基于截断数据的操作风险分段损失分布模型及应用  

Piecewise-Defined Severity Distribution Approach of Operational Risk Based on Truncated Data and Its Application

作　　者：陈倩[1] CHEN Qian(Business School,Beijing International Studies University,Beijing 100024,China)

机构地区：[1]北京第二外国语学院商学院

出　　处：《系统管理学报》2019年第5期907-916,共10页Journal of Systems & Management

基　　金：教育部人文社科青年基金资助项目(19YJC790012);北京第二外国语学院2019年“种子孵化”项目

摘　　要：选择恰当的损失分布是对操作风险进行度量的首要环节,也是正确度量操作风险的重要前提。立足于操作风险数据的“截断”性,将传统分阶段定义损失强度的损失分布法(PSD-LDA)拓展为双截尾分布-POT(DTD-POT)度量模型,用双截尾分布、分段分布代替传统的单一完整分布来刻画损失数据的双截断特性。首先,综合考虑数据收集门槛值、阈值对分布拟合的影响,构建DTD-POT度量模型,并提出DTDPOT的度量步骤和流程;其次,设计当损失强度分布为分段、截尾分布时使用Monte Carlo模拟度量操作风险的具体步骤;最后,收集我国商业银行1994~2013年间549个风险损失数据,以实证分析的形式验证所提出的方法,并将结果与单一损失分布法、传统的PSD-LDA进行了比较。实证结果表明:PSD-LDA和PTDPOT模型均能较好的拟合损失的主体和尾部,拟合结果显著优于单一损失分布法;与传统的PSD-LDA相比,DTD-POT模型对数据有更好的拟合效果,度量结果具有较好的稳定性,能够减少因损失分布选择不当带来的误差。Choosing aproper loss distribution is the most important step and an important prerequisite to correctly measure operational risks.Based on the “ truncation ” of operational risk data , the traditional piecewise - defined severity distribution approach ( PSD - LDA ) which defined loss intensity by stages was extended to a doubly - truncated distributions - POT ( DTD - POT ) model , which was used to characterize the doubly - truncated characteristics of loss data instead of the traditional single complete distribution.First , the impact of truncated data on the loss of distribution fitting was analyzed.Then the DTD-POT model was proposed , in which both the influence of minimum collection threshold and the cut - off point between HFLS and LFHS were considered.After that , the simulation steps of Monte Carlo were proposed while the separated distribution and truncated distribution were applied instead of the traditional single and complete distribution.Finally , all the models and methods were tested with hand - collected samples of 549 operational losses from 1994to 2013.The result reveals that compared with PSD-LDA , the DTD - POT model has a better fitting effect on data , a better stability in measurement , and less error caused by improper selection of loss distribution.

关 键 词：操作风险度量 截断数据 双截尾分布 分段损失分布法 极值理论 

分 类 号：F831[经济管理—金融学]