文献类型：期刊文献

中文题名：我国商业银行整体风险度量及其敏感性分析——基于我国商业银行财务数据和金融市场公开数据

英文题名：Integrated risk measurement of Chinese commercial banks and its sensitivity——Based on the financial data of Chinese commercial banks and the open data of the financial market

作者：汪冬华[1];黄康[1];龚朴[2]

机构：[1]华东理工大学商学院,上海200237;[2]华中科技大学管理学院,武汉430074

年份：2013

卷号：33

期号：2

起止页码：284

中文期刊名：系统工程理论与实践

外文期刊名：Systems Engineering-Theory & Practice

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;EI(收录号：20131416175161);Scopus;北大核心:【北大核心2011】；CSSCI:【CSSCI2012_2013】；CSCD:【CSCD2013_2014】；

基金：国家自然科学基金(71171083);教育部人文社会科学研究基金(09YJC630075)

语种：中文

中文关键词：市场风险;信用风险;操作风险;风险整合;Copula

外文关键词：market risk; credit risk; operational risk; risk aggregation; Copula

摘要：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交化的敏感性.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.
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