| Issue |
MATEC Web Conf.
Volume 228, 2018
2018 3rd International Conference on Circuits and Systems (CAS 2018)
|
|
|---|---|---|
| Article Number | 05020 | |
| Number of page(s) | 5 | |
| Section | Management Science and Engineering | |
| DOI | https://doi.org/10.1051/matecconf/201822805020 | |
| Published online | 14 November 2018 | |
Research on the Coupling Relationship between Market Risk and Credit Risk in Commercial Banks
1
Central University of Finance and Economics, School of Management Science and Engineering, 100081 Beijing, China
2
United Credit Ratings Co., Ltd., 100022 Beijing, China
With the complexity and diversity of business development, commercial banks gradually put more focus on how to improve the accuracy of risk measurement. In this essay, we first defined the basic market risk and credit risk indexes by the use of the financial data of the target bank. Then, we built the Copula Model through Monte Carlo simulation techniques. We finally built the Copula-VaR measurement model which revealed the relationship between the two types of risks.
© The Authors, published by EDP Sciences, 2018
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0 (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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