摘要
出于资本计量或其他管理要求,业界开始了操作风险模型化方面的探索,并开发了大量统计精算模型,其中极值理论是应用最为广泛的模型之一。然而,目前操作风险量化存在严重的数据缺乏问题,面对量化的难度而不得不辅之以定性的方法,如情景模拟、定性评估模型。
The banking industry has developed lots of statistical actuarial models in order to meet the demand for risk management and capital measurement. Among these models, extreme value theory is the most widely used model. The quantifying works encounter great difficulties because of scarce loss data, so researchers have to explore lots of qualifying models to make up quantifying models＇ deficiencies.
出处
《经济管理》
CSSCI
北大核心
2006年第10期87-91,共5页
Business and Management Journal ( BMJ )
