Research Of Risk Measurement & Best Business Volume Of Buying Back Business

Financial innovation is an inevitable product of finance market development, and undoubtedly, is an essential choice for banks’ adapting to the market development. Although financial innovation businesses will bring benefits to commercial banks, its rapid expansion will also cause a lot of risks to banks and even the financial system. One of the examples is the burgeoning buying back business of banks in recent years. Therefore, it is extremely essential to effectively carry out moderate control of risk management and business scale of financial innovative businesses so as to promote their healthy development.Combining with the mathematical analysis technology, the thesis tries to conduct a deep research on buying back business and puts forward the demarcation of the risk characterization and the best combination business volume of this type of business from aspects of business mode, derived business, business risk, business pricing and control of business volume.First of all, in accordance with the operation mode of buying back business, the thesis gives a risk classification of buying back business. And through the multidimensional risk measure method, the thesis gives out assignments for risk indexes.Secondly, the thesis establishes a two-dimensional default risk pricing model based on the buying back business, then works out the VaR and CVaR of this business according to the pricing formula.At last, the thesis builds a mean- CVaR model based on the buying back business, and further builds a "steady" mean-YWCVaR model combining with sample remolding. Utilizing MATLAB, the numerical solutions of these two models are given out and thus the best combined business volume and risk value of the buying back business can be achieved. Through living examples, the rationality and effectiveness of the models are proved.As one of the innovative businesses of banks, due to its service attribute of off-balance sheet, buying back business is still being chased after by commercial banks. In line with such kind of innovative business, the thesis puts forward mathematical characterization of business risk and best business volume for the first time. The results are new and have a certain theoretical and practical significance.