Copula函数度量我国商业银行资产组合信用风险的实证研究  

An Empirical Study of the Measuring of Asset Portfolio's Credit Risk of Commercial Banks by Copula Function

作　　者：白保中[1] 宋逢明[1] 朱世武[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2009年第4期129-142,共14页Journal of Financial Research

基　　金：国家自然科学基金项目(编号70273016)的资助

摘　　要：在现代商业银行面临的主要风险中,信用风险无疑是最主要的风险,而信用风险度量是我国商业银行风险管理的薄弱环节。本文针对我国金融数据少、有效数据时间段短的特点,基于Copula函数度量组合信用风险原理,通过建立资产组合中每个资产的收益率门槛值,来模拟资产收益率情景,并结合Copula函数影射出信用评级情景,得到各个假设状态下Copula函数度量的资产组合信用风险。实证结果证明,选用Copula函数度量银行资产组合信用风险是一种可行的方法,本文给出的一套理论与实际数据相结合的算法有一定的借鉴意义。Credit risk is undoubtedly the most important risk of the modem commercial banks, and the measuring of credit risk is the weakness of the Commercial Bank of China. According to the characteristic of Chain＇s financial industry, and based on the measuring portfolio credit risk of Copula function, the authors establish the threshold rate of return of single assert in portfolio assets to simulate scenarios of the return of portfolio assets, and measures credit risk of portfolio assets under the assumption state with Copula Function Mapping credit rating of the scene. The empirical results prove that measuring of portfolio credit risk of bank assets by Copula function is a feasible method, the combining algorithm of theory and practice in the paper having a certain reference.

关 键 词：商业银行风险管理 组合资产信用风险 信用风险度量模型 COPULA函数 

分 类 号：F832.2[经济管理—金融学] F224