基于區(qū)間分析的金融市場風險管理VaR計算方法研究.pdf

1、天津大學碩士學位論文基于區(qū)間分析的金融市場風險管理VaR計算方法研究姓名：于珊珊申請學位級別：碩士專業(yè)：管理科學與工程指導教師：李汶華201112ABSTRACTFinancialmanetriskmanagementplaysanimportantroleintheoperationandsupervisionofthefinancialmanetIncreasingthecalculatingaccuracyandefficienc

2、yofitsmethodsisvitaltaisethelevelofitAtpresent，ValueatRisk(VaR)，isoneofthemostimportantmeasuresofriskmanagementIthasbeenwidelyusedforbytheorycirclesandpracticecirclesThetraditionalmethodsofcalculatingVaRincludehistorical

3、simulationapproach，analyticalmethodandMonteCarlosimulationmethodWecanselecttheappropriatemethodbasedontheactualsituationduringtheriskanalysisInthisstudyconsideringthedeficiencyofbeingdifficulttealizeandslowincomputingofM

4、onteCarlosimulationmethod，anewmethodofVaRbasedonintervalanalysisisproposedIntervalanalysisisanapproachtocomputingthattreatsanintervalasanewkindofnumberEstimatingtheaccumulativeprobabilitydistributionofdependentvariable，w

5、hichistherateofreturnoftheportfolio，basedonIntervalAnalysisisthenewmethodofValueatRiskInthisstudyfirstlywepresentthemethodofestimatingtheaccumulativeprobabilitydistributionofdependentvariableforaverysimpleexampleThenweap

6、plythismethodtothecalculationofVaRFirst，itistheriskmappingSecond，makethecorrelativehypothesis，fittheprobabilitydistributionofindependentvariableandgettheirrangesThird，Iestimatetheaccumulativeprobabilitydistributionofther

7、ateofretumofportfoliobasedonIntervalAnalysisForthmakethecorrelativeanalysisaccordingtotheaccumulativeprobabilitydistributionoftherateofreturnofportfolio，SOastogettheVaRinsomeconfidencelevelIgiveanexampleandcomparetheinte

8、rvalapproachwiththeMonteCarloapproachChoosethedayreturnsofNORINCOINTERNATIONAL(000065)andSICHUANCHEMICAL(000155)astheportfoliotoanalyzethemethodTheresultingindicatesthatthemethodofVaRbasedonIntervalAnalysisisobviouslysup

9、eriortoMonteCarlosimulationinbothcalculatingaccuracyandefficiencyLastlyIcombinethecommercialbankriskmanagementwiththerecentpricechangebasedonthemethod，thenewriskmanagementofthecommercialbanksisproposed，thecommercialbanks