反常扩散模型在风险管理中的应用本科学位论文.docVIP

毕业设计（论文） 题 目 反常扩散模型在风险管理中的应用 姓 名 卢策 学 号 3090411021 专业班级 09信计1班 指导教师 吕龙进 学 院 信息科学与工程学院 完成日期 2013年6月1日  Abstract With?the?continuous?development?of?world?economy?and?Chinas?financial?market,?all?kinds?of?industries,?especially?the?investment?risk?of?the?financial?industry?has?increasingly?become?an?important?and?inevitable?problem?of?various?institutions.?Therefore,?risk?management?has?become?even?more?important.?Among?these?kinds?of?management?means?of?investment?risk,?VaR?method?makes?itself?stand?out?with?its?precise?scientificity?and?extensive?practicality,?and?has?become?an?important?method?of?risk?management.? However,?with?the?development?of?the?market,?all?sorts?of?unpredictable?factors?make?the?present?market?ever-changing.?As?a?result,?it?gradually?reveals?the?disadvantages?of?traditional?Risk?calculation?model.?This?paper?first?discussed?the?features?of?anomalous?diffusion?and?its?the?probability?density?function?under?the?anomalous?diffusion.?Then?using?the?Monte?Carlo?simulation?method?which?is?combined?with?the?law?of?large?numbers?to?simulate?the?distribution??of?market?interest?rates,we obtain the distribution follows heavy tail under the anomalous diffusion model.? Secondly, we show how to apply the anomalous diffusion to the risk management, and calculate the VaR. Finally,?we?concluded?that?as?a?result,?and?hope?this?model?can?boost?to?the?development?of?modern?risk?management?model. Key words: Risk management；VaR；Anomalous diffusion model; Monte Carlo Simulation，MCS 目 录 摘 要 I Abstract II 目 录 III 第1章 概述 1 1.1 引言 1 1.2 风险的类型 2 1.2.1 市场风险 2 1.2.2 信用风险 2 1.2.3 流动性风险 3 1.2.4 操作性风险 3 1.2.5 法律风险 4 1.3 风险管理的意义与应用背景 4 1.3.1 风险管理的定义 4 1.3.2 风险管理的意义 5 1.3.3 风险管理的概念 5 1.3.4 风险管理的发展历史 5 1.4 本文工作 7 第2章 风险管理的VaR方法 9 2.1 风险管理的VaR方法介绍 9 2.1.1 VaR方法的出现 9 2.1.2 VaR方法的作用 9 2.1.3 VaR方法的表达 10 2.2 计算VaR值的方法 10 2.2.1 历史模拟法 10 2