A COPULA APPROACH TO INTEGRATED RISK MEASUREMENT FOR BANKS
The integrated risk which measures total risk level for financial institutions is an important index. Differ ent types of risks need to be aggregated to obtain the integrated risk;however, it is a very difficult work be cause the marginal risk distributions and the correlation among them are usually very complex. If marginal dis tributions are all available, copula approach is very excellent in aggregating them and getting their joint distri bution, because applying copulas to combine different types of risk makes it possible to overlook the details of marginal distributions and consider a wide range of the dependence structure. In this paper, a copula approach will be used to achieve the integrated risk of market risk, credit risk and operational risk for a pool of Chinese banks, and we obtain a range of the integrated risk for a bank.
Integrated risk Risk aggregation Copula Value-at-Risk
Ping Li Tingting Ma
School of Economics and Management, Beihang University, Beijing 100083, P. R. China
国际会议
The Ninth International Conference on Industrial Management(第九届工业管理国际会议 ICIM2008)
日本大阪
英文
954-960
2008-09-16（万方平台首次上网日期，不代表论文的发表时间）