Weibull分布下操作风险监管的遗漏风险特征

Omitted Risks in Supervising Operational Risk under the Weibull Distribution

操作风险度量结果存在显著不确定性,若以点估计值来要求监管资本,必然产生风险监管遗漏问题。为此,本文在Weibull分布下通过分析操作风险监管资本度量误差变动规律,探寻监管遗漏风险变动的特征:随操作风险递增,在尺度参数影响下,监管遗漏风险暴露程度增大,在形状参数和频数参数影响下,监管遗漏风险变动趋势呈现出显著不确定性,且存在多个极值风险状态点。当操作风险趋近于极值状态时,监管遗漏风险会趋于无穷大。可见,必须为监管遗漏风险要求监管资本,将监管资本点估计值要求方式改革为缓冲性要求方式。本研究对于解决类似次贷危机的风险监管遗漏问题是一种有益的尝试。

The measurements of operational risk is remarkably uncertain,therefore,if the regulatory capital is required based on the point estimates,there must be omitted risks in the regulation. Considering this,the paper theoretically explored the change laws of the operational risk＇s measurement error in the Weibull distribution to seek the characteristic of the omitted risk＇s change. The results show that,as the operational risk increases,the omitted risk exposure in regulation will increases under the influence of scale parameter; whereas under the influence of shape parameter and frequency parameter,the changing trend of the omitted risk displays remarkable uncertainty and multiple extreme risk state points exist. As the operational risk approaches the extreme status,the omitted risk in the regulation goes to infinity.This implies that,it is necessary to require regulatory capital for the omitted risk in regulation and the regulatory capital requirement mode based on point estimates should be reformed into the buffering requirement mode. This study is a promising attempt to solve the problems of the omitted risks like the subprime crisis.