风险相关性下的信用风险、市场风险和操作风险集成度量被引量：41

Integrating Credit,Market and Operational Risk Based on Risk Correlation

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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。 The correlations among the credit, market and operational risk significantly influence the integrated risk. This paper proposes a model to integrate credit, market and operational risk considering correlation. The integrated risk is computed by Copula function and Monte Carlo simulation. The diversification benefit and the overall risk variation from different copulas are explored. At last, the empirical results base on an accepted literature data show, this proposed model can describe the risk correlation well, and the VaR of this model is smaller than that of simply adding up the three different risks. This paper presents a unique way for the commercial banks to evaluate integrated risks and improve the financial utilization.

作者李建平丰吉闯宋浩蔡晨

机构地区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

出处《中国管理科学》 CSSCI 北大核心 2010年第1期18-25,共8页 Chinese Journal of Management Science

基金国家自然科学基金(70701033 70531040 90718042)

关键词风险相关性风险集成信用风险市场风险操作风险 COPULA risk correlation risk integration credit risk market risk operational risk Copula

分类号 C931 [经济管理—管理学] F830 [经济管理—金融学]

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