An Empirical Study On The Integrated Risk Measurement Model Of Commercial Bank

China banking system is solid foundation and backing of the financial system in China, today, the international financial situation changing, we risk also vary from minute to minute, in order to deal with this variability, we must strengthen the risk management, and risk management of the banking sector is the basis of all of this, the research on risk management of banking industry is necessary, commercial bank as an important part of the banking system is the research object of this paper, in a variety of risk facing banks, research on single risk has entered the track, to the risk integrated management is the current research focus and difficulty, in particular, the risk of more than two variables, in the measurement of model building and model implementation are very difficult. Therefore this study mainly constructed the commercial banks integrated risk measurement model, integrated three main risks, respectively is credit risk, market risk and operational risk, and from the perspective of risk integrated management, the relationship between credit risk, market risk and operational risk is discussed.This study describes the commercial bank credit risk, market risk and operational risk estimation based on non-parameter kernel density estimation method to estimate the three kinds of risks, the establishment of commercial bank integrated risk measurement model has been using the results and based on the copula function theory. The Minsheng Bank to a joint-stock commercial bank as the research object, is constructed the integrated risk measurement model and calculation, and analyzes the relationship between the three main risks.The integrated risk measurement model to obtain the Minsheng Bank credit risk, market risk and operational risk by constructing three elements copula model, the model is well fitted, which can provide quantitative basis for integrated risk research of Minsheng Bank, the obtained model is studied based on the relationship between three kinds of risk. The credit risk and the operation risk greater correlation, the correlation between market risk and credit risk is not obvious, the correlation between market risk and operational risk is also not obvious. On Minsheng Bank, it is suggested that the relationship between credit risk and operational risk is concerned when risk management is conducted. The tail correlation model based on copula model, the tail correlation between market risk and credit risk is not obvious, the tail correlation between credit risk and operational risk is also not obvious, and market risk and operational risk is the tail related, considering the importance of tail related of risk management, put an end to the fatal blow to many risks caused by concurrent bank, this study suggests Minsheng Bank should pay attention to the tail relationship between market risk and the operational risk.