基于VaR的商业银行风险管理研究
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摘要
VaR作为现代银行风险管理的国际标准和理论基础,日益受到国际活跃银行的广泛应用。论文秉持《新巴塞尔资本协议》的银行风险管理精神,研究基于VaR的银行风险管理,这对我国银行业如何更有效地提高风险管理水平和国际接轨、缩小国际差距有着重要的理论意义和实用价值。论文首先系统地介绍了VaR的理论基础和计算方法及其存在的局限性,建立了在静态和动态条件下基于VaR的银行资本优化模型。在此基础上,分析了VaR和风险资本(CaR)之间的内在联系,结合我国金融发展水平的现状,提出了我国现阶段基于RAROC的商业银行全面风险管理框架和统一于VaR的银行风险资本配置思路。然后在Merton(1974)假设银行资产价值遵循几何布朗运动的分析基础上,通过引入银行的监管机制,分析了银行的监管强度与银行风险策略选择的相互影响关系。然后以持续期概念为基础,建立了在银行资产负债表中计算VaR的参数和非参数方法。接着论文分析了用VaR代替方差或标准差作为风险测量指标时均值-VaR模型的几何求解及其应用中的局限性,建立了VaR约束下基于银行借贷的投融资决策模型。由于条件风险值(CVaR)能够克服VaR不满足一致性风险度量,尾部损失测量非充分性的不足,论文提出了基于CVaR约束的投资组合优化模型,该模型考虑了银行投资组合资产的交易成本、交易限制、资金约束和投资者的风险承受度。由于一系列国际银行损失事件引发了对操作风险管理强烈地内在需求,文章最后对银行操作风险度量进行了实证分析,提出了基于VaR的银行整体风险管理框架和操作风险管理在我国的应用建议。
VaR is thought the international standard and theory basis of modern bank risk management, which is increasingly applied to international flourish bank. The paper follows the spirit of New Basel Accord on bank risk management to research bank risk management based VaR, which is of important theory and practice meaning to how to improve the risk management level and reduce the international distance of china bank industry. The paper first systematically introduces theory basis and calculation methods of VaR and its deficiency . Then the paper analyzes the relation between VaR and CaR, puts forward the commercial bank general risk management construction based RAROC and the thought of collocating CaR based unification VaR by contacting china finance development condition. As in Merton(1974),the value of the banks assets V is assumed to follow a geometric Brownian motion, the paper analyzes the relation on bank audit intensity and bank risk strategy by importing supervision mechanism. The paper builds up the parameter and nonparameter methods to calculate VaR based on Duration model in bank balance sheet. The paper analyzes geometric solution of mean-VaR model and its limit, establishes the bank investment and financing model based on VaR. Because VaR doesn’t fulfill coherence risk measurement and tail loss measurement, the paper establishes portfolio optimization model which includes trade-off cost, dealing limit , capital restriction and investor risk tolerance. As a result of series of international bank loss affairs arose intensively internal demand to operation risk management, at last ,the paper brings forward bank general risk management frame based on VaR and application propose.
VaR is thought the international standard and theory basis of modern bank risk management, which is increasingly applied to international flourish bank. The paper follows the spirit of New Basel Accord on bank risk management to research bank risk management based VaR, which is of important theory and practice meaning to how to improve the risk management level and reduce the international distance of china bank industry. The paper first systematically introduces theory basis and calculation methods of VaR and its deficiency . Then the paper analyzes the relation between VaR and CaR, puts forward the commercial bank general risk management construction based RAROC and the thought of collocating CaR based unification VaR by contacting china finance development condition. As in Merton(1974),the value of the banks assets V is assumed to follow a geometric Brownian motion, the paper analyzes the relation on bank audit intensity and bank risk strategy by importing supervision mechanism. The paper builds up the parameter and nonparameter methods to calculate VaR based on Duration model in bank balance sheet. The paper analyzes geometric solution of mean-VaR model and its limit, establishes the bank investment and financing model based on VaR. Because VaR doesn’t fulfill coherence risk measurement and tail loss measurement, the paper establishes portfolio optimization model which includes trade-off cost, dealing limit , capital restriction and investor risk tolerance. As a result of series of international bank loss affairs arose intensively internal demand to operation risk management, at last ,the paper brings forward bank general risk management frame based on VaR and application propose.
引文
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