CAJ | 학술논문

在现代商业银行面临的主要风险中，信用风险无疑是最主要的风险，而信用风险度量是我国商业银行风险管理的薄弱环节。本文针对我国金融数据少、有效数据时间段短的特点，基于Copula函数度量组合信用风险原理，通过建立资产组合中每个资产的收益率门槛值，来模拟资产收益率情景，并结合Copula函数影射出信用评级情景，得到各个假设状态下Copula函数度量的资产组合信用风险。实证结果证明，选用Copula函数度量银行资产组合信用风险是一种可行的方法，本文给出的一套理论与实际数据相结合的算法有一定的借鉴意义。
재현대상업은행면림적주요풍험중，신용풍험무의시최주요적풍험，이신용풍험도량시아국상업은행풍험관리적박약배절。본문침대아국금융수거소、유효수거시간단단적특점，기우Copula함수도량조합신용풍험원리，통과건립자산조합중매개자산적수익솔문함치，래모의자산수익솔정경，병결합Copula함수영사출신용평급정경，득도각개가설상태하Copula함수도량적자산조합신용풍험。실증결과증명，선용Copula함수도량은행자산조합신용풍험시일충가행적방법，본문급출적일투이론여실제수거상결합적산법유일정적차감의의。
Credit risk is undoubtedly the most important risk of the modem commercial banks, and the measuring of credit risk is the weakness of the Commercial Bank of China. According to the characteristic of Chain＇s financial industry, and based on the measuring portfolio credit risk of Copula function, the authors establish the threshold rate of return of single assert in portfolio assets to simulate scenarios of the return of portfolio assets, and measures credit risk of portfolio assets under the assumption state with Copula Function Mapping credit rating of the scene. The empirical results prove that measuring of portfolio credit risk of bank assets by Copula function is a feasible method, the combining algorithm of theory and practice in the paper having a certain reference.