| copula理论在商业银行风险管理中的应用 |
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| 引用本文： | 余孝军.copula理论在商业银行风险管理中的应用[J].贵州财经学院学报,2009(1). |
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| 作者姓名： | 余孝军 |
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| 作者单位： | 贵州财经学院,数学与统计学院,贵州,贵阳,550004 |
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| 摘 要： | 选取在上交所及深交所上市的10只商业银行股为样本,研究Copula理论在商业银行风险管理上的应用.通过Copula函数,可以将风险分解成两部分:单个金融资产的风险和由投资组合产生的风险.其中单个金融资产的风险可以完全由它们各自的边缘分布来描述,而由投资组合产生的风险则完全由连接它们的Copula函数来描述.这使建模问题大大简化,同时也有助于我们对很多金融问题的分析和理解.
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| 关 键 词： | Copula理论 商业银行 风险管理 |
Copula Theory:Applications in Risk Management at Commercial Banks |
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| YU Xiao-jun.Copula Theory:Applications in Risk Management at Commercial Banks[J].Journal of Guizhou College of Finance and Economics,2009(1). |
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| Authors: | YU Xiao-jun |
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| Institution: | School of Mathematics and Statistics;Guizhou College of Finance and Economics;Guiyang;Guizhou 550004;China |
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| Abstract: | This paper samples shares of 10 commercial banks listed at the Shanghai Stock Exchange and Shenzhen Stock Exchange to study the applications of copula theory in risk management at commercial banks.Through copula function,risk can be decomposed into two parts: risk related to individual financial assets and risk generated by investment portfolio.The former can be described completely by their marginal distribution,while the latter by copula function linking them.This largely simplifies modeling and improves ... |
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| Keywords: | VaR CVaR |
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