| 基于变点理论的POT模型阈值确定方法——对操作风险经济资本的度量 |
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| 引用本文： | 宋坤,陈野华.基于变点理论的POT模型阈值确定方法——对操作风险经济资本的度量[J].统计与信息论坛,2011,26(7):23-27. |
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| 作者姓名： | 宋坤 陈野华 |
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| 作者单位： | 西南财经大学中国金融研究中心,四川成都,610074 |
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| 基金项目： | 教育部人文社会科学重点研究基地项目《投资银行风险管理理论与中国的实践》(2009JJD790037) |
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| 摘 要： | 对操作风险所要求的经济资本的度量以及配置能极大提高金融机构的风险控制能力。采用PCIT模型对操作风险度量时，阈值的选取是关键所在，它决定了拟合操作风险损失分布的近似程度。通过变点理论来定位Hill估计曲线开始进入稳定状态的位置，以精确地估计出阈值的大小。同时，为确保误差更小，结果更稳定，用平方误差积分法来估计POT模型的参数。结果表明，所改进的方法能为经济资本的度量提供有效的方法支持。
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| 关 键 词： | 操作风险 经济资本 POT模型 变点 |
Threshold Selection on POT Model Based on Change Point Theory:Measurement on Economical Capital Requirement of Operational Risk |
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| SONG Kun,CHEN Ye-hua.Threshold Selection on POT Model Based on Change Point Theory:Measurement on Economical Capital Requirement of Operational Risk[J].Statistics & Information Tribune,2011,26(7):23-27. |
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| Authors: | SONG Kun CHEN Ye-hua |
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| Institution: | SONG Kun,CHEN Ye-hua(China Finance Research Institution,Southwestern University of Finance and Economics,Chengdu 610074,China) |
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| Abstract: | Measuring and allocating economical capital requirement of operational risk can improve financial institutions' risk controlling capability.This paper uses Peak over Threshold Theory(POT) into the research on measuring economical capital requirement.Threshold selection is the key technique.To select threshold quantitatively and more accurately,a modified method using change point theory to locate stable state of Hill curve is proposed.Then,Integral Square Error Criterion is introduced to get better paramete... |
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| Keywords: | operational risk economical capital peak over threshold change point |
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