Abstract: The correlations among the credit,market and operational risk significantly influence the integrated risk.This paper proposes a model to integrate credit,market and operational risk considering correlation.The integrated risk is computed by Copula function and Monte Carlo simulation.The diversification benefit and the overall risk variation from different copulas are explored.At last,the empirical results base on an accepted literature data show,this proposed model can describe the risk correlation well,and the VaR of this model is smaller than that of simply adding up the three different risks.This paper presents a unique way for the commercial banks to evaluate integrated risks and improve the financial utilization.

Key words: risk correlation, risk integratio n, credit risk, market risk, operational risk, Copula