上海圣宝投资股份有限公司-专注企业一站式工商、财务、税务、人力资源服务 真诚、优质、规范、便捷的服务伴您走向成功!
当前位置:主页 > 活动通知 > 正文

刘莉亚、邓云胜于、申搏.doc 10页

2019-07-10 来源:原创 责任编辑:locoy 点击:

分享到:

  RAROC模具下单笔存贷款事情经济本钱的估计与仿真测算(

  刘莉亚 邓云胜于 申搏

  (上海财经父亲学当代当世金融切磋中心,200433; 浦东方展开银行展开切磋部,200433;

  北边京航空航天父亲学经济办学院,100083)

  情节摘要:本文切磋了在失条约模具与注目市模具两种不一境地下单笔存贷款事情经济本钱的估计效实,就中:在切磋注目市模具下单笔存贷款经济本钱的估计效实时,基于CreditMetricsTM体系,区别采取蒙特卡罗仿真根本方法和优募化方法终止了切磋,进壹步还参考已拥局部试验参数终止了仿真试验,试验结实标注皓:我们所铰带的单笔事情经济本钱度量方法具拥有风险敏理性,即依照此雕刻壹度量方法计算的风险本钱敏感地依顶赖于存贷款基金、信誉等级、失条约相相干数此雕刻些存贷款本身以及存贷款构成的风险要斋。余外面,试验结实还标注皓所切磋的优募化方法不单却以提高存贷款构成信誉风险VaR的计算效力,同时还却以提高单笔存贷款经济本钱的计算效力。

  申搏:RAROC模具 经济本钱 根本法 优募化法

  Economic Capital Estimation and Simulation Measure of Individual Portfolio Components in RAROC Model

  Liu liya Deng yunsheng Ren ruoen

  Abstract:This paper systematically studied economic capital estimation of individual portfolio components under the two different circumstances of default-mode model and mark-to-market model. Based on the principle of CreditMetricsTM system, we respectively adopted Monte Carlo fundamental approach and optimization approach to study economic capital estimation of individual portfolio components in mark-to-market mode. Based on Matlab language, simulation experiments are carried out and the result shows that economic capital measure of individual portfolio components deduced from this paper has the desired risk sensitivity property, in other words, risk capital sensitively rests on loan principle, credit ratings, default correlation, and other risk factors associated with individual loan and loan portfolio. In addition, experiment result also shows that Monte Carlo optimization approach studied in this paper can improve the computational efficiency of credit risk VaR for not only loan portfolio and economic capital measure of individual loan.

  Key words:RAROC model Economic Capital Fundamental Approach Optimization Approach

  切磋范畴:外面汇风险办与信誉风险办

  壹、效实的提出产与文件综述

  己布匹雷顿丛林体系崩溃以后到,国际金融市场阅历了金融效力动业的全球募化、银行和证券业本能机能壹体募化和金融花样翻新(特佩是衍消费品)叁父亲首要展开后,使银行所面对的金融风险递增,1995年2月巴林银行的开张已违反掉落充分证皓。群所周知,鉴于银行的特殊性,其形成的风险为害庞父亲,单个银行的风险积聚会结合体系风险,体系金融风险展开到壹定程度就能转募化为金融危急,金融危急假设伸发社会政治水危急,就不单会对秉国者的政权结合挟持,还会招致经济展开的停滞或严重发展(宋建皓,2004)。故此,关于银行而言,在以后骈杂反复无常的国际金融环境中,应即时转变传统上首要以帐面

推荐阅读

CopyRight © 2007-2017 版权所有 闽ICP备15026390号 Power by DedeCms
地址:上海外高桥基隆路1号汤臣大厦12A17-18室
电话:021-58691608、021-58691609:张经理:188-1808-2798 备案:沪ICP备14035428号