| 风险相关性下的信用风险、市场风险和操作风险集成度量 |
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| 引用本文： | 李建平,丰吉闯,宋浩,蔡晨.风险相关性下的信用风险、市场风险和操作风险集成度量[J].中国管理科学,2010,18(1):18-25. |
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| 作者姓名： | 李建平 丰吉闯 宋浩 蔡晨 |
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| 作者单位： | 1. 中国科学院科技政策与管理科学研究所, 北京 100190;
2. 中国科学技术大学管理学院, 安徽合肥 230026;
3. 山东经济学院统计与数学学院, 山东济南 250014 |
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| 基金项目： | 国家自然科学基金(70701033,70531040,90718042) |
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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。
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| 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 |
| 收稿时间： | 2009-1-3 |
| 修稿时间： | 2009-11-16 |
Integrating Credit,Market and Operational Risk Based on Risk Correlation |
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| LI Jian-ping,FENG Ji-chuang,SONG Hao,CAI Chen.Integrating Credit,Market and Operational Risk Based on Risk Correlation[J].Chinese Journal of Management Science,2010,18(1):18-25. |
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| Authors: | LI Jian-ping FENG Ji-chuang SONG Hao CAI Chen |
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| Institution: | 1. Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100190, China;
2. School of Management, University of Science and Technology of China, Hefei, 230026, China;
3. School of Statistics and Mathematics, Shandong Economic University, Jinan 250014, China |
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| Abstract: | 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... |
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| Keywords: | risk correlation risk integration credit risk market risk operational risk Copula |
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