基于VAR的江苏银行投资风险管理系统设计-软件工程专业论文.docxVIP

基于VAR的江苏银行投资风险管理系统设计 摘要 摘要 银行风险管理的目的是建立一个对银行风险投资过程进行风险监控的体系。 目前江苏银行的投资风险管理系统依旧采用人机结合的方式，将投资风险定性的 划分为内部风险和外部风险两大类，通过人为分析风险走势、利率变化等客观的 “外部风险”，再通过软件分析人工得到的数据进行“内部风险”预测。但是， 这种人机结合的方式无法分析海量数据的内在关联，这种缺乏对风险因素进行全 面而系统的分析直接导致的结果就是风险识别与限额控制的非规范化，从而使得 投资效益和资金安全受到严重威胁。 首先分析了江苏银行投资风险管理系统的现状和不足，明确了设计一款基于 风险价值(Value at Risk，VAR)方法的银行投资风险管理系统的必要性。在此基础 上讨论银行投资风险管理系统的功能，分析统计查询、风险报告和???统管理等主 要流程，然后分析基于J2EE的投资风险管理系统架构，并利用模块化方法设计 系统，对数据采集和控制中心、风险模型等核心子系统进行详细设计，其中重点 讨论基于VAR绩效评估子系统的构建和应用实现。最后分析该系统在银行业务管 理部、资产运营部等业务部门中的应用情况。 关键词银行，风险价值，风险投资，预测，绩效评估  Abstract The bank risk management aims to establi sh a system for the venture surveillance in the process of capital investment．The current capital venture management system in JiangSu Bank is in a human—computer interaction way，which firstlY partitions the investment venture Into two categories：the inner one and exterior one，and then investigates the exterior venture by artificially analyzing the framework of the venture trend and the variation of the interest rate，and predicts the inner venture by these obtained data．However，the inner relationship between large amounts of data i s not analyzed in the human—computer interact l on way。which leads to non—standardization of the venture recognitlon and limitation contr01．Consequently both the investment benefit and the capital safety are threatened seriously． In this paper，the status and the deficiencies of the venture capital management system in Jiangsu Bank are fully analyzed．The necessity of designing a VAR based investment risk management system for Jiangsu Bank is also discussed．Based on these discussions，the functions of the VAR based system are analyzed，along with the statistical inquiry，venture reporr ing，system management and other important procedures·After that， serveral modules are designed based on modular desgin methods，including the data gather ing and control ing modul e，venture management model and SO on．The construct i on of the VAR based per