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重尾性操作风险监控参数识别 被引量：3

Identifying the Monitoring Parameters of Heavy-tailed Operational Risk
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摘要 假设操作损失强度为Pareto分布,导出该重尾性操作风险的风险价值;在以弹性分析方法对该操作风险价值灵敏度进行理论分析后,建立了操作风险监控参数的识别模型;在实例分析后发现,该模型可有效地识别操作风险的关键监管参数。据此,可建立操作风险动态监管系统。该研究在理论上进一步完善了损失分布法在操作风险度量与管理中的应用。 When it presumes that the operational loss severity follow a Pareto distribution, Value at Risk of heavy-tailed operational risk is obtained. After the operational VaR＇s sensitivity is theoretically researched on the basis of elasticity analysis method, a model identifying the monitoring parameters of heavy-tailed operational risk is built. A numerical example shows that the model can effectively identify the key supervising parameters of operational risk. Accordingly, a dynamical supervising system of operational risk is established. In thoery this research improves the application of loss distribution approach to the operational risk measurement and management.
作者 莫建明 周宗放
机构地区 电子科技大学经济与管理学院 四川交通职业技术学院
出处 《系统工程》 CSCD 北大核心 2008年第8期65-70,共6页 Systems Engineering
基金 国家自然科学基金资助项目(70671017)
关键词 操作风险 操作风险价值 弹性理论 监控参数 Operational Risk The Operational Vale Elasticity Theory Monitoring Parameters
分类号 F830 [经济管理—金融学]
  • 相关文献

参考文献11

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  • 9莫建明,周宗放.LDA下操作风险价值的置信区间估计及敏感性[J].系统工程,2007,25(10):33-39. 被引量：9
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二级参考文献15

  • 1Basel Committee on Banking Supervision, Overview of the New Basel Capital Accord, Consultative Document[Z]. 2004.
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共引文献8

同被引文献29

  • 1高丽君,李建平,徐伟宣,王书平.基于POT方法的商业银行操作风险极端值估计[J].运筹与管理,2007,16(1):112-117. 被引量：29
  • 2钟波,汪青松.基于Bayes估计的金融风险值——VaR计算[J].数理统计与管理,2007,26(5):881-886. 被引量：7
  • 3R. G.Cowell,R. J.Verrall,Y. K.Yoon.Modeling Operational Risk With Bayesian Networks[J].Journal of Risk and Insurance.2007(4)
  • 4Imad A Moosa.A critique of the advanced measurement approach to regulatory capital against operational risk[].Journal of Banking Regulation.2008
  • 5Luciana Dalla Valle.Bayesian Copulae Distributions, with Application to Operational Risk Management[J]. Methodology and Computing in Applied Probability . 2009 (1)
  • 6L. Dalla Valle,P. Giudici.A Bayesian approach to estimate the marginal loss distributions in operational risk management[J]. Computational Statistics and Data Analysis . 2007 (6)
  • 7V. Chavez-Demoulin,P. Embrechts,J. Ne?lehová.Quantitative models for operational risk: Extremes, dependence and aggregation[J]. Journal of Banking and Finance . 2006 (10)
  • 8De Fontnouvelle P,Jesus-Rueff V,Jordan J,Rosengren E.Capital and Risk:New Evidence on Implications of Large Operational Losses. Journal of Money Credit and Banking . 2006
  • 9Chernobai A.,Rachev S.Applying robust methods to operational risk modeling. Journal of Operational Risk . 2006
  • 10Müller H.Quantifying operational risk in a financial institution. . 2002

引证文献3

二级引证文献12

系统工程
2008年 第8期

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