經濟資本模型驗證方法-資料下載頁

　　

【正文】 empirical copula) is more conservative than mon copulas (., Gaussian) and also less variable in the resampling experiment (more stable or accurate) Validation Example: Alternative Risk Aggregation Models – Risk Proxy Data Summary (Largest Banks As Of 4Q08) Mi ni m um5th P erc en ti l e25th P erc en ti l e Mean Me di an 75th P erc en ti l e95th P erc en ti l e Ma x m i m umS tan da r d Dev i ati on S k ew ne s s K urtos i sG r os s Cha r ge of f s2 NonInte r es t E x pe ns e3 59 7Net T r ad i ng Rev en ue4 0 9 2 3 Li qu i di ty G ap5 15 8 11 1 66 .48 20 .10 20 .50 Int eres t Rat e Gap6 17 2 89 .86 57 .76 2 68 2 06 3G r os s Cha r ge of f s NonInte r es t E x pe ns e 71 1Net T r ad i ng Rev en ue 9 6 2 3 9 Li qu i di ty G ap 82 .87 26 .97 12 .15 6 Int eres t Rat e Gap 30 .86 16 .66 7 3 63 0 51 8G r os s Cha r ge of f s NonInte r es t E x pe ns e Net T r ad i ng Rev en ue 3 6 8 1 Li qu i di ty G ap 65 .05 43 .17 20 .41 3 5 Int eres t Rat e Gap 34 .99 17 .06 7 2 04 0 77 6G r os s Cha r ge of f s NonInte r es t E x pe ns e 86 4Net T r ad i ng Rev en ue 7 9 6 2 Li qu i di ty G ap 34 .38 20 .14 10 .08 2 3 Int eres t Rat e Gap 15 .34 11 .93 2 8 1 24 4 15 6G r os s Cha r ge of f s NonInte r es t E x pe ns e Net T r ad i ng Rev en ue 6 2 3 1 Li qu i di ty G ap 41 .58 29 .25 12 .26 8 1 Int eres t Rat e Gap 24 .80 12 .17 1 4 07 5 G r os s Cha r ge of f s NonInte r es t E x pe ns e Net T r ad i ng Rev en ue 1 3 1 Li qu i di ty G ap 17 .36 10 .17 6 9 5 Int eres t Rat e Gap 8 6 8 2 07 7 25 42 G r os s c ha r ge of f s ( G CO ) i s ou r prox y m ea s ure c r ed i t ris k ( CR) .3 O the r no nin teres t e x pe ns e (O NIE ) i s ou r prox y m ea s ure of op erati on al r i s k ( O R) .4 T he de v i ati on to th e t r ai l i ng 4qua r ter av erage i n n ettr ad i ng r ev en ue s ( NT R 4Q D) i s ou r prox y m ea s ure of m ark et r i s k ( MR) .5 T he de v i ati on to th e t r ai l i ng 4qua r ter av erage of th e l i qu i di ty ga p, de f i ne d a s to tal l oa ns m i nu s to tal de po s i ts , o ur pr ox y m ea s ure of l i qu i di ty r i s k ( LG 4Q D) .6 T he de v i ati on to th e t r ai l i ng 4qua r ter av erage of th e i nte r es t rate g ap , d ef i ne d a s to tal i nte r es t e x pe ns e m i nu s to tal i nte r es t i nc om e, ou r prox y m ea s ure of i nte r es t rate ri s k ( IRG 4Q D) .T ab l e 1. 3: S umm ary S t atistics on R i sk M ea sures f or T op 20 0 and 5 La r g est B an k s by A sset S i z e ( C al l R ep ort D ata 19 84 20 08 )1Top 200 BanksJPMC1 Dol l ar am ou nts ex pres s ed i n b i l l i on s .Bank of AmericaCitigroupWells FargoPNC2 0 2 4x 1 07012x 1 07C r e d i t R i s k : G C O2 0 2 4 6x 1 0705x 1 08O p R i s k : O N I E1 0 1 2x 1 0700 . 51x 1 06M a r k e t R i s k : N T R 4 Q D5 0 5x 1 0800 . 51x 1 08L i q u i d i t y R i s k : L G 4 Q D4 2 0 2 4x 1 0805x 1 09I n t e r e s t R a t e R i s k : I R G 4 Q D5 0 5 10x 1 08024x 1 09T o t a l R i s k : S u m o f C r . , O p s . , M k t . , L i q u . amp。 I n t .H i s t o r i c a l L o s s D i s t r i b u t i o n s ( 2 0 0 L a r g e s t B a n k s 1 9 8 4 2 0 0 8 )Validation Example: Alternative Risk Aggregation Models – Distributions of Risk Proxies (Largest Banks As Of 4Q08) Validation Example: Alternative Risk Aggregation Models – Correlations of Risk Proxies (Largest Banks As Of 4Q08) ) 2 0 2x 1 085 0 5x 1 082 0 2x 1 070 2 4x 1 070 2 4x 1 07202x 1 08505x 1 08202x 1 07024x 1 07P a i r w i s e S c a t t e r g r a p h amp。 P e a r s o n C o r r e l a t i o n s o f 5 R i s k T y p e sT o p 2 0 0 B a n k s ( C a l l R e p o r t D a t a 1 9 8 4 2 0 0 8 )024x 1 07C r e d i tL i q u .O p e r a t .M a r k e tI n t . R t .c o r r ( c r , o p s )= 0 . 6 5 1 7c o r r ( m k t , l i q u )= 0 . 1 1 2 7c o r r ( i n t , l i q u )= 0 . 1 8 9 7c o r r ( c r , m k t )= 0 . 2 2 4 1c o r r ( o p s , l i q u )= 0 . 1 5 3 3c o r r ( m k t , i n t )= 0 . 2 4 7 8c o r r ( c r , l i q u )= 0 . 5 3 4 3c o r r ( o p s , i n t )= 0 . 1 1 7 4c o r r ( o p s , m k t )= 0 . 1 9 8 9c o r r ( c r , i n t )= 0 . 1 3 2 8G a u s s i a n C o p u l a N o r m a l A p p r o x .E m p i r i c a l C o p u l aT C o p u l aG u m b e l C o p u l aC l a y t o n C o p u l aF r a n k C o p u l aTop 200JPMCBofACitiWellsPNC0 . 0 0 E+ 0 01 . 0 0 E+ 0 82 . 0 0 E+ 0 83 . 0 0 E+ 0 84 . 0 0 E+ 0 85 . 0 0 E+ 0 86 . 0 0 E+ 0 87 . 0 0 E+ 0 88 . 0 0 E+ 0 89 . 0 0 E+ 0 81 . 0 0 E+ 0 9$ V a RFigure : 99 .97 th Pe rce ntile V alue atRis k for 5 Ris k Ty pe s: Cre dit, Ope rati onal, Mar ke t, Liquidity and Inte re st Rate (20 0 Lar ge st Ba nks: Call Re port Data 198 42 008 )G au s s i an Copu l a Nor m al A pp r ox .E m pi r i c al Copu l a T Copu l aG um be l Copu l aCl ay ton Copu l aF r an k Copu l aT op 20 0 4E + 08 8E + 08 9E + 08 2E + 08 0E + 08 8E +