Weibull分布下操作风险监管资本及度量精度灵敏度

Sensitivity of operational risk's regulatory capital and measurement accuracy in the Weibull distribution

根据操作风险价值不确定度的合成机理,假设操作损失强度为Weibull分布,导出高置信度下重尾性操作风险监管资本的标准差与置信区间.进而以弹性分析方法对监管资本及其度量精度变动的灵敏度进行理论探讨后发现:随着分布特征参数的变动,监管资本及其度量精度的变动具有规律性,其灵敏度的变动仅与形状参数和频数参数有关,示例分析进一步验证了理论命题的有效性.根据该理论命题,不仅可判别操作风险的监控参数,简化操作风险监控系统,而且可为监管资本提取方式的改进提供有价值的参考建议.本文的研究在理论上进一步完善了损失分布法在操作风险度量与管理中的应用.

Suppose that the operational loss severity distribution is the Weibull, this paper derives thestandard deviation and confidence intervals of heavy-tailed operational risk＇s regulatory capital at highconfidence levels in accordance with the synthesis mechanism of operational VaR＇s uncertainty. Aftertile sensitivity of regulatory capital and measurement accuracy is in theory researched by the elasticityanalysis method, a rule is discovered that the regulatory capital and its measurement accuracy vary with thecharacteristic parameter. And their sensitivity＇s variation has only something to do with shape parameterand frequency parameter. The theorems are verified by the numerical example. Accordingly, the theoremsnot only distinguish the monitoring parameters and simplify the monitoring system, but also the valuablesuggestions are given for the allocation means of regulatory capital. This research improves the applicationof the loss distribution approach to the operational risk measurement and management.