基于银行风险管理的AL-VaR的Credit Metrics模型研究

发布时间：2018-05-04 17:11

本文选题：信用风险 + Credit　；参考：《武汉科技大学》2014年硕士论文

【摘要】：自2007年美国次贷危机以来，无论是实业界还是监管当局都把信用风险的评估与管理放到首要位置，信用风险已经成为金融机构及监管部门最关心的问题之一。在这样的金融大背景下，了解信用风险度量方法的发展历程和趋势、借鉴世界先进的信用风险度量方法，有效地防范风险，特别是信用风险，将成为我国银行业面临的重大课题之一。对研究开发适合我国国情的信用风险度量方法、提高银行等金融机构的信用风险管理水平，，具有重要的理论意义和现实意义。本文在考察我国商业银行信用风险管理现状的基础上，结合银行信用风险管理的实际情况，在信用风险度量中引入基于VaR方法的Credit Metrics模型，且对VaR方法进行优化，引入非对称拉普拉斯分布，用非对称拉普拉斯分布VaR来量化和表示风险，构建了基于非对称拉普拉斯分布VaR的Credit Metrics模型。并且通过对非对称拉普拉斯分布VaR的Credit Metrics模型应用中的若干个关键问题进行实证研究，提出该模型应用于我国商业银行信用风险管理的思路，对我国商业银行提高信用风险管理水平有一定现实意义。
[Abstract]:Since the subprime mortgage crisis in 2007, the assessment and management of credit risk have been put in the primary position by both the industry and the regulatory authorities, and credit risk has become one of the most concerned issues for financial institutions and regulators. In such a financial background, understand the development process and trend of credit risk measurement, learn from the world's advanced credit risk measurement methods, effectively guard against risk, especially credit risk, It will become one of the major issues facing our banking industry. It is of great theoretical and practical significance to study and develop credit risk measurement methods suitable for China's national conditions and to improve the level of credit risk management of financial institutions such as banks. On the basis of investigating the present situation of credit risk management of commercial banks in China, this paper introduces the Credit Metrics model based on VaR method in the credit risk measurement, and optimizes the VaR method. This paper introduces asymmetric Laplace distribution, quantifies and represents risk with asymmetric Laplace distribution VaR, and constructs a Credit Metrics model based on asymmetric Laplace distribution VaR. Through the empirical research on some key problems in the application of Credit Metrics model of asymmetric Laplacian distribution VaR, this paper puts forward the idea of applying this model to the credit risk management of commercial banks in China. It is of practical significance for China's commercial banks to improve the level of credit risk management.
【学位授予单位】：武汉科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.33

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