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Systems Engineering Research On The Risk Management Of Bank Loads And Securities Investment

Posted on:2006-10-03Degree:MasterType:Thesis
Country:ChinaCandidate:Y S HuangFull Text:PDF
GTID:2156360152975197Subject:Systems Engineering
Abstract/Summary:PDF Full Text Request
In the thesis five models,four propositions and two expanded applied approaches as well as an academic viewpoint as to systems theory are studied which are suitable for two financial main subjects—both a commercial bank and an investment bank to undertake the risk management in point of bank loans and securities investment.In order to keep a lookout of the credit load risk of the commercial banking,firstly membership functions are introduced to structure the fuzzy identification model on the credit ranks of the aptitude for debt enterprises to pay back their liabilities,the model,s operational procedures are depicted by virtue of corresponding case analysis, the advantages prior to the traditional credit rank assessment method being analysed and contrasted.Secondly, by means of the introduction of fuzzy decision making and the integration of self-organization theory of systems science an overall fuzzy appraisal decision making model on bank load credit risk categories (and their risk magnitudes) is constituted in terms of the five-category assets classfication by which the People,s Bank of China assesses loan quality,after the case concerned is used to illustrate its operational procedures the technical postulates are pointed out in detail which the fuzzy decision making model depends on so as to be applied properly and successfully,the information asymmetry between the bank and the enterprise produces an effect on loan risk and the former may take what measures to reckon with it ,as is disclosed deeply and described concretely,and subsequently a viewpoint is advanced and proved that "an enterprise is a simple giant system with a dissipative structure,what,s more,several recipes which determine factor weights are enumerated and pictured.Thirdly,the fuzzy decision making model is contrasted and dissected with other assessment methods on bank loan risk at home and aboard to get its superiorities to them.In order to manage the securities investment risk of investment banking,the thesis firstly dissects and studies the securities portfolia management theory and the mutual fund separation theorem and uses martingale theory to prove the proposition of each period optimatization pricinple on securities investment ,which betters the theoretical foundation of securities investment.Under the basis the thesis poses and proved two propositions on assets choice decision making and one on the portfolia arbitrage of between options and stocks in the matter of securities investment,make a model for fuzzy clustering of enterprises going on the market quality,having the intention of steering clear of securities investment risk,further applying Brownian motion with a drift coefficient to study the building,solution and its stochastic properties of a stochastic differential equation decision making model for capital securities commodity,s quota distribution with utility preference and utilizing fuzzy programming to study the establishment and resolution of the fuzzy linear both objectives programming model for securities commodities quota allotment without utility preference, with an eye to fumbling for the means of diversification and shift of investment risk.Moreover,the thesis also study both expanded applied approaches of semi-Bayes decision making pricinple in the objective programming of strategic securities investment and the option pricing formula in the valuation of risky assets with the intention to guard against investment risk,dissecting and researching the ways of smooth time series and mean square optimization approximatation via which to predict securities market,s trends,P/E regression analysis and dividend discount with multiple growth unknowns to estimate the assets value by way of, and stochastic dominance to select good assets in accordance with and so forth.,seeking to offer other technical means by which to manage investment risk.The propositions ,models and approaches above not only stress their theoretical analysis,study and search but demonstrate those practical operational procedures on securities...
Keywords/Search Tags:loan quality, fuzzy decision making, securities investment, risk management
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