The Study On The Correlation Between Credit Risk And Market Risk Of Banks In China

Since the middle of the 20 th century,with the rapid progress of electronic information technology,the combination of finance and science and technology has become increasing closely,making the economy move towards the direction of globalization,liberation and technology,and the global financial market has become more closely connected.Therefore,the risks faced by commercial banks show complexity and diversity.Especially during the financial crisis,the original is not related to the risk between may emerge as the crisis happened,overturned this before integration of risk is a simple linear addition of single risk this hypothesis,puts forward new requirements to integrate risk measure,and plays an important role in the financial system of commercial banks is not a link to bypass.Therefore,reasonable and effective measurement of the risks faced by commercial banks has gradually become an important topic at present.In-depth research on this issue can promote the healthy development of China's financial system,especially commercial banks,to a great extent.In this thesis,the samples of 12 commercial banks are divided into three types:national large state-owned commercial banks,joint-stock banks and local city commercial banks,and the two major risks they face--credit risk and market risk are modeled in an integrated way to study their correlation.Firstly,the representative financial data for credit risk and market risk are selected based on the financial statements,and the missing data are filled by interpolation method,and the financial data are integrated according to the basic theory of the two kinds of risks to form theirown measurement indicators.Then,the basic descriptive statistics and the normal test were carried out.Since the test results did not accord with the hypothesis of normal distribution,the marginal distribution of the two risks was estimated by using the non-parametric kernel density estimation method.Finally,the two distributions were connected by Copula function,and the t-Copula function was selected by combining Kendall rank correlation coefficient and Spearman correlation coefficient.Finally,the empirical study shows that compared the market risks faced by the sample commercial banks with the credit risks,the market risk is more prominent,and there is an obvious correlation between credit risk and market risk of banks in the sample,among which the joint stock commercial banks have the highest correlation degree.This paper selects financial data to build measurement indicators,establishes Copula functions with high fitting degree,describes the correlation between credit risk and market risk,and provides relevant suggestions for the results of empirical research,which also provides theoretical basis and model support for the risk management of commercial banks.