基于Copula方法的我国商业银行经济资本集成测度

发布时间：2018-01-11 16:10

本文关键词：基于Copula方法的我国商业银行经济资本集成测度　出处：《长沙理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：经济资本是现代商业银行重要的管理参数,是实现全面风险管理的核心。自美国信孚银行首创经济资本管理方法后,经济资本理念被用于银行风险管理,学术界和实务界就一直探索该怎样超越定性层面,模型化经济资本并得到量化值,增强可操作性。传统的银行业风险度量是假设信用、市场、操作风险之间相互独立,而在求整体层面的经济资本时又假设风险之间是完全相关的,这种计量的缺陷在于忽略了各不同风险之间的复杂相关性。本文拟以Copula理论为分析工具,综合考虑商业银行各风险之间的相关性为前提,度量商业银行的经济资本集成值,从而优化资源配置,提高资金利用效率,增加资产投资回报,这对于商业银行来说现实意义重大。具体来说,本文主要研究并解决以下问题：第一,如何构建各类型风险的边际分布模型。第二,如何考虑商业银行不同类型风险的相关性,量化各类型风险的经济资本占用。第三,如何汇总商业银行各类型风险的经济资本。文章的基本思路是围绕商业银行经济资本集成测度问题,分五个章节展开研究。第一章是绪论部分。该部分从经济资本对商业银行经营管理的重要性出发,阐述本文的研究背景及研究意义。并简要概括经济资本以及Copula在金融领域中相依性运用,为下文基于Copula方法探讨商业银行经济资本集成计量奠定基础。第二章是关于商业银行经济资本的理论诠释。该部分从经济资本的内涵、计量以及现有经济资本集成测度方法三方面概述,得出现有经济资本集成计量模型存在的不足及本论文试图改进之处。第三章是重点阐述Copula理论对于具有不同风险分布特征的信用风险、市场风险、操作风险三类型如何统一构建模型的理论阐释。第四章是商业银行经济资本集成测度的Copula模型构建。基于操作风险数据难以获得,本文重点构建信用风险、市场风险的联合分布函数,计量经济资本总额。第五章为结论及展望部分。商业银行经济资本集成测度本是对全行所需风险资本的一个整体性评估,目的是保证银行在给定的置信水平下的偿付能力,保证银行远离或避免挤兑临界点。本研究旨能在一定程度上能为我国商业银行的经济资本管理提供可鉴的参考。
[Abstract]:Economic capital is an important parameter in the management of modern commercial bank, is the core of comprehensive risk management. Since the Bankers Trust first economic capital management method, the concept of economic capital is used for bank risk management, the academic and practical circles have been exploring how to transcend of level, model of economic capital and quantization value enhancement maneuverability. The traditional banking credit risk measurement is the hypothesis, market, operational risks are mutually independent, and in the overall level of economic capital and risk hypothesis are fully correlated, this defect meter is neglecting the complicated correlation between different risks. This paper take the Copula theory as the analysis tool and considering the relationship between the commercial bank risk measurement of commercial bank, economic capital integration, to optimize the allocation of resources, improve the utilization efficiency of funds, This increase in asset returns, for commercial banks is of great practical significance. Specifically, this paper mainly studies and solves the following problems: first, how to construct the model of marginal distribution of various types of risk. Second, how to consider the correlation between different types of commercial bank risk, economic capital to quantify the various types of risk. Third, how to collect the commercial bank the various types of risk economic capital. The basic idea is on the integration of economic capital measurement of commercial banks. The research is divided into five chapters. The first chapter is the introduction part. This part from the importance of economic capital management of commercial banks, expounds the research background and research significance of this paper. And a brief summary of economic capital and Copula in the financial field dependent application, laying the foundation for the following discussion of economic capital of commercial bank based on Copula integrated measurement method. Second Chapter is the theory on the interpretation of economic capital. This part from the connotation of economic capital, economic capital measurement and the existing measurement methods of integrated three aspects to overview, the weakness of economic capital measurement model and the integration of this thesis. The third chapter is the improvement focuses on Copula theory with different distribution of credit risk risk, market risk, operational risk of the three types of theories to explain how to unify the model. The fourth chapter is the construction of Copula model of economic capital of commercial bank operation risk integrated measure. Based on the data difficult to obtain, this paper focuses on the construction of credit risk, the joint distribution function of market risk, economic capital measurement in total. The fifth chapter is the conclusion and prospect. The economic capital of commercial banks is an integrated measure of the overall assessment of the risk capital of the bank. The purpose is to ensure that banks in The solvency of a given confidence level ensures banks to stay away or avoid the critical point of running. This research aims to provide a reference for our commercial banks' economic capital management to a certain extent.

【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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