基于信度理论的商业银行操作风险计量研究  

Measurement of Commercial Bank's Operational Risk Based on Credibility Theory

作　　者：陆静[1] 张佳[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《管理工程学报》2013年第2期160-167,141,共9页Journal of Industrial Engineering and Engineering Management

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

摘　　要：操作风险日益成为商业银行风险防范的重点,但由于其厚尾性特征以及建模所需数据极其匮乏,至今仍没有普遍接受的计量方法。本文将非寿险精算的信度理论应用于操作风险测量,推导了操作风险计量的信度模型,并在此基础上采用中国商业银行1990—2010年的数据对操作风险资本进行了实证分析。研究表明,按照巴塞尔委员会规定的99.9%的置信水平,每家样本银行需配置2至5亿的操作风险资本,为监管部门和商业银行防范操作风险、有效配置资本提供了一定的参考价值。In order to emphasize the quality of a bank＇ s core capital and the macro-prudential principle after the subprime mortgage crisis, the Basel Committee on commercial banks further strengthens the supervision of operational risks. It is much more difficult to quantify operational risk than credit risk and market risk because operational risk has low frequency, lack of required modeling data, and has a considerable amount of data loss for realistic econometric modeling. No recognized and generally accepted operational risk measurement is available, and the lack of sufficient historical data is one of main obstacles. In addition, operational risk has strong endogenous characteristics because different risk management systems of different banks and data loss may be subject to different distributions. Therefore, we cannot simply mix internal and external data. Otherwise, it will change the original data distribution which will results in not being able to obtain unbiased estimates and will not guarantee the accuracy and reliability of measurement. The present paper uses the credibility theory of non-life actuarial to measure operational risk, and provides a better solution to problems associated with a bank＇ s internal and external data integration. Credibility theory is one of important methods to determine experience rate in non-life actuarial and it studies how to use a combination of the recent data loss and subjective insurance data loss over the same period to estimate a weighted average posteriori premium. Both insurance and banking industries belong to the financial sector and they are also facing the problem of inadequate data in risk management and measurement. The insurance industry uses credibility theories to combine with external data and solve its own data deficiency. Given the similarity of problems and data, commercial banks can borrow the credibility model of the insurance field to calculate operational risk capital. This paper assumes that a number of banks in the banking system and many years o

关 键 词：操作风险 信度理论 商业银行 风险计量 

分 类 号：F830.33[经济管理—金融学]