基于稀有事件仿真的商业银行IT操作风险评估研究

ON IT OPERATING RISK ASSESSMENT FOR COMMERCIAL BANK BASED ON SIMULATING RARE EVENTS

系统仿真是风险评价的一种重要手段,针对商业银行IT操作风险预警问题,提出了一种基于稀有事件仿真的IT操作风险评估方法。采用商业银行IT操作风险的概率作为衡量IT操作风险高低的标准,构造基于稀有事件的商业银行IT操作风险识别模型,利用交叉熵方法构建了一种稀有事件仿真的有效算法,并由此估计出发生损失的概率。实证分析结果表明,模型对商业银行IT操作风险具有很强的识别能力,从而提供了一个风险预警的新视角。

System simulation is one of important tools for risk assessment. In this paper, an assessment method of IT operating risk for commercial banks based on simulating the rare events is presented aiming at the early warning against IT operating risk at commercial banks. The probability of IT operating risk for commercial banks is adopted as the criterion to measure the risk of IP operation so as to construct the identification model of IT operating risks for commercial banks based on the rare events, and also the method of cross entropy is used to build an effective algorithm of rare events simulation, and the probability of the occurrence of losses may be estimated in this way. Empirical analysis result shows that this model has a very strong identifying capability against the IT operatifig risks for commercial banks, therefore it consequently offers a new visual angle for early warning of the risks.