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《Chinese Journal of Management Science》 2015-01
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The Evaluation Model of Business Project Overall Risks of Follower Banks Based on Copula

LI Zhan-jiang;CHI Guo-tai;DANG Jun-zhang;School of Business Management,Dalian University of Technology;College of Science,Inner Mongolia Agricultural University;Department of Risk Management,Postal Savings Bank of China;  
When a bank as forerunners joined a project,subsequent another bank as followers will comprehensively take the forerunner bank credit risk and the business project risk into consideration,and make investment decisions by the overall risk of investment projects.This is the evaluation question of business project overall risks based on follower banks.Because one bank is just familiar with the projects in some fields,some areas,some countries,which requirs follower banks need use the forerunner banks credit risk to infer the overall risk of business projects.According to the assumption that forerunner bank credit risk and project risk can reflect total project risk,the evaluation model of business project overall risks is established based on follower banks.The copula function is used to determine function relations of forerunner banks credit risk RFand project risk RP,total risk RTis obtained,to solve measurement problem of business project overall risks at last.The result reveals that under 95% confidence levels,as far as follower banks are concerned,no matter sample numbers,important degree of forerunner bank credit risk RFand project risk RPis:W1=0.428,W2=0.572.This research has the great guide meaning not only for the follower banks of the later investment,but also for all inter-bank cooperation.
【Fund】: 国家自然科学基金资助项目(71171031);国家自然科学基金青年科学基金资助项目(71201018);; 教育部科学技术研究项目(2011-10);; 教育部人文社会科学研究青年基金资助项目(11YJC790157);; 河北省自然科学基金青年科学基金(G2012501013);; 中国银监会银行业信息科技风险管理项目(2012-4-005);; 中国邮政储蓄银行总行小额贷款信用风险评价与贷款定价资助项目(2009-07);; 大连银行小企业信用风险评级系统与贷款定价项目(2012-01)
【CateGory Index】: F832.33;F224
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