摘要
金融机构面临信用风险、市场风险和操作风险等诸多风险组成的整合风险。本文利用Copula方法对整合风险度量进行研究。以12家中国上市商业银行为研究对象,首先确定其信用风险、市场风险这两种风险收益率的分布,然后利用Copula构建相依结构模型,最后用蒙特卡罗模拟算法计算不同风险组合的VaR和CVaR,并利用返回测试检验模型的有效性。
At present,the financial institutions have to face the integrated risks such as the credit risk, market risk and operational risk. In this paper, the author takes 12 Chinese listed commercial banks as the research object. Firstly, the distribution of return rate of each risk is determined, and then the dependence structure is constructed by using Copula. Then the VaR and CVaR of different risk combination is calculate by using the Monte Carlo simulation method; finally the results calculated by Monte Carlo is proven efficient by back tests.
出处
《湖南商学院学报》
2015年第1期83-88,共6页
Journal of Hunan Business College
基金
国家社科基金项目"信用风险统计相依模型及其应用研究"(项目编号:11BTJ011)
