相关性下的银行风险集成研究综述

doi:10.16381/j.cnki.issn1003-207x.2020.08.001

摘要/Abstract

摘要： 银行风险之间的相关关系会使风险之间相互转化，相互影响，令风险呈现出放大或者缩小的趋势，显著影响着银行风险度量结果的准确性。银行风险集成致力于在充分考虑银行风险相关关系的基础上，对银行风险进行较为准确的度量。但是银行风险具有相关关系种类繁多、表现形式复杂、以及数据的可获得性差等显著特征，导致银行风险的集成度量领域存在诸多挑战。本文对相关性下的银行风险集成研究进行综述，具体从集成对象、集成方法和集成数据三个层次系统展开。首先对银行风险及其蕴含的种类繁多的相关关系类型进行解析，然后分析银行风险相关关系表征出的多种复杂特性，根据对这些特性的刻画能力对银行风险的集成方法进行划分和比较，最后总结了获取银行风险集成数据的多种途径。在此基础上，进一步分析了银行风险集成研究的难点和未来趋势。

关键词: 信用风险, 市场风险, 操作风险, 风险相关, 风险集成

Abstract: Banks face various types of risks, such as credit risk, market risk, and operational risk. These risks are closely related to each other, causing them to show a trend of enlargement or reduction, which significantly affects the accuracy of bank risk measurement results.Bank risk aggregation is committed to a more accurate measurement of bank risk based on full consideration of bank risk correlations. However, banks face many types of risks, the correlations between them are sophisticated and the lack of data problem is especially severe. For these reasons, there are still many challenges in the field of aggregated measurement of bank risks. This paper systemically reviews the researches on bank risk aggregation from three perspectives, i.e.aggregation objects, aggregation methods,and aggregation data. Firstly, the bank risks and the multiplecorrelations within them are analyzed.Then the complex characteristics of bank risk correlations are summarized. The bank risk aggregation methods are summarized and compared based on their abilities to capture these characteristics. Lastly, the ways to obtain the data for bank risk aggregation are also summed up.On this basis, the difficulties and future trends of bank risk aggregation research are further analyzed.

Key words: credit risk, market risk, operational risk, risk dependence, risk aggregation

中图分类号:

F830

朱晓谦, 李建平. 相关性下的银行风险集成研究综述[J]. 中国管理科学, 2020, 28(8): 1-14.

ZHU Xiao-qian, LI Jian-ping. A Review of Bank Risk Aggregation[J]. Chinese Journal of Management Science, 2020, 28(8): 1-14.

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