Industry Loan Allocation Model Based On Copula Tail Risk Control

The essence of banking crisis is asset allocation error,and the asset allocation is the top level of bank asset allocation.The key to avoiding huge bank losses and even bank crises is to control the extreme risks of asset allocation.In the economic environment under the background of recession,the possibility of spreading the risk in different industries increased significantly,so the loan portfolio risk extreme control can help banks to avoid extreme losses,has important significance.Rkowitz(Markowitz)proposed the classical mean variance model(also known as portfolio model),and the risk value of derivative(VaR)theory of risk measurement models can be used to solve the problem of allocation,bank loans,however,the classical portfolio model still needs further improvement due to the use of the classical mean variance model Pearson linear correlation coefficient to measure portfolio correlation,so nature can only reflect the risk of portfolio related linear tail extreme risk cannot measure the portfolio;and VaR constraint is the normality assumption of the common and universal financial data in the real life of "fat tail" characteristics of conflict.According to the shortcomings of existing studies,the tail correlation coefficient by Copula function is derived to describe the tail correlation between loan returns in different industries,based on the loan allocation model Copula tail risk control to describe the extreme risk of loan portfolio,to solve the shortcomings of Pearson linear correlation coefficient can not be used to describe the tail risk,tail the extreme risk of classical mean variance model is improved to measure investment portfolio.And with VaR constraints to further control the tail extreme risk of loan portfolios,the focus of the study is to describe the tail extreme risk of loan portfolio and to configure loan allocation according to extreme risk of tail.The innovation of this paper is the use of a feature and the tail correlation coefficient of Copula function based on the theory to describe the loan yields in different industries bank tail correlation constructs,tail extreme risk loans based on configuration model Copula tail risk control to measure the loan portfolio.Presents an account of the tail extreme risk in the economic downturn under the background of the loan allocation method,to solve the shortcomings of Pearson linear correlation coefficient can not measure the tail extreme risk of financial assets,end of the classical mean variance model is improved to measure portfolio extreme risk.Two is the t distribution can better reflect the financial data of the "fat tail" feature to replace the classical normal distribution in VaR constraints,this article constructs the loan allocation model based on risk control of tail Copula VaR constraints,to further control the extreme risk of loan portfolio,to solve the drawbacks of the normality assumption of VaR features most of the financial constraints and data quotfattail inconsistent,improves the accuracy of the VaR constraint.In the second chapter,by introducing the Copula function and the tail correlation coefficient derived from it,the tail correlation coefficient theory,which can describe the tail correlation between variables,is introduced.In the third chapter,the tail risk is measured,and the loan allocation model based on Copula tail risk control is constructed,and the loan allocation model is VaR constrained based on t distribution.The fourth chapter through solving the loan allocation model includes a VaR constraint,get a bank loan yields in consideration of different industry tail extreme risk,meet the needs of different industries loans expected rate of return under the condition of the allocation ratio,and compared with the existing research.