The Measuring Of The Integrated Risk Of Listed Commercial Banks In China Based On Copula-GARCH Model

"The new Basel Capital Accord" pointed out that commercial banks are facing three kinds of risk: Credit Risks,Market Risk and Operational Risk,there is a correlation among the three types of risk,especially in non-linear relationship.Therefore,how to make sure the dependence structure between each risk has became the key factor in measuring the integrated risk of commercial bank.The Copula theory has been well developed in recent years,which is of great significance in the integrated risk measurement,for it's capacity to overcome the limitations of linearly dependent well.Firstly,we sorted out and reviewed lots of domestic and foreign literature theory on measuring single risk and integrated risk,introduced the concept of risk,analyzed the main factors which affect various risk of commercial banks and use the Linear Factor Model to build their own yield model for those three kinds of risk above,then determine the marginal distribution of risk.Secondly,it is time to bring in risk metrics VaR,and elaborate the Copula theory in commercial banks integrated risk measurement,on this basis,build an implementation framework of integrated risk measurement model.Regard the 11 listed commercial banks as the research object,GARCH(1,1)-t model describes the marginal distributions of credit risk,with the GARCH(1,1)-N model measure market risk and operational risk,use the two kinds of Archimedean Copula function to measure the overall risk of credit risk and market risk,and then measuring the integrated results of those two kinds of risk with operational risk in a comprehensive way,to analyze the risk diversification effect under different related structures;compared with the VaR by carrying on the simple linear addition,copulas connect function measurement is less than simple gross.The research of this article,from four aspects of the perfect system of information disclosure and banking database,improving the total integration of risk measurement technology,establishing an incentive mechanism of effective risk management and strengthening the cultivation of high-quality talents in the field of risk management,proposed our country commercial bank to implement overall risk management needs to guarantee conditions.Finally combined with the research in this paper,putting forward the necessary supporting conditions for the integrated risk measurement of commercial banks.