基于copula的追随者银行的企业项目总体风险评价模型

doi:10.16381/j.cnki.issn1003-207x.2015.01.013

中国管理科学 ›› 2015, Vol. 23 ›› Issue (1): 99-110.doi: 10.16381/j.cnki.issn1003-207x.2015.01.013

基于copula的追随者银行的企业项目总体风险评价模型

李战江^1,2, 迟国泰¹, 党均章³

1. 大连理工大学工商管理学院, 辽宁大连 116024;
2. 内蒙古农业大学理学院, 内蒙古呼和浩特 010018;
3. 中国邮政储蓄银行风险管理部, 北京 100001

收稿日期:2011-11-23 修回日期:2014-01-21 出版日期:2015-01-20 发布日期:2015-01-21
作者简介:李战江(1977-),男(汉族),内蒙古人,大连理工大学工商管理学院博士生,研究方向:银行风险管理决策理论与模型、复杂系统评价.
基金资助:
国家自然科学基金资助项目(71171031);教育部科学技术研究项目(2011-10);国家自然科学基金青年科学基金资助项目(71201018);教育部人文社会科学研究青年基金资助项目(11YJC790157);河北省自然科学基金青年科学基金(G2012501013);中国银监会银行业信息科技风险管理项目(2012-4-005);中国邮政储蓄银行总行小额贷款信用风险评价与贷款定价资助项目(2009-07);大连银行小企业信用风险评级系统与贷款定价项目(2012-01)

The Evaluation Model of Business Project Overall Risks of Follower Banks Based on Copula

LI Zhan-jiang^1,2, CHI Guo-tai¹, DANG Jun-zhang³

1. School of Business Management, Dalian University of Technology, Dalian 116024, China;
2. College of Science, Inner Mongolia Agricultural University, Huhhot 010018, China;
3. Department of Risk Management, Postal Savings Bank of China, Beijing 100001, China

Received:2011-11-23 Revised:2014-01-21 Online:2015-01-20 Published:2015-01-21

摘要/Abstract

摘要： 基于追随者银行的企业项目总体风险评价问题是指当有银行作为先行者介入一个项目时,后续的其它另一个银行作为追随者银行需要将先行者银行的信用风险和所要参与投资的企业项目风险综合加以考虑、从而独立判断项目投资的总体风险大小并进行投资决策。由于任何一家银行都只能熟悉某一些领域、某一些地区、某一些国家的项目,这就导致追随者银行在无法充分掌握项目信息时,需要以先行者银行的信用风险大小为参照物之一来推断企业项目的总体风险,这不仅仅对投资和贷款业务开展较晚的例如中国邮政储蓄银行这样的商业银行有着重要现实意义,而且对所有商业银行的投资活动都有重要的指导意义。通过先行者银行信用风险与项目风险反映企业项目总体风险,本研究建立了基于Copula函数的追随者银行的企业项目总体风险评价模型。本文主要的创新与特色是通过确定先行者银行的信用风险R_F与项目风险R_p的函数关系,进而确定企业项目总体风险R_T,解决了追随者银行所要测算企业项目风险的问题。总体风险模型的稳定性检验表明,在95%的置信水平下,对追随者银行来说,不论多大样本,其所要投资项目的总体风险中的先行者银行信用风险R_F与所要投资的项目风险R_p的重要程度分别为W₁=0.428、W₂=0.572。

关键词: 追随者银行, 先行者银行信用风险, 企业项目风险, 风险评价, Copula函数

Abstract: When a bank as forerunners joined a project, subsequent another bank as followers will comprehensively take the forerunner bank credit risk and the business project risk into consideration, and make investment decisions by the overall risk of investment projects. This is the evaluation question of business project overall risks based on follower banks. Because one bank is just familiar with the projects in some fields, some areas, some countries, which requirs follower banks need use the forerunner banks credit risk to infer the overall risk of business projects. According to the assumption that forerunner bank credit risk and project risk can reflect total project risk, the evaluation model of business project overall risks is established based on follower banks. The copula function is used to determine function relations of forerunner banks credit risk R_F and project risk R_P, total risk R_T is obtained, to solve measurement problem of business project overall risks at last. The result reveals that under 95% confidence levels, as far as follower banks are concerned, no matter sample numbers, important degree of forerunner bank credit risk R_F and project risk R_P is: W₁=0.428, W₂=0.572. This research has the great guide meaning not only for the follower banks of the later investment, but also for all inter-bank cooperation.

Key words: follower banks, forerunner banks credit risk, business project risk, risk evaluation, Copula function

中图分类号:

李战江, 迟国泰, 党均章. 基于copula的追随者银行的企业项目总体风险评价模型[J]. 中国管理科学, 2015, 23(1): 99-110.

LI Zhan-jiang, CHI Guo-tai, DANG Jun-zhang. The Evaluation Model of Business Project Overall Risks of Follower Banks Based on Copula[J]. Chinese Journal of Management Science, 2015, 23(1): 99-110.

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基于copula的追随者银行的企业项目总体风险评价模型

The Evaluation Model of Business Project Overall Risks of Follower Banks Based on Copula

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