| 基于左截尾数据的损失分布法度量操作风险:以中国商业银行为例 |
| |
| 引用本文： | 丰吉闯,李建平,陈建明. 基于左截尾数据的损失分布法度量操作风险:以中国商业银行为例[J]. 管理评论, 2011, 0(7) |
| |
| 作者姓名： | 丰吉闯 李建平 陈建明 |
| |
| 作者单位： | 中国科学技术大学管理学院;中国科学院科技政策与管理科学研究所; |
| |
| 基金项目： | 国家自然科学基金项目(7070103371071148) |
| |
| 摘 要： | 本文提出了采用左截尾数据的损失分布法来计算银行的操作风险资本金。基于不完全的操作风险损失数据,首先给出了频度分布和程度分布的参数估计方法;其次采用中国商业银行的操作风险损失数据进行实证分析;最后采用压力测试验证了模型的有效性。实证结果表明基于左截尾数据的损失分布方法不仅符合数据特点,而且能够很好的拟合操作风险的损失数据,同时模型具有很好的鲁棒性和敏感性。
|
| 关 键 词： | 操作风险 左截尾数据 损失分布法 |
Measurement of Operational Risk by Loss Distribution Approach with Left-truncated Data:Evidence from Chinese Commercial Banks |
| |
| Feng Jichuang,,Li Jianping , Chen Jianming. Measurement of Operational Risk by Loss Distribution Approach with Left-truncated Data:Evidence from Chinese Commercial Banks[J]. Management Review, 2011, 0(7) |
| |
| Authors: | Feng Jichuang Li Jianping Chen Jianming |
| |
| Affiliation: | Feng Jichuang1,2,Li Jianping2 and Chen Jianming2(1.School of Management,University of Science and Technology of China,Hefei 230026,2.Institute of Policy & Management,Chinese Academy of Sciences,Beijing 100190) |
| |
| Abstract: | This paper analyzes use loss distribution approach with left-truncated data to calculate operational risk capital of commercial banks.First,parameters estimation methods of operational frequency distribution and severity distribution are given;second,this paper empirically analyzes operational risk capital with operational risk data of Chinese commercial banks;finally,the validation of the model is tested by stress test approach.The empirical results reveal the model not only is consistent with data charact... |
| |
| Keywords: | operational risk left-truncated data loss distribution approach |
| 本文献已被 CNKI 等数据库收录！ |
