Dissertation > Excellent graduate degree dissertation topics show

Calculation of Commercial Banks’ Risk Reserve

Author: SongQingLi
Tutor: WangJinYu
School: Shenyang Institute of Aeronautical College
Course: Business management
Keywords: Total loss Loss reserve Value at Risk Copula function Monte Carlo simulation
CLC: F830.4
Type: Master's thesis
Year: 2010
Downloads: 72
Quote: 0
Read: Download Dissertation

Abstract


Commercial banks in accordance with the requirements of the commercial banks need for sustainable development and regulatory agencies , an urgent need for a more reasonable measure of its exposure to credit risk in the course of business , market risk and operational risk , management risk and gain between balance. Face in response to the risk of loss , the commercial banks need to set aside risk reserves for risk . Loss reserves in the traditional method by calculating the various types of risk of loss reserve , and then a simple summation of these risks loss reserve . This method implies a completely positive correlation between the risk of loss assumptions , in actual use will result in overestimation of the risk of loss , causing excessive risk reserve , affect the bank 's earnings and the pace of development . In this paper, the current widely accepted value-at-risk (VaR) approach to measure credit risk faced by the commercial banks , market risk and operational risk risk situation . Between different risk types , to examine the application of Copula function , on this basis , the establishment of commercial banks measure risk model simulation to risk the loss of the use of Monte Carlo simulation method , get more risk reasonable measure . The 10 -day holding period , according to the model calculated value at risk VaR smaller than by the resulting VaR values ??were calculated and simple summation method , which makes the commercial banks need to set aside to cope with risks and can be more reasonable to determine reserve .

Related Dissertations

  1. Aerial Target Anti-interference Recognition and Tracking System,TN215
  2. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  3. Ecological Risk Assessment of Marine Gastropod Mollusks Population,X174
  4. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  5. Research on Real Options Models and Applications in China,F832.5
  6. The Application Research to Risk Measurement of Index Futures,F224
  7. Based on VaR Shanghai fuel oil futures market risk analysis,F224
  8. Improve SBR conversion rate of,TQ333.1
  9. Optimal Assembly Tolerance Design Based on Monte Carlo Method and Modified PSO Algorithm,TG801
  10. Reliability Evaluation of Distribution System Based on Monte-Carlo Method,TM732
  11. Study on the Methods of Risk Management in Engineering Project,F224
  12. Risk Control Based on Copula loan portfolio optimization model,F224
  13. Copula function and high-end ES liquidity of commercial banks risk measure,F224
  14. Empirical Study on Gold Futures Hedging Ratio Using Copula-GARCH Model,F830.91
  15. Pricing Strategy Research of Lng Based on Monte-Carlo Simulation and Genetic Algorithms,F416.22
  16. Intergration of Bank’s Market and Credit Risk Based on Copula,F832.2
  17. Risk Measurement and Optimal Steategy Selection of Portfolio Based on SV Model and COPULA,F830.59
  18. The hybrid the Copula construct and applications,F832.51
  19. The Selection Method of Copula and Its Application,F832.51
  20. Research on the Pricing of Collateralized Debt Obligation Based on Copula,F224
  21. Dependency case , the multi - life state comparison of the present value of annuity,O211.67

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Banking
© 2012 www.DissertationTopic.Net  Mobile