我国商业银行操作风险模拟估计

Simulating Operational Risk for Chinese Commercial Banks

本文利用极值理论和蒙特卡洛模拟相结合的方法对我国商业银行操作损失整体分布进行估计。首先根据均超函数图估计出恰当的阈值,利用假设检验估计超阈值的发生强度,用广义帕累托分布估计了超限参数。采用模拟方法分别对超阈值的发生强度和损失强度进行拟合,得到年度超阈值损失分布的估计。低于阈值的分布采用统计方法获得发生强度和损失强度的分布。两者结合得出一定时期内操作风险总分布,并得出一定时期内的操作风险资本金。

We estimate the total operational loss distribution with the method combining extreme value theory and simulation method. We get appropriate threshold with mean excess function plot, get severity distribution of losses over threshold with GPD and frequency distribution with hypothesis test. We get the estimate parameters of GPD distribution with S - plus software and then simulate the random data of the frequency distribution, severity distribution over the threshold and simulate the annual over the threshold distribution. We estimate the frequency distribution, severity distribution of losses lower than the threshold and simulate the loss distribution.