商业银行操作风险内部衡量法及其应用研究被引量：5

Internal Measurement Approach to Operational Risk with Application in Commercial Banks

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摘要内部衡量法是巴塞尔委员会推荐使用的操作风险高级计量法中的主要方法之一,是标准法与其他高级法之间的一种过渡方法。在新资本协议实施中,它成为操作风险度量的主要方法。本文从操作风险预期损失EL和总资本要求计算方法入手,分别运用保险精算法与Copula函数对内部衡量法进行了深入的研究,提出了基于中等频数和中等损失情况下的内部衡量法计算公式,并设计了一个通过内部衡量法度量操作风险的使用框架。 Internal Measurement Approach （IMA） is one method of Advanced Measurement Approaches （AMAs） recommended by Basel Committee on Banking Supervision. IMA is between Standardised Approach （SA） and other AMAs. The New Accord is being implemented in 2007 and the IMA become a main method of operational risk measurement. So this paper mainly investigates IMA by studying expected loss （EL） with actuarial model and by studying the total capital requirement with Copula function, and proposes a model for operational risk loss which is for the type of medium frequency and medium severity. Finally, an implement framework for commercial banks is designed.

作者陈珏宇谢红丽沈沛龙

机构地区中央财经大学财经研究院中信银行西安分行山西财经大学财政金融学院

出处《经济管理》 CSSCI 北大核心 2008年第10期41-47,共7页 Business and Management Journal ( BMJ )

基金国家自然科学基金“关于构建我国商业银行内部评级体系的研究”(70473054) 山西省高校青年学术带头人基金“现代商业银行操作风险问题研究” 山西省自然科学基金“银行信用风险、市场风险和流动性风险综合度量技术研究”(20041008)

关键词商业银行操作风险业务类别事故类型 COPULA函数 commercial bank operational risk internal measurement approach business line event type copula function

分类号 F831 [经济管理—金融学]

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参考文献14

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二级参考文献12

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