风险相关性下的信用风险、市场风险和操作风险集成度量
发布时间：2018-12-23 19:40
【摘要】：商业银行各种风险之间相关性的存在,对其整体风险的度量产生重要影响。本文针对商业银行的信用风险、市场风险和操作风险这三类主要风险,在考虑相关性基础上给出了风险集成过程,通过copula函数和蒙特卡洛模拟方法计算了商业银行的整体风险,同时研究了风险分散化效应和在不同copula函数下整体风险的变化情况。最后以主流文献中的数据做了实证分析,结果显示本文提出方法能够很好的描述风险损失之间的相关性,同时在能够抵御相同风险的情况下考虑相关性下的在险值与简单相加得到的在险值相比要小,这能为银行业提高资金利用率提供了一定的理论和方法依据。
[Abstract]:The existence of correlation between various risks of commercial banks has an important impact on the measurement of their overall risk. Aiming at the credit risk, market risk and operational risk of commercial bank, this paper gives the risk integration process on the basis of considering the correlation, and calculates the overall risk of commercial bank by copula function and Monte Carlo simulation method. At the same time, the effect of risk decentralization and the variation of overall risk under different copula functions are studied. Finally, the empirical analysis is made with the data in the mainstream literature. The results show that the proposed method can describe the correlation between the risk loss and the risk loss. At the same time, under the condition of resisting the same risk, the risk value under correlation is smaller than that obtained by simple addition, which can provide a certain theoretical and methodological basis for the banking industry to improve the utilization rate of funds.
【作者单位】： 中国科学院科技政策与管理科学研究所;中国科学技术大学管理学院;山东经济学院统计与数学学院;
【基金】：国家自然科学基金(70701033,70531040,90718042)
【分类号】：F224;F830.4
本文编号：2390168
[Abstract]:The existence of correlation between various risks of commercial banks has an important impact on the measurement of their overall risk. Aiming at the credit risk, market risk and operational risk of commercial bank, this paper gives the risk integration process on the basis of considering the correlation, and calculates the overall risk of commercial bank by copula function and Monte Carlo simulation method. At the same time, the effect of risk decentralization and the variation of overall risk under different copula functions are studied. Finally, the empirical analysis is made with the data in the mainstream literature. The results show that the proposed method can describe the correlation between the risk loss and the risk loss. At the same time, under the condition of resisting the same risk, the risk value under correlation is smaller than that obtained by simple addition, which can provide a certain theoretical and methodological basis for the banking industry to improve the utilization rate of funds.
【作者单位】： 中国科学院科技政策与管理科学研究所;中国科学技术大学管理学院;山东经济学院统计与数学学院;
【基金】：国家自然科学基金(70701033,70531040,90718042)
【分类号】：F224;F830.4
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