操作风险度量模型与方法研究  

A Study on Operational Risk Measurement and Methods

作　　者：高丽君[1] 李建平[2] 陈建明[2] 徐伟宣[2] 

机构地区：[1]中国科学院研究生院本部 [2]中国科学院科技政策与管理科学研究所,北京100080

出　　处：《管理评论》2006年第9期8-16,共9页Management Review

基　　金：中国科学院院长基金(yjjz946)。

摘　　要：操作风险正日益成为全球银行业风险管理的重要研究领域。对于商业银行而言,操作风险已经成为与市场风险和信用风险同等重要的风险。本文介绍了操作风险的含义、类别及其特点,从其特点指出对操作风险进行度量和管理的困难性,并从监管的角度和度量的角度分别介绍了几种操作风险模型及其特点,分析得出大部分模型难于获得较好应用的原因在于数据问题。分析了近几年操作风险量化模型的新进展、新领域和可能的发展方向,为我国商业银行进行操作风险建模提供了参考和借鉴。Operational risk, an increasingly important research field in banks′ risk management, has become as critical as market risk and credit risk. This article gives the definition, classification and characters of operational risk, and points out the difficulty in measuring and managing operational risk. Then we compare the main models of operational risk from the perspective of supervision and measurement, concluding that data problem is the main reason for imperfect application of most models. This article also studies the new developments,new fields and new methods of operational risk modeling that appear in recent years. Such a study may be a reference for China′s commercial banks.

关 键 词：操作风险 自上而下法 自下而上法 极值理论 统计度量模型 

分 类 号：F830[经济管理—金融学] F224