基于因果模型的Delt-EVT^(TM)技术在证券经纪业风险管理中的应用

The Application of Delt-EVT^(TM) Technique Based On Cause-Effect Model in the Securities Broking Operational Risk Management

新的巴塞尔协议将操作风险纳入风险资本范畴,证券经纪业务是投资银行的重要业务,其操作风险逐渐受到重视。论文在评述操作风险定性与定量技术的基础上,提出基于因果模型的Delt-EVTTM是一种典型的综合性分析方法,能较好解决操作风险后尾分布现象;并以证券经纪业交易业务为例,分析了该方法的应用流程,对我国金融业实施有效的操作风险管理提供了可能。

All kinds of qualitative technique and quantitative technique of operational risk were reviewed. As a result, it showed that Delt - EVT^TM is the best fittest all - around technique of operational risk which can analyze the fat tails distribution of operational risk. Finally, it illustrates the trading processes of Chinese security broking industry was illustrated and the key processes of Delt - EVT^TM applied in broking was given, which provides an approach on risk management of security broking industry.