【作者】 彭江平；

【导师】 熊维平； 李松仁； 郭青峰；

【作者基本信息】 中南大学 ， 管理科学与工程， 2001， 博士

【摘要】 本文系统评述了国内外商业银行风险管理理论及风险管理系统的发展过程与研究现状，并重点讨论了我国在该领域存在的一些问题。一方面，针对当前我国商业银行风险管理理论中，缺乏对各类风险进行统一管理与控制的理论基础及工具的现状，就建立基于风险价值的商业银行风险管理理论进行了深入的分析与研究；另一方面，针对我国风险管理系统功能单一、缺乏综合分析能力等不足，应用计算机与网络技术的发展，就建立基于风险管理理论的新型风险管理系统及相应的风险监管系统进行了探索与分析，并开发了多个原型风险管理应用系统。研究结论将有益于我国商业银行风险管理理论的研究及风险管理系统的开发。论文主要包括以下两大内容： 1、商业银行风险管理理论的研究 (1)商业银行的风险“金字塔”与商业银行风险组合管理的理论框架。通过对商业银行风险类型、风险管理的意义，以及风险起源与组织机构的关系的分析，得到了商业银行的风险“金字塔”及商业银行风险起源和风险管理组织机构的关系图，形成了商业银行风险组合管理的思想，确定了商业银行风险组合管理的理论框架，为建立统一的风险管理理论，以及分析新风险管理理论与资产负债管理理论的兼容性奠定了基础。 (2)定量风险度量标准。通过对各类风险度量标准的比较分析，说明了使用风险价值作为风险度量标准的合理性，针对商业银行风险管理的特殊性，引入了基于风险价值的风险资本标准，讨论了风险价值与风险资本的关系及相应的计算流程。 (3)风险价值的计算方法和基于风险价值的最优化模型。在全面评价已有的风险价值VaR计算方法(方差——协方差方法、历史模拟法、蒙特卡洛模拟法、情景分析与应力测试法)的基础上，总结了这些计算方法的限制条件，对各自的应用范围进行了比较分析，做好了风险管理系统的设计与实现的准备工作；建立了基于风险价值的组合最优化模型，并重点分析了基于历史数据的最优化模型，给出了一个相应的数值算法；通过对在使资产所有者最终财富最大化的约束下的最优化模型的分析，获得了一个类似于著名的夏普指数的业绩评估标准。 (4)风险价值框架下的信贷风险与资产负债管理。分析了将得到的有关风险价值理论应用于信贷风险与资产负债管理的可行性及具体实施过程。在信贷风险管理的分析中，详细研究了基于破产率及基于信用等级的信贷资产组合的风险管理；在资产负债管理的分析中，讨论了基于风险价值的缺口管理与持续期管理，给出了这些方法在资产负债最优化管理中应用的流程与范围。 (5)风险价值在商业银行内部风险管理中的应用。研究了转移定价系统的工作原理及转移价格的确定方法及对商业银行管理的意义；研究了基于风险价值的资本分配系统及在银行内部管理及中央银行监管中应用的可能性：研究了基于风险调整资本收益标准及风险定价原则，设计了银行管理的组合最优化模型。 2、商业银行风险管理系统的开发 (1)基于组件的分布式风险管理系统的框架。详细讨论了风险管理系统的设计原则，对系统的准备与规划过程及开发环境、开发工具的选择等提出了完整的解决方案。针对风险管理系统的特性，综合应用基于计算机与网络的若干关键技术(组件，COM/DCOM/ActiveX，多层分布式应用)，设计了三个基于组件的分布式风险管理系统框架：基于Windows的分布式风险管理系统、基于Web的分布式风险管理系统及基于Java与XML的分布式风险监管系统。 (2)原型风险管理应用系统。在设计框架的指导下，具体开发了三类原型应用系统： 中南大学博士学位论文 基于风险价值的商业银行风险管理理论研究与系统开发 基于WindoWS的标准应用原型、基于Wind。WS的分布式应用原型及基于Web的 分布式应用原型应用系统。 （3）风险管理组件。通过对商业银行风险管理系统框架的设计及风险管理原型应用系 统的开发，得到了作为其核心的风险管理组件所应具备的基本功能，设计了一个 组件原型，并应用于各类风险管理原型应用系统的开发。更多还原

【Abstract】 The development and recent situation of commercial bank risk management theory and system at home and abroad are systematically expounded in this dissertation, and some existing problems on this field in China have been emphatically discussed. On one hand, there are no unified theories and methods to control and manage commercial bank’s risk at present, to solve the problem the comprehensive analysis and deepgoing study of the risk management theory based on value-at-risk have been made; On the other hand, the function of available risk management is single and lack of synthetical analysis ability, in order to solve these problems the new risk management system and risk supervisor system based on risk management theory are established by applying computer and network technology, and several risk management system prototypes have been developed. These results will be very helpful for commercial bank risk management research and risk management system development The main contents of the dissertation consist of the following two parts.Study on commercial bank risk management theoryCommercial bank risk "pyramid" and mainframe of commercial bank risk portfolio management theoryAfter analyzing risk types, function of risk management and the relation between risk origin and risk management department of commercial bank, the risk "pyramid" and the relationship graph of risk origin and risk management department are obtained. Based on mis, the risk portfolio management thought is formed and the risk management theory mainframe is constructed. All of these lay the foundation of building unified risk management theory and analyzing the compatibility between the new risk management theory and the classical asset-liability management theory.Quantitative risk measurementThrough analyzing and comparing various present risk measurements, the rationality of taking the value-at-risk as the risk measurement has been proved. To counter the special characteristics of commercial bank risk management, the capital-at-risk measurement based on value-at-risk is introduced. Their relationship and their calculating flow diagram are also discussed.Valne-at-risk calculating methods and risk management optimization model based on value-at-riskSuch calculating methods as variance-covariance, historical simulation, Monte Carlo Simulation, Scenario Analysis and Stress Test are discussed comprehensively; it will form the basis for the development of risk management system. The risk management optimization model based on value-at-risk is set up, and the one based on historical data is discussed emphatically, a numerical calculating algorithm is advanced. After analyzing the optimization model that maximizes die end wealth of an investor, a measurement like the remarkable shape rate is obtained under value at risk limitation.Credit risk management and asset-liability management based onvalue-at-riskThe feasibility and concrete implementation process for credit risk management and asset-liability management is formed. In credit risk management, the methods based on default rate or credit grade are detailed. In asset-liability management, the methods based on value-at-risk gap or based on value-at-risk duration are discussed, and the process and scope of applying these methods in risk management are explained too.Application of value-at-risk in the inner management of commercial bankThe principle of transfer price system, the valuing of transfer price and the uses of transfer price in commercial bank management are all detailed. The asset allocation system based on value at risk is designed. Based on the risk-adjusted return on capital (RAROC), the optimization model for commercial bank asset portfolio management is put forward.Development of commercial bank risk management systemMainframes of risk management systemThe principle for designing risk management system is analyzed in detail, and the process of preparing and planning for risk management system and the choice of development env更多还原