相关性下的银行风险集成研究综述

doi:10.16381/j.cnki.issn1003-207x.2020.08.001

Abstract

Abstract: Banks face various types of risks, such as credit risk, market risk, and operational risk. These risks are closely related to each other, causing them to show a trend of enlargement or reduction, which significantly affects the accuracy of bank risk measurement results.Bank risk aggregation is committed to a more accurate measurement of bank risk based on full consideration of bank risk correlations. However, banks face many types of risks, the correlations between them are sophisticated and the lack of data problem is especially severe. For these reasons, there are still many challenges in the field of aggregated measurement of bank risks. This paper systemically reviews the researches on bank risk aggregation from three perspectives, i.e.aggregation objects, aggregation methods,and aggregation data. Firstly, the bank risks and the multiplecorrelations within them are analyzed.Then the complex characteristics of bank risk correlations are summarized. The bank risk aggregation methods are summarized and compared based on their abilities to capture these characteristics. Lastly, the ways to obtain the data for bank risk aggregation are also summed up.On this basis, the difficulties and future trends of bank risk aggregation research are further analyzed.

Key words: credit risk, market risk, operational risk, risk dependence, risk aggregation

CLC Number:

F830

ZHU Xiao-qian, LI Jian-ping. A Review of Bank Risk Aggregation[J]. Chinese Journal of Management Science, 2020, 28(8): 1-14.

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A Review of Bank Risk Aggregation

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