CAJ | 학술논문

随着我国金融市场的发展，商业银行呈现出一种由传统单一经营向混业经营转变的趋势。在比较分析商业银行VaR与Cvar风险管理模型基础上，用VaR和Couplas函数构建适合我国商业银行混业经营的风险管理模型Copula-VaR，对我国商业银行混业经营整体风险度量方法进行试探性的研究。
수착아국금융시장적발전，상업은행정현출일충유전통단일경영향혼업경영전변적추세。재비교분석상업은행VaR여Cvar풍험관리모형기출상，용VaR화Couplas함수구건괄합아국상업은행혼업경영적풍험관리모형Copula-VaR，대아국상업은행혼업경영정체풍험도량방법진행시탐성적연구。
With the development of financial market in our country, the commercial bank takes on a kind of change from traditional single management to mixed management. On the basis of comparatively analyzing the VaR and CvaR risk management model of the commercial bank, this paper, by using the VaR and the Coupula function, sets up the risk management model Copula - VaR which is more adapted to our country＇ s mixed management in commercial bank, and researches on the overall risk measurement method of mixed management in the commercial bank.