重尾性操作风险度量模型与管理模型的连接参数  

Connection parameters of heavy-tailed operational risk measurement model with management model

作　　者：莫建明[1] 周宗放[2] 贺炎林[3] 

机构地区：[1]西南财经大学中国金融研究中心,成都610074 [2]电子科技大学经济与管理学院,成都610054 [3]对外经济贸易大学金融学院,北京100029

出　　处：《系统工程理论与实践》2011年第6期1021-1028,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70671017);四川省教育厅(08SA082)

摘　　要：为连接重尾性操作风险的度量模型与管理模型,以弹性分析方法对重尾性操作风险价值的灵敏度进行了理论分析,建立了操作风险关键管理参数的判别模型,并以示例验证了该模型的有效性.该关键管理参数将度量模型与管理模型连接起来,使操作风险管理框架成为一个完整体系,为建立操作风险动态管理系统奠定了基础.在理论上完善了损失分布法在操作风险度量与管理中的应用.In order to connect the heavy-tailed operational risk measurement model with management model,a theoretical analysis is conducted on the sensitivity of heavy-tailed operational VaR by means of the elasticity analysis method.A discriminative model on the key management parameters of operational risk is set up.And the robustness of this model is also verified by a numerical example.The key management parameters connect the measurement model with management model,making the operational risk management frameworks a full and complete system and also laying a foundation for the establishment of a dynamical operational risk management system.This study is theoretically improving the application of loss distribution approach to the operational risk measurement and management.

关 键 词：操作风险 连接参数 弹性理论 操作风险价值 

分 类 号：F830[经济管理—金融学]