摘要
利用从媒体公开报导中搜集的国内商业银行操作风险损失事件,应用广义帕累托分布对损失超出量分布进行拟合,并进行KS检验,进而得到操作风险重现水平。
We collected some loss data of national commercial banks from the public media, and fitted the tail of loss distribution with generalized Pareto distribution, verified it with KS testing method and then got the return level of operational risk.
出处
《佛山科学技术学院学报（自然科学版）》
CAS
2009年第3期30-33,共4页
Journal of Foshan University(Natural Science Edition)
关键词
操作风险
帕累托分布
KS检验
重现水平
operational risk
generalized Pareto distribution
KS testing method
return level
