The Construction Of Integrated Risk Metric Model Based On Copula

Before 1990 s,the risk management of commercial banks mainly focused on credit risk,showing the characteristics of single and localized management.With the rapid development of economic globalization,the risk management model of commercial banks is more complex,not only facing greater pressure,but also more challenges.Although the risks faced by financial institutions also derive more forms,there are mainly three categories: credit risk,market risk and operational risk.These risks are interrelated,have strong correlation and the characteristics of peak and thick tail.The general assumptions of traditional measurement methods are no longer applicable.Copula function itself has good properties,can connect the marginal distribution of three kinds of risks,and is not restricted by the marginal distribution.So this paper uses Copula function to study the measurement method of financial overall risk.Firstly,this paper introduces some basic concepts of financial risk management and related indicators,as well as the marginal distribution characteristics of three types of risks.On this basis,beta distribution is used to measure credit risk,GARCH(1,1)model is used to fit the tail characteristics of return on risky assets in the market,and POT model of extreme value theory is used to study the marginal distribution of operational risk.And three common functions in Archimedes Copula and Elliptic Copula are used to describe the interdependent structure of the three types of risks.The overall joint distribution function is obtained by Sklar theorem,and the system construction of integrated risk measurement model is completed.Secondly,this paper chooses the quarterly data of Industrial and Commercial Bank of China from 2016 to 2019 as an empirical study.Firstly,credit risk,market risk and operational risk are measured and analyzed separately,and their parameters are obtained.On the basis of the above data,combined with VaR index,Monte Carlo simulation method is used to calculate the overall risk value by using MATLAB on the condition of given relevant structure and risk weight.Finally,considering the current situation of risk management in China's banking industry and the requirements of supervision,this paper gives some suggestions for the development of integrated risk measurement and management of commercial banks in China,to promote the development of risk control industry in China.