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我国商业银行市场风险度量的实证分析
学习有效期 长期有效
简介
由于影响市场风险的外界宏观因素复杂多变,大多数时候无法对利率指数、汇率指数及股票指数等进行精确预测,同时对于商业银行管理者而言,这三个监管因子各自的变动空间及变动趋势更具有参考意义和实际价值,因此本案例将利用支持向量机方法分别对利率、汇率及股指进行预测度量。首先我们将根据有关市场风险理论的分析构建监管指标体系,然后根据改进的SVM方法对监管因子进行仿真试验,最后给出影响商业银行的各市场风险因子的波动趋势,为监管者的决策提供科学的理论依据。
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