Research on the Risk Aggregation and Capital Allocation of Chinese Commercial Banks Based on Portfolio Theory
基于现代投资组合理论，构建了中国商业银行风险聚合与资本配置的一致模型，实证发现Copula函数是最优风险聚合技术，VaR匹配的预期亏损风险分配方法在稳定性上优于窗口条件期望方法。
The mutual-effect and heterogeneity bring barriers to the quantitative management of integrated risk management(IRM).Based on modern portfolio theory,this article aims at constructing a consistent model for risk aggregation and capital allocation of Chinese commercial banks.Through the empirical research,the authors discuss the detailed procedure and algorithm of the model.The empirical results indicate that,due to nonlinear correlation and abnormal distribution,copula function is the optimal risk aggregation technique,and VaR-matched Expected Shortfall(ES) risk allocation approach has better performance in stability than Window Conditional Expectation(WCE) approach.