金融交易信用風(fēng)險(xiǎn)分析與量度.pdf

1、復(fù)旦大學(xué)碩士學(xué)位論文金融交易信用風(fēng)險(xiǎn)分析與量度姓名：羅桂連申請學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：張紀(jì)康2000.5.1ABSTRACTRiskmanagementisbaseduponquantitativemeasuresofrisksCreditriskistheoldestandperhapsthemostimportanceofal】risksintermsofsizeofpotentiallOSSCSInthisthesis

2、，1wouldliketohavearesearchonhowtoanalysesandmeasurethecreditris“ksoffinancialtransactionsThestructureofthispaperisasfollow：Inthefirstchaptertheauthorfirstintroducingsometypesofcommonlyusedquantitativeindicatorsofrisks：Se

3、nsitivity，Volatility，DownsidemeasuresofriskThesedifferenttypesofmeasuresfittogetherbecausetheyaddressdifferentdimensionsofrisksThedownsidemeasureisthemostcomprehensivemeasureofriskbecauseitintegratessensitivityandvolatil

4、itywiththeadverseeffectofuncenmntyVARmeasureisonekindofdownsidemeasuresofriskThenspecifiesvarioustypesofpotentiallosses：Expectedloss，Unexpectedloss，ExceptionallossInthesecondchaptertheauthortriestOdefineguidelinesandtech

5、niquestovaluecreditriskofasinglefinancialtransactionThischapteriSdividedintotwosections：ThefirstsectionassessesthecreditriskofbankingtransactionsFromaquantitativestandpointcreditriskismeasuredbythelOSSintheeventofdefault

6、Itresultsfromacombinationofdefaultrisk，exposureriskandrecoveryriskThemeasurementofcreditriskshouldideallycoverallthesethreecomponentsThoseupstreamrandomfactorsthatinfluenceexposuresandrecoverieshavetobeinvestigatedThisse

7、ctionintroducascommonmeasuresofabovethreecomponentsofcreditrisk，ThesecondsectionassessesthecreditriskofmarkettransactionsFormarkettransactionscreditriskresultsfromthedeteriorationofthecreditstandingofthecounterpartandthe

8、possibleeventofdefauJtThesituationdifiersforthoseinstrumentsthatare仃adedoverorganizedmarketsandthosewhicharetradedoverthecountersuchasderivativeproductsTheportfoliobasedapproachtiskisquitedifferentfromthetransaction—base

9、dapproachInthethirdchaptertheauthortriestodefineguidelinesandtechniquestovaluecreditriskofaportfoliooftransactionsThischaDteriSalsodividedintotWOsections：ThefirstsectionpresentsthegeneralcorrelationapproachCorrelationsar

10、ethebasicparameterswhichdeterminetheriskdiversificationofaportfolioThepotentiallossesalsodependupontheshapeofthelossdistributionsincethatofcreditriskishighlyskewed，withhighprobabilitiesofsmalllossesandlowprobabilitiesofl

11、argelossesmakingthemeasurementofcreditriskdifficultandinaccurateThissectionalsointroducessomeprinciplesusedinthelatesttechniquesformeasuringdefaultriskandcorrelationeffectsThesecondsectionproposesaffameworkforthequantita

12、tiveevaluationofthecreditriskofaportfolioThisframeworkenablesUScomprehensivelyandobjectivelytomeasurethefinancialriskstakingintoaccountthediversification／concentrationeffectthecollateraleffectandthecorrelationbetweenvari