期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

copula理论在商业银行风险管理中的应用 被引量：3

Copula Theory:Applications in Risk Management at Commercial Banks
下载PDF
导出
摘要 选取在上交所及深交所上市的10只商业银行股为样本,研究Copula理论在商业银行风险管理上的应用。通过Copula函数,可以将风险分解成两部分:单个金融资产的风险和由投资组合产生的风险。其中单个金融资产的风险可以完全由它们各自的边缘分布来描述,而由投资组合产生的风险则完全由连接它们的Copula函数来描述。这使建模问题大大简化,同时也有助于我们对很多金融问题的分析和理解。 This paper samples shares of 10 commercial banks listed at the Shanghai Stock Exchange and Shenzhen Stock Exchange to study the applications of copula theory in risk management at commercial banks. Through copula function, risk can he decomposed into two parts： risk related to individual financial assets and risk generated by investment portfolio. The for- mer can be described completely by their marginal distribution, while the latter by copula function linking them. This largely simplifies modeling and improves our understanding of many financial issues.
作者 余孝军
机构地区 贵州财经学院数学与统计学院
出处 《贵州财经学院学报》 CSSCI 北大核心 2009年第1期64-68,共5页 Journal of Guizhou College of Finance and Economics
关键词 COPULA理论 VAR CVAR 商业银行 风险管理 Copula theory Value at Risk conditional Value at Risk risk management
分类号 F812 [经济管理—财政学]
  • 相关文献

参考文献9

  • 1Nelsen R B. An introduction to Copulas [ M ]. New York: Springer, 1999 : 8 - 20.
  • 2Bouye E, Durrleman V, Nikeghbali A, et al. Copulas for finance: A reading guide and some applications[ R ]. London : Financial Econometrics Research Centre,City University Business School,2000.
  • 3Li D X. On Default Correlation: A Copula Function Approach [ J ]. Journal of Fixed Income ,2000,9 ( 4 ) :43 - 54.
  • 4Frey R, McNeil A J, Nyfeler M A. Modelling Dependent Defaults:Asset Correlations Are Not Enough! [ R ]. Working Paper, Department of Mathematics, ETHZ,2001.
  • 5Embrechts P, H .9 ing A, Juri A. Using copulae to bound the Value -at - Risk for functions of dependent risks[ J]. Finance and Stochastics ,2003,7(2) : 145 - 167.
  • 6Frees E W,Wang P. Credibility Using Copulas [J]. North American Actuarial Journal,2005,9(2) :31 -48.
  • 7Palaro H P, Hotta L K. Using Conditional Copula to Estimate Value at Risk [ J ]. Journal of Data Science,2006,4 ( 1 ) :93 - 115.
  • 8史道济,姚庆祝.改进Copula对数据拟合的方法[J].系统工程理论与实践,2004,24(4):49-55. 被引量：35
  • 9石媛昌,韩立岩.金融风险度量方法的新进展[J].首都经济贸易大学学报,2005,7(4):18-21. 被引量：3

二级参考文献33

  • 1[1]Anthony W Ledford, Jonathan Tawn. Statistics for near independence in multivariate extreme value[J]. Biometrika, 1996, 83(1):169-187.
  • 2[2]Anthony W Ledford, Jonathan Tawan. Modelling dependance within joint tail regions[J]. J R Statist Soc B, 1997, 59(2):475-499.
  • 3[3]Roger B Nelsen. An Introduction to Copulas[M]. New York: Springer, 1998.
  • 4[4]Hutchinson T P, Lai C D. Continuous Bivariate Distributions, Emphasising Applications[M]. Rumsby Scientific Publishing, Adelaide, 1990.
  • 5[5]Joe, H. Multivariate Models and Dependence Concepts[M].Chapman and Hall, London,1997.
  • 6[6]Sibuya M.Bivarinate extreeme statistics[J].Inst Statist Math,1960,11:195-210.
  • 7[14]Tasche D. Expected shortfall and beyond [J] . Journal of Banking & Finance, 2002, 26 (7): 1519 - 1533.
  • 8[15]Wirch J.L, Hardy M. R. A synthcsis of risk measures for capital adequacy [J] .Insurance: Mathematics and Economics, 1999, 25 (3): 337-347.
  • 9[16]Hock J. v. d. , Sherris M. A class of non -expected utility risk measures and implications for asset allocations [ J] . Insurance: Mathematics and Economics, 2001,28: 69 - 82.
  • 10[17]Wang S. S. A class of distortion operators for pricing financial and insurance risks [J] . The Journal of Risk and Insurance, 2000, 67 ( 1 ): 15 -36.

共引文献36

同被引文献28

引证文献3

二级引证文献1

贵州财经学院学报
2009年 第1期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部