商业银行操作风险计量研究——基于极值理论和信度因子模型  

Operational Risk Measurement of Commercial Banks——Based on Extreme Value Theory and Credibility Factor Model

作　　者：陆静[1] 郭蕾[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《山西财经大学学报》2012年第9期45-57,共13页Journal of Shanxi University of Finance and Economics

基　　金：国家社会科学基金(09BJL024);重庆市自然科学基金(2009BB2042)资助

摘　　要：由操作风险损失数据的低频高危性及披露制度的不健全而导致的商业银行内部损失数据匮乏、计量精度不高的问题长期困扰着金融业界,并给操作风险损失的计量带来很大障碍。本文采用POT模型与部分可信性信度模型相结合的方法来混合操作风险内外部数据,对中国商业银行业1990～2010年的操作风险资本进行实证分析,估算了在一定置信水平下样本银行应配置的操作风险资本金,并对计量结果进行了比较分析,有效解决了操作风险内外部数据混合问题,可以为商业银行和监管部门测算风险资本提供参考。It is widely recognized that the commercial bank＇s internal data may not suffice for computing an accurate capital charge against operational risk. In order to settle this problem, the authors propose a method, which combines the POT model and the credibility theory, to ensure that merging both internal and external data leads to unbiased estimates of the loss distribution. This paper makes an empirical analysis based on the loss data of 1990-2010 and gets the operational risk capital of each bank. The results show that the method proposed could pool internal and external data of operational risk together in an appropriate way and this paper may provide some references for banking supervisions.

关 键 词：操作风险 信度理论 POT模型 内部数据 外部数据 

分 类 号：F832.332[经济管理—金融学]