壓力測試及其在我國上市銀行風(fēng)險管理中的應(yīng)用研究.pdf

1、五邑大學(xué)碩士學(xué)位論文壓力測試及其在我國上市銀行風(fēng)險管理中的應(yīng)用研究姓名：朱華彬申請學(xué)位級別：碩士專業(yè)：管理科學(xué)與工程指導(dǎo)教師：馮佳20090510五邑大學(xué)碩士學(xué)位論文AbstractCommercialbanksareorganizationsthatbearriskssincedayoneRiskmanagementnotonlyaffectsbanks’operatingperformance，butalsotheirsurviva

2、labilitiesAllproblemsoccurredarebasicallyconsequenceofpoorriskmanagementThepresenceoffinancefurtherancecastsmoreandmoresignificanceonriskmanagementThisisespeciallytrueasglobalfinancialcatastrophetookplacerecentlySupervis

3、ingauthoritiesareplacingriskmanagementontopoftheirlist，andaskformorecontroloncommercialbanks’risksAtthesametimefinancialcrisisalsotellsUSthattraditionaltoolsareoutofdatewhentryingtoadapttocomplexcircumstancesnowadaysThey

4、arenotsuitableforcontrollingcommercialbanksrisksanymoreAsabrandnewriskmanagementtool，stresstesthelpstoprofoundlyunderstandtheessenceofriskmanagementwhenapplied，andmanagebanksassetsefficiently；also，itisgoodatkeepingawayan

5、dcontrollingrisksThetwoaimsofthisdissertationare(1)tosystematicallystudythetheoreticalbasisofstresstestandthewaysofmeasuringit，and(2)toprobeintohowstresstestcouldbeintegratedintohomelistedbanks’riskmanagementBasedonstres

6、stestthisdissertationalsoempiricallyanalyzeshomebankingsituationsHopefullythiswillserveasreferenceforbankriskmanagementandsupervisionThisdissertationconsistsofsixchaptersasfollowsChapteroneisintroductionItiSmainlyaboutde

7、velopmentbackgroundandprimarymethodsoffinancialriskmanagementIttellstheaimsandsignificanceoftheselectedsubject，thestudymethodandtheframeworkMeanwhile，itdiscussesthe仃endsandsituationsofhomeandabroadstudiesonsameaspectView

8、ingfromtheaspectsofBCBS’requirement，theconeeptofⅥlRandtheflawsthatliein锨modelandthecountermeasuresinextremecircumstanceschaptertwodiscussesthenecessityoflaunchingstresstestonbanksChapterthreeintroducesthedefinitionofstre

9、sstestOnsuchbasisitdissertatesaboutthedevelopmentofstresstestandhowtoprocessstresstestItalsodetailsHistoricalScenarioAnalysis，WrorStCaseScenarioAnalysis，andSystemizedStressTestIntheframeofstresstest，chapterfourthoroughly

10、dissertatesonhowtocarryoutstresstestonmarketrisk，creditrisk，operatingriskandliquidityriskthatbanksarefacingwimItalsocontainsstresstestoninterestrateriskexchangerateriskandrealestate10anriskof14banksthroughcheckingtheiran