Weibull分布下操作风险度量精度变动规律  

Change Rule of Operational Risk Measurement Accuracy under the Weibull Distribution

作　　者：莫建明[1] 吕刚[2] 卿树涛[3] 

机构地区：[1]西南财经大学中国金融研究中心,四川成都610074 [2]西南财经大学公共管理学院,四川成都611130 [3]湖南省委党校经济学部,湖南长沙410006

出　　处：《系统工程》2015年第8期70-77,共8页Systems Engineering

基　　金：国家自然科学基金资助项目(71171167;71373213;71301130);中央高校基本科研业务费专项资金项目(JBK150954;JBK120508);中国博士后科学基金第49批项目;国家社科基金重大资助项目(13&ZD030);国家社会科学基金资助项目(12BJY152;11XJY024)

摘　　要：为建立操作风险缓冲性监管资本要求方式的理论基础,在以不确定性传递理论度量出监管资本度量精度后,对度量精度随监管资本变动规律进行理论研究发现,监管资本与其度量精度受到损失强度分布和损失频数分布的影响,因而度量精度随监管资笨变动的趋势存在不确定性。为使监管资本与风险程度相匹配,必须将监管资本点估计值要求方式改革为缓冲性要求方式。本研究为解决BASELⅢ的风险监管遗漏问题提出了新的方案。In order to establish a theoretical basis of regulatory capital buffer requirement of operational risks,the variation of measurement accuracy is in theory studied with the regulatory capital after the measurement accuracy is measured by the uncertainty propagation theory.Because the regulatory capital and its measurement accuracy are affected by the loss severity distribution and loss frequency distribution,the change trends of measurement accuracy is uncertain with the regulatory capital.To match the regulatory capital with the operational risk,the point estimator of regulatory capital requirement should be reformed to be the capital buffer requirement.Our study provide a new solution to the problem that the partial risk is omitted in BASEL Ⅲ.

关 键 词：操作风险 度量精度 不确定性传递理论 缓冲资本要求方式 

分 类 号：TP202[自动化与计算机技术—检测技术与自动化装置]