损失分布模型在操作风险中的应用分析  

Applicational Analysis of Loss Distribution Model in Operational Risk

作　　者：唐国储[1] 刘京军[2] 

机构地区：[1]北京大学中国经济研究中心 [2]中山大学岭南学院

出　　处：《金融论坛》2005年第9期22-26,共5页Finance Forum

基　　金：国家社会科学基金资助课题(05CTJ004);教育部回国人员科研启动经费资助课题。

摘　　要：随着巴塞尔协议的公布,操作风险(Operational Risk)的量化模型已经成为银行业目前研究的主要课题。本文按照巴塞尔协议规定,利用损失分布方法(Loss Distribution Approach,LDA)来度量操作风险,这种方法的优点在于分别度量损失事件发生频度以及损失幅度,然后利用组合分布方法来研究一段时间内的累积损失分布。本文主要讨论在商业银行内部如何执行LDA以及引入操作风险在险值(Valueat Risk,VaR)的概念,并且介绍了能够反映损失分布的分布函数。同时按照巴塞尔协议公布的方法和策略,从损失事件类型、业务部门以及损失分布额度的估计方法探讨利用高级度量方法的可能性和现实性以及操作中的现实问题。Along with the announcement of the Basle Accord, operational risk quantifying model has become a focus of attention in bankingindustries at present. In light with provisions in the Basle Accord, loss distribution approach (LDA), the advantage of which is that frequencyand scope of the loss event is measured separately and accumulated loss distribution over a certain time is studied by combined distributionapproach, is used to measure operational risks. In this paper, discussion is centered on how to adopt LDA internally with an introduction ofthe concept of Value at Risk (VaR). Moreover, distribution function showing loss distribution is also introduced. Finally, by following the ap-proaches and strategies in the Basle Accord, the possibility and reality of adopting sophisticated measuring approach and problems that mayoccur in actual practice are all explored from the point of the loss event type, business department and loss distribution range estimation.

关 键 词：操作风险 损失事件 损失频度 损失幅度 高级度量方法 损失分布方法 损失分布模型 巴塞尔协议 应用 度量方法 

分 类 号：F830[经济管理—金融学]