| 基于Copula-Monte Carlo的我国商业银行整合风险度量 |
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| 引用本文： | 马丽,权聪娜,李博. 基于Copula-Monte Carlo的我国商业银行整合风险度量[J]. 系统工程, 2010, 0(9) |
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| 作者姓名： | 马丽 权聪娜 李博 |
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| 作者单位： | 燕山大学经济管理学院;河北农业大学商学院;北京航空航天大学经济管理学院; |
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| 摘 要： | 风险相关性要求商业银行必须对其面临的各类风险进行整合度量。基于Copula-Monte Carlo构建我国商业银行整合风险度量模型,并进行了实证研究。实证结果表明:(1)与Copula-VaR相比,完全相关假设通常会高估风险,导致商业银行过度规避风险,从而限制商业银行的业务发展;(2)一般情况下,一定数量交易资产的风险大于相同数量借贷资产的风险。
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| 关 键 词： | 商业银行 整合风险度量 Copula Monte Carlo |
Integrated Measurement of Risks in Commercial Banks Based on Copula-Monte Carlo |
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| MA Li,QUAN Cong-na,LI Bo. Integrated Measurement of Risks in Commercial Banks Based on Copula-Monte Carlo[J]. Systems Engineering, 2010, 0(9) |
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| Authors: | MA Li QUAN Cong-na LI Bo |
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| Affiliation: | MA Li1,QUAN Cong-na2,LI Bo3(1.Yanshan University,Qinhuangdao 066004,China,2.Agricultural University of Hebei,Baoding 071000,3.Beijing University of Aeronautics and Astronautics,Beijing 100191,China) |
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| Abstract: | The correlation between different risks requires commercial banks to adopt an integrated measurement.In this paper an integrated risk measurement model of commercial banks of China is constructed based on Copula-Monte Carlo and an empirical study is conducted.The empirical results show:(1) Compared with the Copula-VaR,the VaR of entire relation usually overestimates risks,which will cause commercial banks to excessively avoid risks,thus limiting their business development;(2) Under normal circumstances,a ce... |
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| Keywords: | Commercial Banks Integrated Measurement of Risks Copula Monte Carlo |
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