Volume 6 Number 4 (Dec. 2016)
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IJEEEE 2016 Vol.6(4): 220-226 ISSN: 2010-3654
doi: 10.17706/ijeeee.2016.6.4.220-226

Macro Risk Measurement Model of Commercial Bank Project Based on Multivariate Copula Function

Zhanjiang Li
Abstract—It is of great significance to measure the project risk of commercial bank investment while the bank is unable to obtain the full information of the project. The macro risk of project is shown through 3 risk factors, namely, government risk, industry risk, and policy risk. A measurement model of project macro risk based on the insufficient information is built in this paper. The innovation and feature of this paper come in two ways. First, the function relationship among the project risk factors is determined through Multivariate Copula Function. The large sample data of project risk factors are generated through Monte Carlo Simulation. Thus, the large sample data of risk factors can be obtained, which makes up for the deficiency of inaccurate weight of small sample. Second, the weight of each risk factor is determined through the mean square error method. Therefore, the macro risk of project can be measured.

Index Terms—Project macro risk, risk measurement, multivariate copula function, mean square error.

Zhanjiang Li is with College of Economics and Management, Inner Mongolia Agricultural University, No.306 ZhaoWu Da Road, Saihan District, Hohhot, China (email: lizhanjiang582@163.com).

Cite: Zhanjiang Li, "Macro Risk Measurement Model of Commercial Bank Project Based on Multivariate Copula Function," International Journal of e-Education, e-Business, e-Management and e-Learning vol. 6, no. 4, pp. 220-226, 2016.

General Information

ISSN: 2010-3654
Frequency: Quarterly (Since 2015)
Editor-in-Chief: Prof. Kuan-Chou Chen
Executive Editor: Mr. Ron C. Wu
Abstracting/ Indexing: Engineering & Technology Digital Library, Google Scholar, Electronic Journals Library, QUALIS, ProQuest, EI (INSPEC, IET)
E-mail: ijeeee@iap.org
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