毕业论文_反常扩散模型在风险管理中的应用.doc

PAGE PAGE III 宁波理工学院 宁波理工学院 毕业设计（论文） 题 目 反常扩散模型在风险管理中的应用 摘 要 随着世界经济和中国金融市场的不断发展，各种行业尤其是金融行业的投资风险日益成为了各种机构无可避免的重要问题，所以风险管理愈发显得重要，也成为了日益紧迫的任务。在各种投资风险管理手段中，VaR方法以其精密的科学性和广泛的实用性脱颖而出，成为了风险管理的重要方法。但是随着市场的不断发展，各种不可预知的因素导致市场走向千变万化。这样一来就暴露出了经典风险计算模型的不足。本文首先讨论反常扩散的特征，以及反常扩散下的概率密度函数的特征，结合大数定律运用蒙特卡洛模拟法，模拟出反常扩散下市场利率分布呈尖峰厚尾性质的图像。其次本文将反常扩散模型应用到风险管理中去，并计算此时的VaR值。最后我们得出结果，并希望此模型能对现今的风险管理模型的发展起到推动的作用。 关键词：风险管理；VaR；反常扩散模型；蒙特卡洛模拟法  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 PAGE IV 目 录 TOC \o 1-3 \h \z \u 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