基于CVaR-POT模型的我国银行业操作风险度量研究  

Estimating Operational Risk of Chinese Commercial Bank Based on CVaR-POT Model

作　　者：李宝宝[1] 王言峰[2] 

机构地区：[1]南京航空航天大学经济与管理学院,江苏南京210016 [2]南京大学商学院,江苏南京210093

出　　处：《华东经济管理》2011年第7期76-79,共4页East China Economic Management

摘　　要：低频、高损失的风险是与操作风险损失分布尾部损失事件相联系的风险,其对所需计提的操作风险资本有显著的影响。文章利用条件风险价值理论CVaR和POT模型对我国银行业的整体操作风险状况进行度量研究,估算了针对内部欺诈、外部欺诈和客户、产品以及业务操作这3种低频高危操作风险损失事件类型给我国银行业造成的损失,以及在99.9%的置信水平下我国银行业一年内平均所需计提的操作风险资本金的数量,分析了极值理论在操作风险度量方面的研究前景。The risk of low frequency and high loss is associated with loss events in the tail of operational risk loss distribution, which has significant influence on the operational risk capital. This paper used Conditional Value at Risk （CVaR） Theory and POT （ Peaks - Over - Threshold ） model to estimate the overall operational risk of Chinese banking industry. And it estimated the loss of Chinese banking industry caused by internal fraud, external fraud and customer, product and business operation of these three kinds of low - frequency high - risk types of operational risk loss events. At the same time, it estimated the number of operational risk capital of Chinese banking industry during the confidence interval of 99. 9%. Finally, this paper pointed out future research directions of Conditional Value at Risk （CVaR） Theory and POT （Peaks- Over- Threshold） model in operational risk measurement .

关 键 词：操作风险 尾部 CVaR理论 POT模型 

分 类 号：F832[经济管理—金融学]