毕业设计（论文）题 目反常扩散模型在风险管理中的应用 姓 名卢策学 号 3090411021专业班级 09 信计 1 班 指导老师吕龙进学 院信息科学与工程学院完成日期 201 3 年 6 月 1 日 宁波理工学院摘 要随着世界经济和中国金融市场的不断进展，各种行业尤其是金融行业的投资风险日益成为了各种机构无可避开的重要问题，所以风险管理愈发显得重要，也成为了日益紧迫的任务。在各种投资风险管理手段中，VaR 方法以其精密的科学性和广泛的有用性脱颖而出，成为了风险管理的重要方法。但是随着市场的不断进展，各种不可预知的因素导致市场走向千变万化。这样一来就暴露出了经典风险计算模型的不足。本文首先讨论反常扩散的特征，以与反常扩散下的概率密度函数的特征，结合大数定律运用蒙特卡洛模拟法，模拟出反常扩散下市场利率分布呈尖峰厚尾性质的图像。其次本文将反常扩散模型应用到风险管理中去，并计算此时的 VaR 值。最后我们得出结果，并希望此模型能对现今的风险管理模型的进展起到推动的作用。关键词：风险管理；VaR；反常扩散模型；蒙特卡洛模拟法AbstractWith the continuous development of world economy and China's financial market, all kinds of industries, especially the investment risk of the financial industry has increasingly become an important and inevitable problem of various institutions. Therefore, risk management has become even more important. Among these kinds of management means of investment risk, VaR method makes itself stand out with its precise scientificity and extensive practicality, and has become an important method of risk management. However, with the development of the market, all sorts of unpredictable factors make the present market ever-changing. As a result, it gradually reveals the disadvantages of traditional Risk calculation model. This paper first discussed the features of anomalous diffusion and its the probability density function under the anomalous diffusion. Then using the Monte Carlo simulation method which is combined with the law of large numbers ...
