(yè)銀行 + 風(fēng)險(xiǎn)度量　； 參考：《中國(guó)科學(xué)技術(shù)大學(xué)》2012年博士論文

【摘要】：本文從商業(yè)銀行風(fēng)險(xiǎn)管理的實(shí)際需求出發(fā),從精細(xì)化風(fēng)險(xiǎn)管理的角度著手,采用風(fēng)險(xiǎn)度量的技術(shù)對(duì)風(fēng)險(xiǎn)進(jìn)行建模、估計(jì)和分析。研究的風(fēng)險(xiǎn)度量主體不是傳統(tǒng)商業(yè)銀行的信用風(fēng)險(xiǎn)和市場(chǎng)風(fēng)險(xiǎn),而是新資本協(xié)議要求必須分配資本金的操作風(fēng)險(xiǎn)和第三版巴塞爾資本協(xié)議關(guān)注的銀行系統(tǒng)性風(fēng)險(xiǎn)。 本文研究的主要內(nèi)容和創(chuàng)新點(diǎn)包括以下幾個(gè)方面： 首先,本文對(duì)風(fēng)險(xiǎn)度量的理論和方法進(jìn)行了抽象、歸納和總結(jié),給出了風(fēng)險(xiǎn)度量的流程和思路。其包括了基礎(chǔ)、關(guān)鍵、實(shí)現(xiàn)和優(yōu)化四個(gè)環(huán)節(jié),并將風(fēng)險(xiǎn)建模細(xì)分為八個(gè)步驟,該風(fēng)險(xiǎn)度量思路的提出是對(duì)以往項(xiàng)目經(jīng)歷和論文寫作經(jīng)驗(yàn)的總結(jié)和凝練,為風(fēng)險(xiǎn)度量提供理論基礎(chǔ)和指導(dǎo)方法。 其次,對(duì)商業(yè)銀行操作風(fēng)險(xiǎn)的度量及其資本金分配進(jìn)行了研究。對(duì)影響操作風(fēng)險(xiǎn)度量結(jié)果的損失厚尾性、計(jì)算精度問(wèn)題、模型穩(wěn)定性問(wèn)題、數(shù)據(jù)有偏性問(wèn)題、數(shù)據(jù)陳舊性問(wèn)題、操作風(fēng)險(xiǎn)的相關(guān)性問(wèn)題進(jìn)行了研究： (1)針對(duì)操作風(fēng)險(xiǎn)損失厚尾性的特點(diǎn)和一階近似算法準(zhǔn)確性較差的問(wèn)題,提出采用二階近似的算法計(jì)算操作風(fēng)險(xiǎn)及其資本金。根據(jù)次指數(shù)分布的特點(diǎn)推導(dǎo)出基于二階近似的操作風(fēng)險(xiǎn)解析解,針對(duì)厚尾性的問(wèn)題采用廣義帕累托分布擬合極值損失,并在此基礎(chǔ)上得到操作風(fēng)險(xiǎn)。并將結(jié)果與一階近似模型、均值修正模型和模擬結(jié)果進(jìn)行了對(duì)比分析,發(fā)現(xiàn)二階近似模型提高了結(jié)果的計(jì)算精度。 (2)針對(duì)操作風(fēng)險(xiǎn)參數(shù)方法結(jié)果的不穩(wěn)定性問(wèn)題,提出了操作風(fēng)險(xiǎn)度量的組合估計(jì)模型。組合估計(jì)模型把貝葉斯的思想引進(jìn)到操作風(fēng)險(xiǎn)的估計(jì)模型中,將風(fēng)險(xiǎn)估計(jì)分為兩個(gè)層次：?jiǎn)蝹�(gè)模型的估計(jì)和估計(jì)的信念。組合估計(jì)方法中估計(jì)結(jié)果是模型結(jié)果的線性函數(shù),該方法集成不同厚尾性分布的特點(diǎn)、同時(shí)增強(qiáng)模型結(jié)果的穩(wěn)定性和魯棒性。 (3)針對(duì)數(shù)據(jù)有偏性與陳舊性問(wèn)題、操作風(fēng)險(xiǎn)的相關(guān)性問(wèn)題,提出了基于條件分布—廣義線性模型—copula函數(shù)的多維集成模型來(lái)度量操作風(fēng)險(xiǎn)。該模型在損失分布的框架下,采用條件分布對(duì)有偏的左截尾數(shù)據(jù)進(jìn)行建模解決數(shù)據(jù)有偏性問(wèn)題；通過(guò)建立操作風(fēng)險(xiǎn)與宏觀經(jīng)濟(jì)和銀行自身變量的穩(wěn)定關(guān)系來(lái)預(yù)測(cè)未來(lái)操作風(fēng)險(xiǎn)的發(fā)生情況,來(lái)解決數(shù)據(jù)陳舊的問(wèn)題；通過(guò)copula函數(shù)來(lái)對(duì)操作風(fēng)險(xiǎn)之間的相關(guān)性進(jìn)行建模,解決操作風(fēng)險(xiǎn)的相關(guān)性問(wèn)題；并綜合這些方法建立了基于該集成方法的模擬程序。 再次,對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)度量進(jìn)行了研究。在分析銀行系統(tǒng)性風(fēng)險(xiǎn)機(jī)理和特征的基礎(chǔ)上,對(duì)系統(tǒng)性風(fēng)險(xiǎn)度量中考慮銀行關(guān)聯(lián)性問(wèn)題、風(fēng)險(xiǎn)相關(guān)性問(wèn)題、風(fēng)險(xiǎn)的親周期問(wèn)題、流動(dòng)性風(fēng)險(xiǎn)的內(nèi)生性問(wèn)題： (1)基于銀行之間關(guān)聯(lián)性的視角,采用銀行間市場(chǎng)的網(wǎng)絡(luò)分析方法度量了銀行系統(tǒng)性風(fēng)險(xiǎn)。研究?jī)?nèi)容包括了：銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的機(jī)理分析,其包括了銀行間市場(chǎng)和外部市場(chǎng)兩個(gè)方面,為度量研究工作奠定了基礎(chǔ)；銀行間市場(chǎng)和風(fēng)險(xiǎn)傳染的模型實(shí)例研究,通過(guò)實(shí)例說(shuō)明銀行市場(chǎng)是系統(tǒng)性風(fēng)險(xiǎn)的重要來(lái)源,論證了采用該方法的可行性；銀行間市場(chǎng)的網(wǎng)絡(luò)結(jié)構(gòu)的矩陣表達(dá)和傳染過(guò)程分析的數(shù)學(xué)表達(dá)；基于最大熵方法的銀行間資產(chǎn)負(fù)債矩陣的求解；銀行間市場(chǎng)模式對(duì)系統(tǒng)性風(fēng)險(xiǎn)的影響,發(fā)現(xiàn)銀行間市場(chǎng)結(jié)構(gòu)對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響較大；然后,設(shè)計(jì)三種特定銀行間市場(chǎng)模式下的矩陣求解算法,使得求解結(jié)果更加符合實(shí)際銀行市場(chǎng)間結(jié)構(gòu)；最后,采用中國(guó)銀行業(yè)的數(shù)據(jù)進(jìn)行了實(shí)證分析,發(fā)現(xiàn)在次貸危機(jī)轉(zhuǎn)變?yōu)槿蚪鹑谖C(jī)的過(guò)程中中國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)也出現(xiàn)了增大的趨勢(shì)。 (2)提出了基于自上而下的系統(tǒng)性風(fēng)險(xiǎn)的度量方法�；阢y行系統(tǒng)性風(fēng)險(xiǎn)是銀行面臨的整體風(fēng)險(xiǎn)的視角,在研究風(fēng)險(xiǎn)之間相關(guān)性表達(dá)基礎(chǔ)上,采用自上而下方法度量銀行系統(tǒng)性風(fēng)險(xiǎn)。在考慮信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)和操作風(fēng)險(xiǎn)相關(guān)性的基礎(chǔ)上,分別采用方差／協(xié)方差方法和copula函數(shù)方法利用相關(guān)性矩陣和相依函數(shù)刻畫相關(guān)性的基礎(chǔ)上來(lái)集成多種風(fēng)險(xiǎn),最后得到銀行系統(tǒng)性風(fēng)險(xiǎn)。自上而下方法基于實(shí)際的各種風(fēng)險(xiǎn)的分布或者風(fēng)險(xiǎn)值,比較符合目前中國(guó)商業(yè)管理各種風(fēng)險(xiǎn)分開(kāi)度量和管理的實(shí)際,容易在銀行業(yè)進(jìn)行運(yùn)用和推廣 (3)提出了自下而上的系統(tǒng)性風(fēng)險(xiǎn)的度量方法。根據(jù)銀行系統(tǒng)性風(fēng)險(xiǎn)的機(jī)理,考慮銀行間市場(chǎng)與外部市場(chǎng)兩種市場(chǎng),綜合了本次金融危機(jī)暴露的系統(tǒng)性風(fēng)險(xiǎn)的時(shí)間維度上親周期性、空間維度上的傳染性和流動(dòng)性風(fēng)險(xiǎn)的重要性特征,研究基于情景分析的至下而上方法度量銀行系統(tǒng)性風(fēng)險(xiǎn)。該模型考慮了信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、傳染風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)。對(duì)于信用風(fēng)險(xiǎn)的親周期性的特征通過(guò)建立違約概率與宏觀經(jīng)濟(jì)變量和金融變量的關(guān)系來(lái)對(duì)信用風(fēng)險(xiǎn)違約率進(jìn)行建模,在設(shè)定情景的基礎(chǔ)上得到不同情境下的信用風(fēng)險(xiǎn)違約率。然后結(jié)合信用風(fēng)險(xiǎn)的違約損失率和風(fēng)險(xiǎn)暴露因子,采用CreditRisk+模型得到信用風(fēng)險(xiǎn)損失。對(duì)于市場(chǎng)風(fēng)險(xiǎn),在與信用風(fēng)險(xiǎn)同樣的情景下,分析不同情景下市場(chǎng)風(fēng)險(xiǎn)因子對(duì)表內(nèi)外風(fēng)險(xiǎn)暴露價(jià)值的影響。對(duì)于傳染風(fēng)險(xiǎn)主要是將網(wǎng)絡(luò)分析方法應(yīng)運(yùn)到綜合模型中。信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、傳染風(fēng)險(xiǎn)是清算風(fēng)險(xiǎn),銀行不存在清算風(fēng)險(xiǎn)并不代表銀行具有穩(wěn)定性,流動(dòng)性風(fēng)險(xiǎn)是銀行面臨的又一重要的風(fēng)險(xiǎn),因此在模型中將銀行融資風(fēng)險(xiǎn)納入到整體框架中來(lái),而且融資流動(dòng)性是銀行信用風(fēng)險(xiǎn)的內(nèi)生風(fēng)險(xiǎn)。
[Abstract]:Starting from the actual demand of the risk management of commercial banks, this paper sets out from the perspective of fine risk management and uses the technology of risk measurement to model, estimate and analyze the risk. The subject of the risk measurement is not the credit risk and the market risk of the traditional commercial banks, but the operation of the new capital agreement that requires the allocation of capital. Risks and Banking Systemic Risks in the third edition of the Basel Capital Accord.
The main contents and innovations of this paper include the following aspects:
Firstly, the theory and method of risk measurement are abstracted, summed up and summarized, and the process and ideas of risk measurement are given. It includes four links, including basic, key, realization and optimization, and subdivides the risk modeling into eight steps. The proposed risk measurement idea is the summary of past project experience and paper writing experience. Concise and provide theoretical basis and guidance for risk measurement.
Secondly, the measurement of operational risk and the capital allocation of commercial banks are studied. The heavy tailing of the loss of operational risk, the problem of calculation accuracy, the stability of the model, the bias of data, the obsolete data and the relevance of operation risk are studied.
(1) in view of the characteristics of heavy tailing of operational risk loss and the poor accuracy of the first order approximation algorithm, the operation risk and its capital are calculated by the two order approximation algorithm. According to the characteristics of the sub exponential distribution, an analytical solution of operation risk based on the two order approximation is derived. The generalized Pareto distribution fitting is adopted for the thick tail problem. The operation risk is obtained on the basis of the extreme value loss, and the results are compared with the first order approximation model, the mean correction model and the simulation results. It is found that the two order approximation model improves the calculation precision of the result.
(2) in view of the instability of the results of the operational risk parameter method, a combined estimation model of operational risk measurement is proposed. The combined estimation model introduces Bias's thought into the estimation model of operational risk, and divides the risk estimates into two levels: the estimation and estimation of a single model. The estimated results in the combined estimation method are the results. It is a linear function of the model result, which integrates the characteristics of different thick tail distributions, and enhances the stability and robustness of the model results.
(3) aiming at the problem of data biased and obsolete and the relevance of operational risk, a multidimensional integration model based on conditional distribution generalized linear model copula function is proposed to measure operational risk. Under the framework of loss distribution, the model uses conditional distribution to model the biased left truncated data to solve data biased questions. By establishing a stable relationship between operational risk and macroeconomic and bank's own variables to predict the occurrence of operational risk in the future, to solve the problem of data obsolescence, to model the correlation between operational risks by copula function, and to solve the related problems of operational risk; and the integration of these methods is built on the basis of these methods. The simulation program of the integrated method.
Thirdly, the systematic risk measurement of bank is studied. On the basis of analyzing the mechanism and characteristics of the systemic risk of the bank, the problem of bank relevance, risk relevance, the relative cycle of risk, the endogenous question of liquidity risk are considered in the systematic risk measurement.
(1) based on the perspective of interbank relevance, the systematic risk of the bank is measured by the network analysis method of interbank market. The research contents include: the mechanism analysis of the systemic risk of the banking industry, which includes two aspects of the interbank market and the external market, which lays the foundation for the research work; the interbank market and the risk transmission A case study of the dyed model shows that the bank market is an important source of systemic risk and demonstrates the feasibility of using this method; the matrix expression of the interbank market structure and the mathematical expression of the analysis of the process of infection; the solution of the inter bank asset liability matrix based on the maximum entropy method; the interbank market model The influence of systemic risk is that the inter bank market structure has a great influence on the systemic risk of the bank. Then, the matrix solution algorithm under three specific interbank market models is designed to make the result more consistent with the actual bank market structure. Finally, the data of the Chinese silver industry is empirically analyzed and found in the subprime mortgage. In the process of crisis turning into the global financial crisis, the systemic risk of China's banking industry has also increased.
(2) a measurement method based on top-down systematic risk is proposed. Based on the view of the overall risk facing the bank, the bank systemic risk is based on the study of the correlation expression between the risks and the top-down method to measure the systemic risk of the bank. The variance / covariance method and the copula function method are used to integrate a variety of risks based on the correlation matrix and the dependence function. Finally, the systematic risk of the bank is obtained. The top-down method is based on the actual distribution of various risks or the risk values, which are more consistent with the various risk points of the current Chinese business management. The practice of measurement and management is easy to apply and popularize in the banking industry.
(3) a measurement method of systematic risk from bottom to top is put forward. According to the mechanism of bank systematic risk, two kinds of markets are considered in the interbank market and external market, and the time dimension of systemic risk exposed by this financial crisis, the importance of the contagious and liquidity risk in the spatial dimension, the research base This model takes account of credit risk, market risk, contagious risk and liquidity risk. The characteristics of the pro cyclical characteristics of credit risk are set up by establishing the relationship between default probability and macroeconomic variables and financial variables to establish the default rate of credit risk. On the basis of the situation, we get the default rate of credit risk under different situations, and then combine the default loss rate and risk exposure factor of the credit risk and use the CreditRisk+ model to get the credit risk loss. The effect of the value is mainly to carry the network analysis method into the comprehensive model. The credit risk, the market risk, the contagious risk are the liquidation risk, the bank does not exist the liquidation risk and does not represent the bank's stability. The liquidity risk is another important risk that the bank faces. Therefore, the bank financing risk is in the model. In the overall framework, financing liquidity is the endogenous risk of bank credit risk.
【學(xué)位授予單位】：中國(guó)科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 崔婷婷;商業(yè)銀行供應(yīng)鏈金融風(fēng)險(xiǎn)管理研究[D];山西財(cái)經(jīng)大學(xué);2013年

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本文編號(hào)：1990208