论跨国银行操作风险管理模型的新近进展  

Recent Development in International Commercial Banks' Operational Model for Risk Management

作　　者：钟伟[1] 

机构地区：[1]北京师范大学金融研究中心

出　　处：《学术月刊》2004年第10期97-107,共11页Academic Monthly

摘　　要：近年来,对操作风险的定量化管理越来越受到国际银行业的重视,新巴塞尔协议的出台,使得操作风险和市场风险、信用风险并列,成为最受关注的三大风险。本文回顾了操作风险量化技术的发展沿革,并对新近模型发展,包括新巴塞尔协议中对操作风险的三个模型、OpVaR模型、极值模型以及其他一些模型方法,进行了简要的分类和评述。In recent years, quantified measurement on operational risk management becomes an important field on which international banks lay more and more emphasis. With the issuance of New Basel Accord, operational risk, together with market risk and credit risk, becomes three major risks which are mostly concerned. The paper gives a brief retrospect to the evolution of operational risk management in its measurement, and discusses the recent development in its model, including some important ones as basic indicator approach, standardized approach, AMA, Op-VaR, extreme value theory and others, with brief sorting and review.

关 键 词：跨国银行 新巴塞尔协议 风险管理模型 OpVaR模型 极值模型 

分 类 号：F830.2[经济管理—金融学]