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Calculation of Commercial Banks’ Risk Reserve

Author: SongQingLi
Tutor: WangJinYu
School: Shenyang Institute of Aeronautical College
Course: Business management
Keywords: Total loss Loss reserve Value at Risk Copula function Monte Carlo simulation
CLC: F830.4
Type: Master's thesis
Year: 2010
Downloads: 72
Quote: 0
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Commercial banks in accordance with the requirements of the commercial banks need for sustainable development and regulatory agencies , an urgent need for a more reasonable measure of its exposure to credit risk in the course of business , market risk and operational risk , management risk and gain between balance. Face in response to the risk of loss , the commercial banks need to set aside risk reserves for risk . Loss reserves in the traditional method by calculating the various types of risk of loss reserve , and then a simple summation of these risks loss reserve . This method implies a completely positive correlation between the risk of loss assumptions , in actual use will result in overestimation of the risk of loss , causing excessive risk reserve , affect the bank 's earnings and the pace of development . In this paper, the current widely accepted value-at-risk (VaR) approach to measure credit risk faced by the commercial banks , market risk and operational risk risk situation . Between different risk types , to examine the application of Copula function , on this basis , the establishment of commercial banks measure risk model simulation to risk the loss of the use of Monte Carlo simulation method , get more risk reasonable measure . The 10 -day holding period , according to the model calculated value at risk VaR smaller than by the resulting VaR values ??were calculated and simple summation method , which makes the commercial banks need to set aside to cope with risks and can be more reasonable to determine reserve .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Banking
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