A Study On The Integration Risk Of Commercial Bank Measurement

Before the 1980 s,how to measure the single risk of market,credit,operation and liquidity of financial institutions is an important subject of empirical finance.Since the 90 's,due to the evolution of financial markets and the strengthening of international regulatory requirements,academic circles have paid more and more attention to the risk integration of financial institutions.In the industry,the important part of the Bank risk management system is to carry on the integrated risk management,which has a positive impact on strengthening the competitiveness of commercial banks,improving the ability of economy operation and operation,and realizing the overall optimization and escalation of bank risk.In addition,the development of financial globalization brought by economic globalization and the continuous innovation of financial product style lead to the risk that banks face is no longer single and simple,at the same time,the single risk of banks will also affect each other,showing the characteristics of non-linear and non normal correlation.In the traditional Chinese commercial Bank management,because the profit mainly originates from the interest difference of deposit and loan,the financial risk management content of commercial bank mainly concentrates on the credit risk.Along with the advance of China's interest rate marketization reform,the commercial banks must pay more attention to market risk,liquidity risk,operation risk and credit risk,so the research on integrated risk measurement of commercial banks will promote the stability and healthy development of our banking industry and even the whole financial sector.The integrated risk measurement of commercial banks is divided into two main categories: the integration method from the bottom to top(bottom up)and the integration method from top to bottom(top down).The essence of financial risk integration is to estimate the distribution function of the total income or total loss of the risk assets and liabilities of commercial banks,and then apply some risk metrics such as VaR and ES to describe the size of the integration risk of commercial banks,and explain the changing characteristics of the integration risk of commercial banks,and provides the basis for the financial related departments to make decisions.This paper mainly uses the top down method to study the risk of the integration of commercial banks in China.By selecting the quarterly data from 2008 to 2016 for eight years,we mainly analyze the characteristics of integrated risk of China's overall commercial banks after the US subprime crisis in 2007.According to the sample of 16 commercial banks in our country,the integrated risk size is calculated,and the similarities and differences between different types of commercial banks are compared.Firstly,the paper constructs the index of Commercial bank credit risk and market risk return,and uses the method of missing data analysis to fill some missing data,and analyzes the characteristics of credit risk and market risk dependence of commercial banks in China.Secondly,we use several kinds of common copula function families,and under AIC information criterion,we give each kind of commercial bank credit and market income dependence characteristic copula family choice,using Semiparametric estimation method to estimate each copula dependent parameter.Thirdly,we apply the Monte Carlo method to the integrated risk measurement of credit risk and market risk for each type of commercial bank under different portfolio weights.Finally,our empirical study finds that credit risk is still the dominant position of bank integration risk,which is closely related to our country's commercial bank profit(loss)source,and the commercial banks have higher risk premium income under the market risk assets.The reason for this result may be the internal management mechanism of commercial banks and the external policy orientation,mainly the large scale of the credit assets and the market risk assets of state-owned banks,the overall operating flexibility and the large gap between the joint-stock banks,so that it faces this greater overall risk.In addition,under the fixed weight combination,the national joint-stock Commercial Bank's integration risk level is basically higher than the four state-owned banks and the city firm.The second kind of national joint-stock commercial banks can represent the integrated risk size of China's whole commercial banks.This may reflect the balance between the business of such a bank and the outward business of the table,the four state-owned banks focused on the business in the table and the city firms focused on the outside of the table,which resulted in the integration risk not being representative on the whole bank.