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.

Factors Influencing the Recovery of Non-Performing Loans in Commercial Banks: The Case of Exim Bank

“…Apart from their intermediation process, CBs are also involved in the trade of various financial instruments, these include loan certificates, treasury bills, bonds, and repurchase agreements (Bank of Tanzania, 2015). With the increasing complexity and diversity of business development, CBs have gradually put more focus on how to improve the accuracy of risk assessment, especially credit risk (Su et al, 2018). Due to the nature of CBs, bank loans are the largest source of credit risk.…”