操作风险高级计量法及其验证：国际经验与启示

Advanced Measurement Approaches for Operational Risk and Validation: International Experience and Implication

操作风险计量既是一个新题,也是一个难题。本文系统总结了操作风险高级计量法中的内部计量法和损失分布法,比较了部分国际金融机构在这方面的实践做法。在此基础上,指出了高级计量法应用时所需验证的内容及其相应的验证方法。最后,总结了我国银行业应用高级计量法时应注意的主要问题并给出了可供解决问题的思路。

To measure operational risk is a new difficult issue. In this paper, it summarizes internal measurement approach and loss distribution approaeh as two major advanced measurement approaches （AMA） for operational risk, and compares operational risk measurement practice of some international financial institutions. And then, it proposes the area to validate to implement AMA and derived validation methods. At last, it points out issues that China＇ s banking industry should pay attention to when AMA is implemented and put forth some suggestions.