Research on the Coupling Relationship between Market Risk and Credit Risk in Commercial Banks

Abstract

With the complexity and diversity of business development, commercial banks gradually put more focus on how to improve the accuracy of risk measurement. In this essay, we first defined the basic market risk and credit risk indexes by the use of the financial data of the target bank. Then, we built the Copula Model through Monte Carlo simulation techniques. We finally built the Copula-VaR measurement model which revealed the relationship between the two types of risks.