基于极值理论的商业银行操作风险度量研究

Study on Operational Risk Measurement of Commercial Bank Based on Extreme Value Theory

针对操作风险损失数据"右偏、厚尾"的特点,分析POT方法下操作风险损失强度建模、损失频率建模的思路和过程,给出POT框架下的操作风险尾部风险VaR和ES的计算方法,利用我国商业银行的操作风险损失数据进行了实证分析。实证结果表明:用极值理论来度量操作风险以真实数据为导向,不必事先对损失分布进行假设,避免由于损失分布选择不当带来的模型风险;POT方法中的GDP分布与操作风险尾部拟合较好,能恰当描述分布的"厚尾"特性,避免低估风险的弊端。

According to the fact that characteristics of operational risk loss distribution are difficult to describe,Extreme Value Theory(EVT) is applied to measure operational risk for commercial banks in a statistical and probabilistic way.In detail,the way to assess the frequency distribution and severity distribution is developed under the peak over threshold(POT) method.Result reveals that;firstly,EVT is more flexible and feasible to measure operational risk by using the real loss data.Secondly,EVT only focus on the tail of loss data rather than the whole distribution,so there is no need to hypothesize the possible loss distributions in advance and the model risks from improper model selection are avoided;Thirdly,GDP distribution under POT method fits operational risk loss data very well,it captures the 'fat-tail' feature and avoids the disadvantages of underestimate risk.