基于copula的商业银行整合风险与系统性风险度量-应用统计学专业论文.docxVIP

ABSTRACTThe ABSTRACT The introduction of the Basel III in December 1 6，20 1 0 aimed at strengthening the supervision of risk both from individual commercial banks and the banking system．Among them，the micro-prudential supervision demanded that the management paradigm of commercial bank risk should shift the previous single model to the integrated risk management which many kinds of risks had coexisted．While macro·prudential supervision sought to reduce the influence that the bank with potential systemic risk had on the whole financial industry，which had played a supporting role on the global financial stability and economic growth．Therefore，this article will analyze the risk management of Commercial Banks from the micro-prudential supervision and macro-prudential supervision． According to Micro-prudential supervision，the first part introduces the Copula function， gives the Copula’definition，parameter estimation methods，inspection methods and simulation algorithm．The Copula function is also known as”link function”，which Can get the marginal distributions and the correlation of risks together，and provide a theoretical basis to the integration and measurement of risks．Secondly，the article will summarize the basic connotation and measurement methods of the three risks of commercial banks，as well the corresponding empirical analysis of results．Using KlvlV model to obtain the credit premium， which will be used as an alternative variable for credit risk，yields to the beta distribution． Using GARCH(1，1)-normal model to characterize the fat tail characteristics of financial asset III 万方数据 万方数据 万方数据 returns，while returns，while the market risk yields to the two-stage of log-normal distribution．Using three．factor model of Fama-French to model the regression equation，then make the absolute value of the regression residuals as the alternative variable of operational risk，which shows that the operational risk of commercial banks yields to beta or gamma distribution．Then， using th