基于极值理论和多元Copula函数的商业银行操作风险计量研究

Abstract

Abstract: Owing to the fat tail of operation risk and based on the requirement of Basel Accord, marginal distributions of several operational risk cells are measured with the Peaks-Over-Threshold model of extreme value theory, dependency of operational risks is analyzed with multivariate copula functions and the accumulated VaR is calculated. By using the data of Chinese commercial banking from 1990 to 2010, it is shown that Clayton Copula can better reflect the dependent frame of operation risk and the VaR calculated with Clayton Copula is about 32.3% less than the one calculated by directly summing VaRs of all operation risk cells. Therefore, consideration on dependency of operation risk cells with Copula functions can meet the risk dispersion effect of asset portfolio, greatly reduce required operation risk capital and provide commercial banks with a better way to get more profits.

Key words: operational risk, extreme value theory, multivariate copula, commercial banks

CLC Number:

F832.33

LU Jing, ZHANG Jia. Measurement of Commercial Bank’s Operational Risk Based on Extreme Value Theory and Multivariate Copula Functions[J]. Chinese Journal of Management Science, 2013, 21(3): 11-19.

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Measurement of Commercial Bank’s Operational Risk Based on Extreme Value Theory and Multivariate Copula Functions

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