蒙特卡洛模拟在商业银行信用风险管理中的应用

发布时间：2018-03-29 23:19

本文选题：VaR模型　切入点：蒙特卡洛模拟　出处：《河北大学》2013年硕士论文

【摘要】：信用风险是银行面临的主要风险。银行作为现代金融体系的主体部分，是国家经济状况的晴雨表，因此银行的信用风险管理水平将影响整个国家的经济稳定。目前，我国对信用风险的量化研究尚处在起步阶段，在理论上还有许多问题值得探讨。同时，随着世界经济一体化趋势的加强和我国加入WTO后金融准入制的实施，外资银行正纷纷挤入中国市场，凭借着雄厚的经济实力和先进的风险度量控制手段与我国本土银行展开全面竞争。结合我国实际情况，加强对信用风险量化管理方法的研究就显得非常重要了。本文首先回顾了信用风险度量研究的发展轨迹，并简要介绍了四种常用的风险度量模型，以及信用风险度量的基本概念：非预期损失和VaR值。且本文对VaR的三种计算方法：历史模拟法，方差-协方差法和蒙特卡洛模拟法以及VaR优缺点，，应用步骤等进行了简要的介绍。并对蒙特卡洛模拟的相关概念，基本原理以及方法的优越性等进行了简要的介绍，然后介绍了专门用于蒙特卡洛模拟的分析软件（Crystal Ball），以及如何使用该软件来实现对于这些随机问题的研究。在借鉴了其它几个风险度量模型的基础后，把不良贷款率作为信用风险的量化指标，建立了白噪声过程，一阶自回归过程，一般自回归过程三个用于度量银行不良贷款率的VaR模型。最后，以中国民生银行的不良贷款率数据为例，对建立的三个度量模型进行了模拟计算，并就计算结果进行了尝试性的实证分析。最后就银行如何加强风险管理，防范信用风险提出了一些相关的措施。
[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.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.33

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