基于损失分布模型的操作风险相关性及算法  

Correlation and Arithmetic of Operational Risk Measurement Basing on Loss Distribution Approach

作　　者：张宏毅[1] 陆静[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《重庆大学学报（自然科学版）》2007年第5期131-134,共4页Journal of Chongqing University

基　　金：全国统计科学研究计划项目资助(2006C04);重庆市哲学社会科学项目资助(2005-JJ04)

摘　　要：根据新巴塞尔协议关于银行操作风险计量的基本框架,讨论了高级计量法下不同产品条线/风险类型单元的操作风险之间的相关性问题,并运用损失分布模型计算不同单元的操作风险累计损失之间的相关系数,尝试用Copula算法来计算相关系数矩阵,并将结果应用于操作风险资本配置。Based on the principles of operational risk measurement provided by Basel Ⅱ, the paper discusses the problem of operational risk correlations among different business lines / risk types. The correlation coefficients between the aggregate losses among different business lines / risk types are calculated. Copula arithmetic is put forward to compute correlation coefficients matrix of aggregate losses. Besides, the result is used to calculate the capital requirement of operational risk.

关 键 词：操作风险 相关性 风险计量 

分 类 号：F830.4[经济管理—金融学]