湖南商学院学报
湖南商學院學報
호남상학원학보
JOURNAL OF HUNAN BUSINESS COLLEGE
2015年
1期
83-88
,共6页
相依结构Copula%整合风险度量%VaR%CvaR
相依結構Copula%整閤風險度量%VaR%CvaR
상의결구Copula%정합풍험도량%VaR%CvaR
correlation structure Copula%integrated risk measurement%VaR%CVaR
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。
金融機構麵臨信用風險、市場風險和操作風險等諸多風險組成的整閤風險。本文利用Copula方法對整閤風險度量進行研究。以12傢中國上市商業銀行為研究對象，首先確定其信用風險、市場風險這兩種風險收益率的分佈，然後利用Copula構建相依結構模型，最後用矇特卡囉模擬算法計算不同風險組閤的VaR和CVaR，併利用返迴測試檢驗模型的有效性。
금융궤구면림신용풍험、시장풍험화조작풍험등제다풍험조성적정합풍험。본문이용Copula방법대정합풍험도량진행연구。이12가중국상시상업은행위연구대상，수선학정기신용풍험、시장풍험저량충풍험수익솔적분포，연후이용Copula구건상의결구모형，최후용몽특잡라모의산법계산불동풍험조합적VaR화CVaR，병이용반회측시검험모형적유효성。
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.
