Copula函数与商业银行操作风险的度量

Copulas Function and Commercial Banks Operational Risk Measurement

Copula函数是在金融领域用到的一个统计工具,它能够建立灵活的联合分布函数。通过基于模拟损失数据的实证分析表明:Copula函数的运用有效地节约了商业银行所需的风险资金,正态Copula与t-Copula所得的结果相差不大,不同分布组合所得的结果相差比较大。

A Copula is a statistic tool which has been recently used in finance to build flexible joint distributions. An empirical example indicates that the Copula function can save the risk capital remarkably and the result differs little based on normal Copula and T Copula while it differs remarkably based on the different distribution.