数学中国国际赛论文参考模版 3Word文档下载推荐.docx

1、1273我们选择的题目是： A 参赛队员 （签名） ： 队员1：朱凡 队员2：金乔队员3：刘家栋 参赛队教练员 （签名）： 刘保东编 号 专 用 页参赛队伍的参赛队号：（请各个参赛队提前填写好）：竞赛统一编号（由竞赛组委会送至评委团前编号）：竞赛评阅编号（由竞赛评委团评阅前进行编号）：Risk Management Based on Modeling Risk in Economic SystemAbstract：According to the target of economic system, the process of value realization for the econom

2、ic activities in an economic system was analyzed. Then the definition of “risk” in such economic systems was provided , and the impact of its components:“risk events”,“risk factors” , and “risk genes” was analyzed. Based on the relations of risk potential and risk events, the high-level risk model w

3、as developed. Furthermore, based on the relation of “risk factors” and “risk genes”, the model for analyzing low-level risk in an economic system was developed. The high-level and low-level models are coordinated by the interaction of risk events and risk factors. There are many factors cause a risk

4、, pass to be engaged in to actually set out, after surveyed the basic market data and used the high-level and the low level as a framework. Also one of the most important aspect of risk -market risk are discussed .In the discussion of market risk management, volatility modeling and vortfolio risk ar

5、e referred. Furthermore, operational risk and regulation management is analyzed, using hedge funds as an example. In the discussion of this part, Basel II framework and hedge fund due diligence are referred.With this model, the risk analysis can deal with large amount of information of different lev

6、els, while focusing on particular concerns at the same time.Key words: Market data, risk events, risk factors, risk genes, market risk, volatility modeling, portfolio risk, covariance estimationContents1.Introduction 3 1.1 economic calamity 3 1.2 The mathematical model in the risk3 1.3 The problems

7、of mathematical model32. The Description of Problem4 2.1 How do we define the risk4 2.1.1 The characteristics of risk 4 2.1.2 From the angle of applicable object 4 2.2 Originals of the financial/economic crises 52.3 The classification of financial risk 5 2.4 Other human factors on risk53. Models 63.

8、1 Basic Model. 6 3.1.1 Symbols and Definitions6 3.1.2 Assumptions 7 3.1.3 The Foundation of Model7 3.1.4 Solution and Result 19 3.1.5 Analysis of the Result19 3.1.6 Strength and Weakness204.Conclusions205.References 216. Appendix 22 6.1 Statistics22 6.2 letter to the financial investment firms25I. I

9、ntroductionIn order to indicate the origin of the economic calamity , the following background is worth mentioning.1.1 economic calamity The global financial crisis that began in summer 2007 has continued to wreak devastating loss and damage across all markets, all economies, and all countries. An i

10、nitial liquidity contraction in the financial markets was transformed into a full solvency crisis following the collapse of Lehman Brothers on September IS, 2008. This crisis was almost wholly unpredicted and led to a massive collapse in growth and investment across the world. Leading emerging marke

11、ts were not immune as any possible decoupling or separation evaporated. 1Financial Crisis-U.K. Policy and Regulatory Response Walker, George A. The International Lawyer44.2Ineffective supervision, questionable investments and poor operations of financial institutions, and in so doing highlight the n

12、eed for a new financial regulatory framework that will address these problems and rebuild the publics confidence in the financial industry as a whole.1.2The mathematical model in the riskThe 2007 credit crisis was a wake-up call with respect to model usage. It has been alleged that the misuse of ris

13、k management models helped to generate the crisis.The models were supposed to simulate the complex interactions of many market forces on one another, including fluctuations in markets, changing interest rates, prices of various stocks, bonds, options and other financial instruments. Even if they did

14、 that-thats arguable-they failed to account for one important scenario: What happens when everybody wants to sell all their holdings at the same time? This is precisely what happened in those dark days of September 2008, when the U.S. government decided not to bail out Lehman Brothers, and the vener

15、able institution defaulted on its creditors. The domino effect of collapse was averted only by massive infusions of money from the federal government.1.3The problems of mathematical modelThrough the risk models indicated that the chance of any major institution defaulting was minimal. A big problem

16、was that the models omitted a major variable affecting the health of a portfolio: liquidity, or the ability of a market to match buyers and sellers. A missing key variable is a big deal-an equation that predicts an airplane flights risk of arriving late will not be very reliable if it has no mathema

17、tical term representing weather delays. There are multiple reasons for a state of the economy. Blaming the economic calamity on risk models would be an oversimplification. There are other human factors-political and regulator ones-certainly came into play.II. The Description of the Problem2.1 How do

18、 we define the riskThe concept of risk is an outgrowth of our societys great concern about coping with the dangers of modern life. Risk refers to the possibility of an event about what we dont want to consequences.1） The characteristics of riskFinancial markets are becoming increasingly sophisticate

19、d in pricing , isolating , repackaging,and transferring risks. Tools such as derivatives and securitization contribute to this process, but they pose their own risks.We are seeking a general definition. Any general definition must compass all of situations.The situations may appear disparate, but th

20、ey share certain common elements.First,people care about the outcomes. If someone has a personal interest in what transpires,that person is exposed. Second, people dont know what will happen.In each situation,the outcome is uncertain,It seems that risk entails two essential components and some small

21、er aspect : Objectivity Controllability Identifiability Accumulation Loss The likelihood of the events the uncertainty of occurrence time the uncertainty of the resultBased on the above, one can draw a conclusion that if the risk is uncertain, the result of a risk may lead to lost profit,.like finan

22、cial risk Belong.2）From the angle of applicable objectRisk is a condition of individuals-humans and animals-that are self-aware（3）. Organizations,companies,and governments are conduits though which individuals-members, investors,employees,and such-take risk.Looking through a company to see who ultim

23、ately bears specific risks can be enlightening.For example,increasing the accountability of managers increases career risk for those managers but tends to reduce price risk for stockholders.2.2 Originals of the financial/economic crisesThere are many originals of economic calamity, economic policy m

24、istakes,raw materials nervous,natural disasters,the consequences of globalization.The financial policy errors . From the picture 1, originals of the financial/economic crises is simple to understand. Picture 1 origin of the financial/economics crises2.3 The classification of financial risk In genera

25、l, factors of financial risk can be divided into two parts: Objective factors. For financial institutions, this risk is objective existence and not transfer with the willing of the people. Including country risk, interest rate risk, exchange rate risk, policy risk, liquidity risk, credit risk, inves

26、tment risk, etc., most risks caused by non-artificial factors; Subjective factors, such as management risk, etc. The reasons are that the salesman make some mistakes inadvertently, mismanagement, lax supervision. These problems are inevitable to some extent .2.4 Other human factors on riskUnfortunat

27、ely, missing illiquidity risk wasnt the only major problem. Financial risk models have been designed to focus on the risk faced by an individual institution. That always seemed to make sense because institutions are concerned only with their own risk, and regulators assumed that if the risk to each

28、individual institution is low, then the system is safe. But the assumption turned out to be poor, says Rama Cont, director of Columbia Universitys Center for Financial Engineering. In a system where many interdependent components each have a low risk of failure, he notes, systemic risk can still be

29、excessive. Imagine 30 people walking side by side across a field with their arms around one anothers shoulders-any one person may be unlikely to stumble, but theres a decent chance someone in the group will, and that one stumbler could bring down a chunk of the line. Thats the situation financial institutions are in, Cont says. Up through 2008, regulators werent considering the connections between these banks in assessing risk, he observe