基于COPULA-EVT的利率衍生品风险管理

Risk Management for Interest Rate Derivatives by COPULA-EVT

监管层提出对"系统重要性银行"和"非系统重要性银行"进行分类管理的思路,表明在强化宏观审慎监管过程中,微观个体宏观审慎经营行为仍然起着重要的作用。新巴塞尔协议对于银行信用风险的监控和计量有了更加严格的规定,然而对于涉及到衍生品的市场风险只是强调银行要根据自身的交易业务进行合理评估,这样便使得衍生品的市场风险成为了银行整体风险中最不稳定的因素。本文基于极值分布、Copula连接函数和蒙特卡洛模拟理论,获得商业银行包括利率期货、利率期权、利率互换在内的单个利率衍生品的风险度量指标,如VaR,CVaR,EVA,RAROC,EC,并得到衍生品组合的风险度量指标,这些指标可以帮助商业银行更加清晰地了解自身的潜在风险。同时,商业银行在给定风险容忍度VaR下能得到各种衍生产品的最优配置,从而为银行的投资决策提供参考。

Regulators proposed the idea for commercial bank＇s category management by ＂systemically important bank ＂ and ＂non-systemically important bank＂,which indicates that the behavior of micro-individual still plays an important role in macro prudential management.Basel II gives more stringent monitoring and measurement requirements for banks＇ credit risk management,but ignored market risk related to derivatives,and this will bring about the most destabilizing factor to bank＇s overall risk management.In this paper we are aiming to strengthen interest rate derivatives related risk management for the commercial banks by means of different risk indexes and risk metrics methods.Based on the techniques of extreme value distribution,copula function and Monte Carlo Simulation,commercial banks will have access to risk metrics indexes such as VaR,CVaR,EVA,RAROC and EC,also the portfolio.Besides,optimal economic capital allocation is also can be considered to rationally allocate the notional principal with the limitation of economic capital in order achieve the portfolio with maximum yield.This will be a good combination of the profitability and safety of a commercial bank.