Research On Integrated Risk Management Of Commercial Bank Based On Copula Method

Commercial bank is the main part of the financial system,it not only has the characteristics of high liability,the more important is the high-risk characteristic.Therefore,predicting risk,risk prevention and risk management has become the key to the development of commercial banks and the financial system.Along with the economic globalization and the degree of financial opening to the outside world gradually deepened,commercial bank business to develop in the direction of diversification and complication,its risk is no longer a single risk,but the credit risk,market risk,operation risk and other risks common performance.In the traditional risk management mode,the risk of commercial bank tend to adopt the separation of management mode,and the management mode can ignore the correlation between risks,thus reducing the effectiveness of risk management.In order to protect the safety of the financial system,and prevent the occurrence of financial crisis,the Basel Committee on Banking Supervision in the Basel?emphasizes using Va R to unified measurement of risk,and pay more attention to the relationship between the market risk and credit risk and operational risk.Therefore,when the commercial bank make risk management strategy,the relationship between the various risks should be considered,based on the perspective of integrated risk management to manage their risks.In practice,risk measurement is the foundation of effective risk management strategy.Therefore,integration of risk measurement plays an important role in the integration of risk management system.Scientific and reasonable measurement method can accurately describe the integration of the risks faced by commercial banks,it is advantageous to the commercial Banks to develop effective risk management strategy and achieve the goal of resource optimization.Traditional commercial bank risk measurement method is to use simple linear addition method,this method assumes that the risks were independent of each other.But in practice,the commercial bank face various risks and they are mutually "entangled",that is,they are interaction and influence each other.The risk values which are obtained by a simple linear addition method compared with the real value has certain deviation,so it will affect the improvement of commercial bank risk management.This article first elaborated the risk management of commercial Banks,and to compare the traditional risk management theory and the integration risk management theory.Put forward the development inevitability of integration of commercial bank risk management.Then select on January 4,2011 to September 30,2016,1398 valid data of 14 listed commercial banks as research sample,through copula connect function to measure the risk.Finally,by analyzing the problems existing in our country commercial bank risk management,puts forward the corresponding countermeasures and suggestions for integration of commercial bank risk management.This paper takes the commercial banks as the research object,and provides a more accurate risk measurement method by improving the traditional commercial bank risk measurement method,in order to calculate the risk loss is more close to the actual loss values,which is helpful to improve the level of commercial bank risk monitoring and management.