基于风险资产结构不确定性的商业银行整合风险度量研究

摘要

基于商业银行风险资产的动态变化性和资产的多重风险属性，结合 Copula 函数与不确定性理论，设计风险资产结构不确定的商业银行整合风险的度量模型，运用随机模拟、神经网络与遗传算法相结合的求解算法，整合度量中国银行、交通银行和招商银行的市场风险和信用风险，结果表明：模型及求解的方法有效，基于历史数据规律对商业银行整合风险度量，更具优越性和实用性。%Considering the dynamic changes and multiple attributes of the commercial bank's risk assets,this paper presents an integrated risk measurement model for commercial banks com-bining the Copula function with uncertainty theory,and design solving algorithms based on the methods of stochastic simulations,neural networks and genetic algorithms.At last,using the market risk data and credit risk data of Bank of China,Bank of communications and China Mer-chants Bank,we test the effectiveness of the model and the algorithms.The evidence shows that, with the uncertainty of risk assets structure considered and the integrated risk measured based on thehistoricaldata, this modelis superior and useful.