A Research On Integrated Economic Capital Of Chinese Commercial Bank Based On Copula Method

Economic capital is an important parameter in modern commercial bank management, which is the key to the comprehensive risk management. Since American Bankers Trust initiated method of economic capital management, the concept of economic capital was used for the bank risk management, academic circle and practice circle,which have been exploring how to go beyond the qualitative level, the model of economic capital and get the quantitative value, enhancing operability. Traditional banking risk measure is to assume among credit, market and operational risk independently of each other, and in the overall level of economic capital required time and assuming perfect correlation between the risk of this measure is to overlook the shortcomings of the different risks the correlation between complexity.This article is intended to take Copula theory as analysis tool, considering the correlation between the commercial banks for the risk premise integration measure economic capital value of commercial banks in order to optimize the allocation of resources, improving capital efficiency and increasing return on investment assets, what is important to Business banks realistic significance.Specifically, the paper mainly studies and address the following problems:Firstly, how to build a model of the marginal distribution of various types of risk.Secondly, how to consider the relevance of the risk of different types of commercial banks to quantify the economic capital occupied by various types of risk.Thirdly, how to aggregate economic capital of commercial banks of various types of risk.The basic framework of the article are as follows:The first chapter is introduction section. From the economic capital of the importance of commercial bank management, and expounds the research background and significance of this paper. And a brief summary of the economic capital and Copula dependencies used in the financial sector, as laid out below Copula Methods of measurement based on the overall economic capital base of commercial banks.The second chapter explains the theory of economic capital of commercial banks interpretations.This part of the integrated approach from economic capital measure connotation, measurement and an overview of the existing economic capital in three areas, the overall results of existing economic capital measurement model of the deficiencies and this paper attempts to improve.The third chapter presents the basic principle and application of correlation analysis andCopula method. This part mainly elaborates the theory for Copula with different risk distribution of credit risk, market risk, operational risk three types toestablish unified model theory.The fourth chapter constructs the Copula model of economic capital of commercial bank integrated measure. Based on the operational risk data are difficult to obtain, joint distribution function this paper focuses on theconstruction of credit risk, market risk, the total economic capital measurement.The fifth chapter is the conclusion and outlook section.The integrated economic capital of commercial bank is a measure of the overall assessment of risk capital required for the whole bank,aims to ensure the solvency of banks under given confidence level, to ensure that banks run away from or avoid the critical point. The purpose of this research is to provide useful reference for the economic capital management of commercial banks in China to a certain extent.