Dissertation > Excellent graduate degree dissertation topics show
Intergration of Bank’s Market and Credit Risk Based on Copula
Author: XieLiLi
Tutor: ZuoHaiFeng
School: Nanjing University of Finance and Economics
Course: Finance
Keywords: Comprehensive risk management Market risk Credit Risk Copula function VaR
CLC: F832.2
Type: Master's thesis
Year: 2010
Downloads: 230
Quote: 0
Read: Download Dissertation
Abstract
|
With the continuous development of the financial globalization and financial innovation , the risk of commercial banks showing a change in the trend to diversify from a single commercial bank risk management is moving to a comprehensive risk management . The main risks faced by commercial banks at this stage is a credit risk , credit risk and operational risk , the relationship of mutual influence between various risks , it is very necessary to study how to measure the overall level of risk of commercial banks . Firstly, by choosing the SSE Government Bond Index yield the dollars intermediate exchange rate yield and HS300 index gains rate the impact of market risk factors , select SSE Government Bond Index yield and Shanghai corporate bond yields for credit risk factors , and in turn the OLS regression , the estimated daily risk yield estimate to determine the distribution of individual risk-benefit accordingly , and then use the Copula function and variance - covariance method to integrate the market risk and credit risk of commercial banks to calculate credit risk and market the integration of risk VaR value . Finally, return to the test method , the pros and cons of the two methods . Select panel data of China 's 12 listed banks by the model , the empirical research , the study results show that , in the Copula model is superior to the traditional risk measure aspects of the variance - covariance model .
|
Related Dissertations
- Cadmium, Chromium and Lead Accumlation, Distribution in Aralia Elata Var. Inermia and Their Effect on Leaf Antioxidative System,S792
- Preparation and Biological Effects of a Bio-Organic Fertilizer Against Tobacco Black Shank Disease,S435.72
- Studies on Agrobacterium-midiated Genetic Transformation in Brassica Campestris Subsp. Chinensis Var. Parachinensis,S634.5
- Daxinganling forest areas Pinus sylvestris tree-ring δ \u003csup\u003e 13 \u003c / sup \u003e C of the climate significance,S791.253
- Physio-Biochemiscal Responses of Seed Germination and Seedling of Sweet Pepper under NaCl Stress,S641.3
- Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
- Study on Fitness of Backcross Generations between Glyphosate-Resistant Transgenic Oilseed Rape and Four Geographic Populations of Wild Brassica Juncea,S565.4
- Cloning and Expression of Novel β-Glucosidase Genes from Rhizopus Stolonifer Var. Reflexus,Q78
- Strain Screening of Hainanmycin Production and Fermentation Process Optimization,TQ927
- Publishing credit Credit Risk Control Problem,G231-F
- Improve the Small and Medium-sized Enterprises Credit Risk Rating System of Commercial Bank,F832.4
- In the standard model based on VaR Equity Fund Risk Assessment Study,F224
- Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
- Empirical Analysis on the Relationship Between Financial Development and Economic Growth of Shandong Province,F127;F224
- The Establishment and Effectiveness of Financial Risk Assessment Index System of Listed Companies Based on VaR,F832.51;F224
- A Study on Personal Credit Risk Based on IRB in Bank of China,F832.4
- The Research on the Retail Credit Risk Management of Bank of Communication,F832.3
- Study on Management of Retail Credit Risk in Rural Credit Cooperative,F832.4
- Reseaching on Using of Credit Derivatives of Our Country,F224
- The Credit Risk Management of Rural Micro-finance,F832.4
- Applied Research Based on GARCH-VaR Model in Our ETF Risk Measurement,F224
CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
© 2012 www.DissertationTopic.Net Mobile
|