CAJ | 학술논문

依据我国14家上市商业银行的财务数据和金融市场公开数据，利用风险因子模型和损失分布法采取蒙特卡洛模拟技术分别生成市场、信用和操作风险敞口回报的分布，在此基础上，引入Copula函数构建此三种主要风险敞口回报的联合分布，以回报形式的VaR度量我国商业银行整体风险，考察研究整体风险对我国商业银行金融业务组合变化和风险相关性变化的敏感性．实证结果表明：基于Copula理论的VaR估计方法能够很好的度量整体风险，而线性加成VaR高估了整体风险，正态VaR低估了整体风险；与市场风险相关的金融业务组合比例增加会加大整体风险，且操作风险非常显著的尖峰厚尾特性对商业银行整体风险的影响较大；易发生极端损失的操作风险与市场风险、信用风险之间的交叉作用增强时，金融监管机构要特别关注．
의거아국14가상시상업은행적재무수거화금융시장공개수거，이용풍험인자모형화손실분포법채취몽특잡락모의기술분별생성시장、신용화조작풍험창구회보적분포，재차기출상，인입Copula함수구건차삼충주요풍험창구회보적연합분포，이회보형식적VaR도량아국상업은행정체풍험，고찰연구정체풍험대아국상업은행금융업무조합변화화풍험상관성변화적민감성．실증결과표명：기우Copula이론적VaR고계방법능구흔호적도량정체풍험，이선성가성VaR고고료정체풍험，정태VaR저고료정체풍험；여시장풍험상관적금융업무조합비례증가회가대정체풍험，차조작풍험비상현저적첨봉후미특성대상업은행정체풍험적영향교대；역발생겁단손실적조작풍험여시장풍험、신용풍험지간적교차작용증강시，금융감관궤구요특별관주．
Based on the financial data of Chinese commercial banks and the open data of the financial market, we model the market, credit and operational risk distributions respectively by Monte Carlo simu- lation with the risk factors model and the loss distribution approach. The joint risk distribution is directly constructed with the method of copulas. And VaR is used to measure and assess the total risk of Chinese commercial banks. Specifically, we examine the sensitivity of risk estimates to business mix and inter-risk correlation. The empirical results demonstrate that the more complicated copula-based approach is well for the integrated risk measurement of Chinese commercial banks. Add-VaR systematically overestimates total risk while N-VaR underestimates total risk. We find that the total risk is sensitive to the chosen level of market exposure. At the same time, we also find that the total risk is greatly influenced by the remarkable peakedness and fat tails of the operational risk distribution. When the correlation between operational risk and market, credit risk becomes large, the regulators should particularly pay attention to bank risk