Delta法在商业银行操作风险度量中的应用

Delta Method on Commercial Bank Operational Risk Measurement Applied Research

银行内部的操作风险损失数据的缺乏是度量操作风险的一个难点,在无法获得损失数据的情况下,可运用Delta方法计算收益的不确定性,进而计算出银行操作风险的可示损失部分。研究表明,Delta法是值得银行业采用的一种非常精确的方法。

The Bank＇s internal operational risk loss data is the lack of an operational risk measurement difficulties, loss of data is not available in the circumstances, this use of Delta method, simulated commercial banks were exploratory study, the uncertainty calculation of earnings , and then calculate the risk of banking operations may lose some display. The results show that, Delta method is used in the banking sector should be a very accurate method.