The Measure About Copulas Connect Function In The Commercial Bank Over Risk

Along with the high-speed development of the current economic and financialmarket transactions between countries around the world is increasingly close, this iswe see behind the economic development of the crisis. Once a weakness or even acountry’s economy in trouble, is likely to cause other economies would also get intotrouble. In measuring the intricacies of the risk for subset, is we need to research onrisk management model for more in-depth research.This paper mainly using copulas connect model to our country eight integrity ofcommercial bank risk measurement, and the measurement results of the model and therisk of simple aggregation method. In establishing the model, we first is detected threerisks of thick tail; Second is to the credit risk, market risk and operational risk ondetermine the distribution of marginal; Finally re-use the income distribution of themarginal copulas connect model, makes the model can better fit the characteristics ofsingle risk and the adjacent structure, between them that makes the model can well todepict the integrity risk, by the comparison of the final result we can see again simplesum ignores the complicated correlation between risk, making the measurementsoverestimated the actual holistic risk of commercial Banks, and can use copulasconnect function, and according to the research and analysis to our country the riskmeasurement technology of several opinions are put forward.