中国上市商业银行整合风险度量研究--基于混合Copula函数的VaR和CVaR分析.pdfVIP

中国上市商业银行整合风险度量研究 ——基于混合Copula 函数的VaR及 CVaR 分析 王 维 （华中科技大学经济学院） 摘要 整合风险的量化管理已成为现代商业银行风险管理的发展趋势，信用风险与市场风 险是其面临的两种极为重要的风险，对二者进行整合度量是全面风险管理的重要内容。 Copula 函数能够描述两不同类型风险间的相依结构，本文以单一 Copula 为基础构造混合 Copula 函数，并构建基于混合 Copula 函数的 VaR 及 CVaR 模型, 以用于度量整合风险值。 实证研究表明，混合 Copula 函数是描述两不同类型风险相依结构的最优模型，且基于混合 Copula的 VaR及 CVaR估计值也是最有效的，由此可知混合 Copula比单一 Copula函数能更 全面的反映整合风险间的相依程度与相依模式。 关键词： 整合风险；混合 Copula；VaR；CVaR Integrated Risk Measurement of China’s Listed Commercial Bank ——the analysis of VaR and CVaR based on mix Copula Wang Wei （School of Economics, Huazhong University of Science and Technology） Abstract Quantitative management of integrated risk has become development tendency of risk mangement in modern commercial bank, credit risk and market risk are two major important risks they faced, integration risk management is the key element for enterprise-wide risk management. Copula function can describe the structure dependency between the two different types of risk.This paper builds mix Copula model based on single Copula functions, and constructs the model of mix-Copula-based VaR and CVaR, to measure the integrated risk. Empirical study has shown that mix Copula is the optimal model describing the structure denpendency between the two different types of risk, and the estimators of VaR and CVaR is the most effective ones. We can know that the mix Copula can reflect the structure dependency between the two different types of risk much more comprehensive than single Copula. Keywords: integrated risk; mix Copula; VaR; CVaR 姓 名 王 维 性 别 女 生 日 1982 年 9 月 25 日 身 高 163cm 籍 贯 湖北武汉 民