2、足。本文首先讨论反常扩散的特征，以及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发展起到推动的作用。关键词：风险管理；VaR；反常扩散模型；蒙特卡洛模拟法IIAbstractWith the continuous development of world economy and China's financial market, all
3、 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
4、 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
5、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
6、Monte Carlo simulation method which is combined with the law of large numbers to simulate the distribution of market interest rates,weobtainthedistributionfollowsheavytailundertheanomalousdiffusionmodel. Secondly,weshowhowtoapplytheanomalousdiffusiontotheriskman
7、agement,andcalculatetheVaR.Finally, we concluded that as a result, and hope this model can boost to the development of modern risk management model.Keywords:Riskmanagement；VaR；Anomalousdiffusionmodel;MonteCarloSimulation，MCSII目录摘要IAbstractII目录III第1章概述11.1引言11.2风险
