欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
商业银行各种风险之间相关性的存在，对其整体风险的度量产生重要影响。本文针对商业银行的信用风险、市场风险和操作风险这三类主要风险，在考虑相关性基础上给出了风险集成过程，通过copula函数和蒙特卡洛模拟方法计算了商业银行的整体风险，同时研究了风险分散化效应和在不同copula函数下整体风险的变化情况。最后以主流文献中的数据做了实证分析，结果显示本文提出方法能够很好的描述风险损失之间的相关性，同时在能够抵御相同风险的情况下考虑相关性下的在险值与简单相加得到的在险值相比要小，这能为银行业提高资金利用率提供了一定的理论和方法依据。
英文摘要：
The correlations among the credit, market and operational risk significantly influence the integrated risk. This paper proposes a model to integrate credit, market and operational risk considering correlation. The integrated risk is computed by Copula function and Monte Carlo simulation. The diversification benefit and the overall risk variation from different copulas are explored. At last, the empirical results base on an accepted literature data show, this proposed model can describe the risk correlation well, and the VaR of this model is smaller than that of simply adding up the three different risks. This paper presents a unique way for the commercial banks to evaluate integrated risks and improve the financial utilization.
同期刊论文项目
同项目期刊论文
Linear combination of multiple case-based reasoning with optimized weight for software effort estima
Case based reasoning method with optimized weight derived by particle swarm optimization for softwar
A Bayesian networks based process risk identification approach for trustworthy software: Evidence fr
A Piecewise-defined Severity Distribution based Loss Distrubtion approach to Estimate Operational Ri
Research on data mining and knowledge Management and its applications in China ’s economic developme
A rough set-based multiple criteria linear programming approach for the medical diagnosis and progno
Multiple criteria mathematical programming for multi-class classification and application in network
Modeling dynanmic correlations and spillover effects of country risk: evidence from Russia and Kazak
期刊信息
位置：