風險相關(guān)性下的信用風險、市場風險和操作風險集成度量
發(fā)布時間：2018-12-23 19:40
【摘要】：商業(yè)銀行各種風險之間相關(guān)性的存在,對其整體風險的度量產(chǎn)生重要影響。本文針對商業(yè)銀行的信用風險、市場風險和操作風險這三類主要風險,在考慮相關(guān)性基礎(chǔ)上給出了風險集成過程,通過copula函數(shù)和蒙特卡洛模擬方法計算了商業(yè)銀行的整體風險,同時研究了風險分散化效應(yīng)和在不同copula函數(shù)下整體風險的變化情況。最后以主流文獻中的數(shù)據(jù)做了實證分析,結(jié)果顯示本文提出方法能夠很好的描述風險損失之間的相關(guān)性,同時在能夠抵御相同風險的情況下考慮相關(guān)性下的在險值與簡單相加得到的在險值相比要小,這能為銀行業(yè)提高資金利用率提供了一定的理論和方法依據(jù)。
[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.
【作者單位】： 中國科學院科技政策與管理科學研究所;中國科學技術(shù)大學管理學院;山東經(jīng)濟學院統(tǒng)計與數(shù)學學院;
【基金】：國家自然科學基金(70701033,70531040,90718042)
【分類號】：F224;F830.4
本文編號：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.
【作者單位】： 中國科學院科技政策與管理科學研究所;中國科學技術(shù)大學管理學院;山東經(jīng)濟學院統(tǒng)計與數(shù)學學院;
【基金】：國家自然科學基金(70701033,70531040,90718042)
【分類號】：F224;F830.4
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