An Empirical Study On Integrated Risk Measurement Of Commercial Banks In My Country

Financial liberalization,economic globalization and the mixed operation of financial enterprises have made the risks faced by commercial banks more diversified and complicated.The New Basel Accord also pointed out that commercial banks should measure credit risk,market risk and operational risk.In addition,relevant research shows that the risks of commercial banks are not completely independent,and there is a correlation between risks.This correlation leads to a possible linkage between various types of risks.The occurrence of one type of risk often affects the occurrence of other risks and the magnitude of the risk.In turn,the occurrence of other risks may affect the risk again.In general,the diversity and relevance of risks puts higher demands on the risk management of banks.Therefore,how to scientifically and reasonably integrate the credit risk,market risk and operational risk faced by commercial banks is a problem that we need to focus on and solve at present.This research will help to promote the stable and healthy development of China’s commercial banks and the entire financial industry.At present,there are many researches on risk integration measurement methods of commercial banks.The difficulty of data collection is a difficult problem that many scholars need to solve now,and the data determines the effectiveness of risk integration measurement.On this basis,according to the theory that “risk is the uncertainty of future profit and loss”,this paper extracts data from the financial statements of commercial banks,establishes the correspondence between risk and profit and loss,and measures the credit risk,market risk,operational risk and integration risk faced by commercial banks,combined with the research methods of predecessors and the actual situation of commercial banks in China,using Copula function and Var method to construct the framework of integrated risk measurement of commercial banks in China.On this basis,this paper discusses the decentralization effect between commercial banks’ risks,the feasibility and importance of using financial statement data to measure the risks of commercial banks and the integration risks of different types of commercial banks,and provides a feasible integrated risk measurement method for comprehensive risk management of commercial banks in China.In order to measure the credit risk,market risk,operational risk and integration risk of commercial banks,this paper collected the financial data of 16 listed commercial banks from 2008 to 2018 as a sample for empirical research.The results show that: 1.Credit risk is still the most important risk among commercial banks,with the greatest impact on overall risk,and the proportion of operational risk is relatively small and the impact of market risk on the overall risk of commercial banks is centered.The proportion of the three risks is relatively stable,indicating that the composition of the total risk of commercial banks is relatively stable;2.The integration risk calculated by the Copula-VaR model is much lower than the sum of the simple aggregate risks,and the risk dispersion effect is about 30%-40%.The integrated risk dispersion effect calculated from the total revenue and total assets in the report data is above 30%,indicating that there is a significant risk dispersion effect between credit risk,market risk and operational risk;3.From 2008 to 2015,the integration risk value of state-owned banks is greater than that of joint-stock banks and city commercial banks.However,since 2016,the integrated risk value of joint-stock banks has surpassed that of state-owned banks,becoming the largest integrated risk value among commercial banks.The integration risk of the joint-stock commercial banks is relatively close to the integrated risk value of the overall commercial banks;4.The integration risk calculated by the Copula-VaR model is close to the integration risk calculated by the total return and total asset data in the financial statements.Both methods can well reflect the dispersion effect between risks.It can be concluded that purely using financial statement data can calculate the integration risk of commercial banks.