基于统计模拟技术的金融风险分析

发布时间：2018-04-13 07:08

本文选题：金融风险 + 统计模拟　；参考：《长春工业大学》2014年硕士论文

【摘要】：由于金融全球化与其自身发展的创新性,导致当今的金融机构,经营活动面临着更多的市场风险。由美国房地产致使的次贷危机,引发的蝴蝶效应,导致其负面影响在全世界蔓延,全球经济大幅度的衰退,令人担忧。然而,金融市场一直以来都是惊涛骇浪的,纵观历史,众所周知金融发展和风险是并存的。监管金融业也从任其发展到初步管理,再到严格的全方位管理,最后发展成为自由成长的过程。不可否认的是,金融市场的自由化目前已作为其成长乃至整个业界腾飞的助推器,然而金融市场若是过度地任其自由发展,金融业在缺乏严格监管的时候,毫无疑问的会增加其风险性,而金融风险又进一步增加了大量的金融监管过程的不确定性,因此,监管创新成为人们尤为需要重视的问题,我们必须要加强金融监管。由于中国金融市场的不断健全与加速对外贸易,因此中国的金融市场、金融机构的机遇与风险是并存的。可以说,全面巩固和促进中国金融市场的风险管理是目前金融业良性成长的首要任务,而随着我国金融业的快速发展,如何做到精准地测量风险又成为风险管控的关键问题。国际金融风险度量准则——VaR,在金融风险度量模型里作为一项非常重要的技术被普遍使用与推行于世界范围内的各个金融机构与非金融机构。与此同时,统计模拟技术由此产生,并极速发展,它模拟实际生活中的的金融系统,实现复杂的金融系统建模。因此,可以说将统计模拟技术特别是MC方法运用于分析VaR上是一种极好的创新方法。此文总体脉络：首先介绍研究背景、意义、现状及主要内容。其次,对金融风险及其度量的VaR方法进行概述。最后,介绍统计模拟方法,并做实例分析。
[Abstract]:As a result of financial globalization and innovation of its own development, today's financial institutions are facing more market risks.The butterfly effect caused by the subprime mortgage crisis caused by U.S. real estate has caused its negative effects to spread all over the world, and the global economy is in a deep recession, which is worrying.However, financial markets have always been stormy, throughout history, financial development and risk is known to coexist.Supervision of the financial industry has also developed from its development to initial management, then to strict all-round management, and finally developed into a process of free growth.It is undeniable that the liberalization of the financial market has now served as a booster for its growth and even that of the industry as a whole. However, if the financial market is excessively left to its free development, the financial industry is lacking in strict supervision.There is no doubt that it will increase its risk, and financial risk has further increased a large number of financial regulatory process uncertainty, therefore, regulatory innovation has become a problem that people should pay special attention to, we must strengthen financial supervision.Due to the continuous improvement and acceleration of foreign trade in China's financial market, opportunities and risks of financial institutions coexist in China's financial market.It can be said that the overall consolidation and promotion of risk management in China's financial market is the primary task for the benign growth of the financial industry at present. With the rapid development of the financial industry in China, how to accurately measure risk has become the key issue of risk management and control.As a very important technology in the financial risk measurement model, VaR, the international financial risk measurement criterion, is widely used and implemented in various financial institutions and non-financial institutions in the world.At the same time, the statistical simulation technology has developed rapidly. It simulates the real financial system and realizes the complex financial system modeling.Therefore, it is an excellent innovative method to apply statistical simulation technology, especially MC method, to the analysis of VaR.This paper introduces the background, significance, current situation and main contents of this paper.Secondly, the paper summarizes the VaR method of financial risk and its measurement.Finally, the statistical simulation method is introduced, and an example is given.
【学位授予单位】：长春工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830

【共引文献】