Measurement Of Operational Risk And Regulatory Oversight Risk Of Commercial Banks Based On Copula Model

For a long time,domestic and foreign scholars focus on the credit risk and market risk,but ignore the existence of operational risk.However,operational risk always exists in the operation process of commercial Banks,which has a great negative impact on the development of commercial Banks.The regulatory authorities gradually realize the urgency and importance of strengthening and improving operational risk management.In addition,the development of financial liberalization and the continuous innovation of financial derivatives,as a doubleedged sword,on the one hand,bring huge development prospects for commercial Banks,and on the other hand,cause a series of risks and challenges.Therefore,how to correctly understand and accurately measure the operational risk of commercial Banks so as to prevent the risk of regulatory omission becomes crucial.In view of this,this paper first USES the loss distribution method to calculate the regulatory capital of a single type of operational risk and the overall regulatory capital of operational risk.In order to further study the relevant structure of operational risk loss events,the single Copula model and hybrid Copula model were introduced,and monte carlo simulation method was used to calculate the more accurate overall operational risk regulatory capital.At last,the paper explores the variation law of the measurement error of the total operational risk supervision capital and the omission risk of operational risk supervision under the single Copula model and the hybrid Copula model.At the theoretical level,this paper introduces the application of single Copula model and hybrid Copula model in risk management and the research status of uncertainty of operational risk measurement.Then the relevant theory of loss distribution method and the basic theory and characteristics of Copula are systematically expounded.In this paper,the steps of measuring operational risk by loss distribution method and three Archimedes family Copula functions are introduced in detail,and the method of constructing hybrid Copula model is discussed.In the empirical study,the loss data of internal and external fraud of Chinese commercial Banks from 1987 to 2019 are selected as the research object of this paper.Based on the statistical characteristics of loss data,the loss distribution method,single Copula model and hybrid Copula model were used for empirical analysis,and the operational risk regulatory capital of commercial Banks was calculated by monte carlo simulation method.The empirical results show that at 99%confidence level,the total operating risk regulatory capital determined by the loss distribution method is 1049.16 million yuan.The regulatory capital determined based on the Gumbel Copula model was 576.14 million,and the regulatory capital determined under the hybrid gumbel-frank Copula model was 374.5 million.Compared with the single Copula model,the hybrid Copula model has the most comprehensive and accurate description of the relevant structure between the two kinds of operational risk loss events.Meanwhile,the regulatory capital of operational risk is smaller,which avoids the impact of high regulatory capital of operational risk on the profits of commercial Banks.Due to the measurement error that cannot be ignored in the operational risk regulatory capital,under the single Copula model,the measurement error is affected by parameter estimation;under the mixed Copula model,the measurement error is affected by both Copula parameters and weight parameters.The degree of regulatory oversight risk exposure can be determined by predicting the degree of measurement error of operational risk regulatory capital.The greater the measurement error,the greater the risk of regulatory omission,and vice versa.Under the single Copula model,as the parameter value of Gumbel Copula increases,the measurement error first decreases and then increases,and finally remains in a state of fluctuation.The measurement error decreases gradually with the increase of regulatory capital and then accumulates within the interval.Furthermore,with the increase of measurement error,its fluctuation rises first and then decreases,and the reliability of measurement error prediction decreases first and then increases.In the mixed Copula model,the parameters of Frank Copula and weight parameters were kept unchanged.With the increase of the parameter value of Gumbel Copula,the measurement error first decreased,then increased and finally maintained a steady decline trend.Under the influence of the parameter changes of Gumbel Copula,with the increase of regulatory capital,the measurement error first rose in a wavy manner and then declined steadily.The measurement error volatility of regulatory capital first decreased and then increased significantly with the increase of regulatory capital.In the hybrid Copula model,as the parameter value of Frank Copula increases,the measurement error keeps an upward trend,and the measurement error also increases gradually with the increase of regulatory capital,and the volatility of measurement error of regulatory capital increases with the increase of regulatory capital.In the hybrid Copula model,the variation trend of the measurement error of operational risk regulatory capital with the weight parameter of Frank Copula is basically the same as the variation trend of the measurement error with the weight parameter of Gumbel Copula.The difference is that the measurement error of regulatory capital is more sensitive to the change of the weight parameter of Gumbel Copula and has greater volatility.With the increase of the weight parameters,the measurement error first rises,then falls,then rises and finally decreases gradually.Similarly,as regulatory capital increases,measurement errors tend to rise,then fall,then rise,and eventually decline.With the increase of measurement error,the volatility converges gradually,and the reliability of measurement error prediction increases gradually.The innovation of this paper lies in the consideration of the nonlinear correlation between different operational risk loss events and the combination of single Copula functions to build a hybrid Copula model,so as to capture the correlation structure between two operational risk loss events more comprehensively and accurately.Further,based on a single copulas connect model and mixed copulas connect model,using the method of monte carlo simulation study of operational risk regulatory capital measurement error analysis,from the perspective of two copulas connect parameters and weights,discusses operational risk regulatory capital,the variation law of measurement error,further studied the changes of regulatory risk missing.