本文選題：VaR模型　切入點(diǎn)：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(xiǎn)是銀行面臨的主要風(fēng)險(xiǎn)。銀行作為現(xiàn)代金融體系的主體部分，是國(guó)家經(jīng)濟(jì)狀況的晴雨表，因此銀行的信用風(fēng)險(xiǎn)管理水平將影響整個(gè)國(guó)家的經(jīng)濟(jì)穩(wěn)定。目前，我國(guó)對(duì)信用風(fēng)險(xiǎn)的量化研究尚處在起步階段，在理論上還有許多問(wèn)題值得探討。同時(shí)，隨著世界經(jīng)濟(jì)一體化趨勢(shì)的加強(qiáng)和我國(guó)加入WTO后金融準(zhǔn)入制的實(shí)施，外資銀行正紛紛擠入中國(guó)市場(chǎng)，憑借著雄厚的經(jīng)濟(jì)實(shí)力和先進(jìn)的風(fēng)險(xiǎn)度量控制手段與我國(guó)本土銀行展開(kāi)全面競(jìng)爭(zhēng)。結(jié)合我國(guó)實(shí)際情況，加強(qiáng)對(duì)信用風(fēng)險(xiǎn)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(xiǎn)度量研究的發(fā)展軌跡，并簡(jiǎn)要介紹了四種常用的風(fēng)險(xiǎn)度量模型，以及信用風(fēng)險(xiǎn)度量的基本概念：非預(yù)期損失和VaR值。且本文對(duì)VaR的三種計(jì)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(diǎn)，，應(yīng)用步驟等進(jìn)行了簡(jiǎn)要的介紹。并對(duì)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(jìn)行了簡(jiǎn)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(lái)實(shí)現(xiàn)對(duì)于這些隨機(jī)問(wèn)題的研究。在借鑒了其它幾個(gè)風(fēng)險(xiǎn)度量模型的基礎(chǔ)后，把不良貸款率作為信用風(fēng)險(xiǎn)的量化指標(biāo)，建立了白噪聲過(guò)程，一階自回歸過(guò)程，一般自回歸過(guò)程三個(gè)用于度量銀行不良貸款率的VaR模型。最后，以中國(guó)民生銀行的不良貸款率數(shù)據(jù)為例，對(duì)建立的三個(gè)度量模型進(jìn)行了模擬計(jì)算，并就計(jì)算結(jié)果進(jìn)行了嘗試性的實(shí)證分析。最后就銀行如何加強(qiáng)風(fēng)險(xiǎn)管理，防范信用風(fēng)險(xiǎn)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(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.33

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