Research On The Relativity Of Commercial Banks' Credit Risk,Market Risk And Operational Risk

China's banking system is a solid foundation of China's financial system and backing,as the international financial situation is changing today,the risks are changing rapidly.In order to cope with this variability,we must strengthen risk management.So the risk management of banking is very necessary.In 2010,Basel III clearly pointed out that commercial banks face market risk,credit risk and operational risk.The agreement concludes there are operational risk with market risk and credit risk,and points out that there is a correlation between various types of risks.Therefore,the study of the correlation between the risks of bank risk management has a very important impact.In the theoretical analysis,as the important part of the banking system,the paper chooses the three main risks-credit risk,market risk and operational risk.And uses credit spread to describe the credit risk,uses stock return to describe the market risk,while operational risk is described using the securities factor model and the income model.Then the paper introduces the theoretical basis of the nonparametric kernel density estimation method and expounds the definition of the Copula function and the correlation theorem,the correlation measure and the correlation analysis.On the basis of theoretical analysis,this paper empirically studies the correlation between credit risk,market risk and operational risk of 12 listed commercial banks in China.First,the risk data of three kinds of risk are obtained according to the theoretical description.Then the distribution of credit risk,market risk and operational risk of commercial banks is estimated according to the nonparametric kernel density estimation method to determine the optimal kernel function and the optimal window width value.And the Copula function theory is used to select the optimal Copula,and then the tail correlation coefficient between the two risks is obtained.The results show that the correlation between credit risk and market risk is obvious,while the correlation between operational risk and credit risk and market risk is not obvious.It shows that the possibility of simultaneous occurrence of credit risk is small when operational risk occurs.Likewise,when operational risk occurs,the possibility of market risk occurring simultaneously is also very small.While credit risk and market risk are more likely to burst at the same time.According to the previous literature,the single risk research has entered the formalities in the various risks that banks face.The management of multiple risk integration is the hotspot and difficult point of the current research.Especially for the risk integration over two,there are great difficulties in the construction of the measurement model and the realization of the model.Compared with the previous research,this paper constructs the integrated risk-related measurement models of credit risk,market risk and operational risk,and obtains the correlation between them,which provides empirical evidence for the bank's risk management.And in the process of operational risk measurement,this paper innovatively combines the income model with the security factor model,which avoids the difficulty of data collection and operational risk.