On the aggregation of credit, market and operational risks

详细信息    查看全文

• 作者：Jianping Li ; Xiaoqian Zhu ; Cheng-Few Lee…
• 关键词：Credit risk ; Market risk ; Operational risk ; Risk dependence ; Risk aggregation ; Copula ; E10 ; G32 ; G21
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2015
• 出版时间：January 2015
• 年：2015
• 卷：44
• 期：1
• 页码：161-189
• 全文大小：1,652 KB
• 参考文献：1. Aas K, Dimakos XK, Oksendal A (2007) Risk capital aggregation. Risk Manag 9(2):82-07 CrossRef
  2. Alessandri P, Drehmann M (2010) An economic capital model integrating credit and interest rate risk in the banking book. J Bank Financ 34:752-64 CrossRef
  3. Alexander C, Pezier J (2003) On the aggregation of market and credit risks. ISMA centre discussion papers in finance no. 2003-013, University of Reading
  4. Antao P, Lacerda A (2011) Capital requirements under the credit risk-based framework. J Bank Financ 35:1380-390 CrossRef
  5. Basel Committee on Banking Supervision (1988) International convergence of capital measurement and capital standards. Bank for International Settlements, Basel
  6. Basel Committee on Banking Supervision (1995) An internal model-based approach to market risk capital requirements. Bank for International Settlements, Basel
  7. Basel Committee on Banking Supervision (1996) Amendment to the capital accord to incorporate market risks. Bank for International Settlements, Basel
  8. Basel Committee on Banking Supervision (2001) Working paper on the regulatory treatment of operational risk. Bank for International Settlements, Basel
  9. Basel Committee on Banking Supervision (2003) Trends in risk integration and aggregation. Bank for International Settlements, Basel
  10. Basel Committee on Banking Supervision (2004) International convergence of capital measurement and capital standards: a revised framework. Bank for International Settlements, Basel
  11. Basel Committee on Banking Supervision (2011) Messages from the academic literature on risk measurement for the trading book. Bank for International Settlements, Basel
  12. B?cker K, Hillebrand M (2009) Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation. J Risk 11(4):3-9
  13. Breuer T, Jandacka M, Rheinberger K, Summer M (2010) Does adding up of economic capital for market and credit risk amount to conservative risk assessment? J Bank Financ 34:703-12 CrossRef
  14. Brockmann M, Kalkbrener M (2010) On the aggregation of risk. J Risk 12(3):45-8
  15. Chen YH, Tu AH (2013) Estimating hedged portfolio value-at-risk using the conditional copula: an illustration of model risk. Int Rev Econ Financ 27:514-28 CrossRef
  16. Cherubini U, Luciano E, Vecchiato W (2004) Copula methods in finance. Wiley, UK CrossRef
  17. Cruz M, Coleman R, Salkin G (1998) Modeling and measuring operational risk. J Risk 1:63-2
  18. De Fontnouvelle P, Jesus-Rueff V, Jordan J, Rosengren E (2006) Capital and risk: new evidence on implications of large operational losses. J Money Credit Bank 38:1819-846 CrossRef
  19. Demarta S, McNeil AJ (2005) The t copula and related copulas. Int Stat Rev 73:111-30 CrossRef
  20. Dimakos XK, Aas K (2004) Integrated risk modeling. Stat Model 4:265-77 CrossRef
  21. Drehmann M, Sorensen S, Stringa M (2010) The integrated impact of credit and interest rate risk on banks: a dynamic framework and stress testing application. J Bank Financ 34:735-51 CrossRef
  22. Elsinger H, Lehar A (2006) Risk assessment for banking systems. Manag Sci 52:1301-314 CrossRef
  23. Embrechts P, McNeil AJ, Straumann D (1999) Correlation: pitfalls and alternatives. Risk 12:69-1
  24. Embrechts P, Furrer H, Kaufmann R (2003) Quantifying regulatory capital for operational risk. J Deriv Hedge Funds 9:217-33
  25. Feng J, Chen J, Li J (2010) Operational risk measurement via the loss distribution approach. In: Liu S, Forrest J (eds) Advances in grey systems research: understanding compl
• 作者单位：Jianping Li (1)
  Xiaoqian Zhu (1) (2)
  Cheng-Few Lee (3)
  Dengsheng Wu (1)
  Jichuang Feng (4)
  Yong Shi (5) (6)
  
  1. Institution of Policy and Management, Chinese Academy of Sciences, Beijing, 100190, China
  2. University of Chinese Academy of Sciences, Beijing, 100190, China
  3. Department of Finance and Economics, Rutgers University, Newark, NJ, 08854, USA
  4. Industrial Bank Co., Ltd., Fuzhou, 350003, Fujian, China
  5. School of Management, University of Chinese Academy of Sciences, Beijing, 100190, China
  6. College Information Science and Technology, University Nebraska, Omaha, NE, 68182, USA
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Accounting and Auditing
  Econometrics
  Operation Research and Decision Theory
  
• 出版者：Springer Netherlands
• ISSN：1573-7179

文摘

Risk aggregation considering inter-risk dependence has always been a challenge to both researchers and practitioners. The objective of this study is to formulate ways of aggregation of bank risks and comprehensively compare simple summation, variance–covariance and copula approach. Firstly, the three popular approaches are adopted to aggregate credit risk, market risk and operational risk of banks based on Austrian banking data. Then, two comparisons are mainly made. Total risks aggregated by different approaches are compared to analyze their relative magnitudes. Diversification benefits of different approaches are further compared to investigate their tail dependence structures. Based on the empirical analysis, some facts are verified and some interesting findings are uncovered, leading to the conclusions that simple summation approach is too conservative and variance–covariance approach is overly optimistic, so it is suggested that copula approach is the future major trend for bank risk aggregation. Especially, t copula with degree of freedom between 1 and 10 is a good choice to capture tail dependence while Gaussian copula is not recommended. Besides, the proposed mixture copula consisting of t copula and Gumbel copula exhibits heavier right tail dependence than single t copula.