【作者】 刘凤娟；

【导师】 宁云才；

【作者基本信息】 中国矿业大学（北京） ， 金融工程与风险管理， 2010， 博士

【摘要】 美国的次贷危机引发了全球性的金融危机。因此金融风险管理开始引起人们的高度关注。在前人的基础上,从市场风险角度,本文运用SAS软件对涉及到国内外的多项投资的组合运用VaR的蒙特卡罗模拟和压力测试进行风险度量并利用套保策略对冲风险。从信用风险角度,借助SAS统计软件,本文给出CreditMetrics模型方法和从风险暴露和回收率角度计算贷款组合信用风险的方法进行风险分析,然后利用信用违约互换和总收益互换对冲贷款风险；对总收益互换的标的资产进行了扩展；对我国的公益性贷款提出建立资产支持证券的方式提高自己资金效率。从操作风险角度,提出了运用信号博弈论解决银行风险管理部门和业务部门的关系,运用博弈论中的委托代理模型解决银行投资部门和交易员之间的关系。从综合风险角度,构建综合经营风险管理系统,考虑整体风险管理,运用经济学的消费者效用和财富理论建立交易员的效用以及资金函数关系来解释交易员的个人偏好,运用交易员的收益波动率和收益的关系建立奖惩制度；另外运用北京房地产市场的案例探索银行投资房地产市场的风险管理,以利于银行机构在国家经济运行方面起到良好的支撑作用。更多还原

【Abstract】 The American subprime mortgage triggered the global financial crisis. Consequently, financial risk management began to become the focus of attention. Based on the former’s theories of finance and economics, first, this paper, from the market risk, involves that loan bank utilizes Monte Carlo simulation of VaR and stress testing for investment portfolio to measure market risk and makes out hedging strategy to reduce loss with SAS software. Secondly, from the credit risk, this paper gives lending bank two scheme of CreditMetrics Model and computering the value of credit risk of loan portfolio from risk exposure and recovery rate perspective to analyze the loan risk. Subsequently, lending bank uses CDS and TROR to hedge the loan risk; this paper explores the scope of reference asset of TROR; in addition, this paper presents ABSs based on commonweal loan to improve efficiency of funds. Thirdly, from the operational risk, this paper proposes that bank should use signal game to resolve the relationship between risk management section and business section of bank, and apply Principal-Agency game to cope with the relationship between the Bank and Traders. At last, from the comprehensive risk perspective, the paper presents a system of bank integrated risk management. Moreover, considering TRM, this paper makes the best of economics theory of consumption utility and wealth to build function relation between utility and fund of the trader to explain his personal preference, and use the relationship between return and variation of return to establish the system of reward and penalty. Furthermore, this paper adopts the case of real estate market in Beijing to explore the risk from real estate investment and housing loan to reduce bank risk from them, and accordingly, bank plays a supporting role in state economic function.更多还原