损失分布法下操作风险度量精度变动规律
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摘要
本文在损失分布法下,以不确定性传递理论度量出监管资本度量精度,并对度量精度随监管资本变动规律进行理论研究。研究发现,在形状参数影响下,随监管资本的增加,度量精度下降,但是在频数参数和置信度影响下,度量精度变动趋势呈现出从提高到下降的变化过程,且操作风险存在状态变化临界点。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。
This paper uses the loss distribution approach and the uncertainty propagation theory to measure the measurement accuracy of regulatory capital,and theoretically studied the law of its variation with the regulatory capital. The conclusions show that as the regulatory capital increase,the measurement accuracy declines under the influence of shape parameters,but the changing trend of measurement accuracy shows a changing process from rising to declining under the influence of frequency parameters and confidence levels. And there is a critical point in which the operational risk's status changes. 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.
This paper uses the loss distribution approach and the uncertainty propagation theory to measure the measurement accuracy of regulatory capital,and theoretically studied the law of its variation with the regulatory capital. The conclusions show that as the regulatory capital increase,the measurement accuracy declines under the influence of shape parameters,but the changing trend of measurement accuracy shows a changing process from rising to declining under the influence of frequency parameters and confidence levels. And there is a critical point in which the operational risk's status changes. 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.
引文
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[2]Basel Committee on Banking Supervision.Basel III:A global regulatory framework for more resilient banks and banking systems[S].Bank for International Settlements,2010.
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[8]莫建明,周宗放.操作风险价值及其置信区间灵敏度的仿真分析[A].第六届中国管理科学与工程论坛.2008中国发展进程中的管理科学与工程[C].上海:上海财经大学出版社,2008:313-317.
[9]史道济.实用极值统计方法[M].天津:天津科学技术出版社,2006.
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[11]Y Fengge,W Hongmei and L Jiaqi.CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory[J].Mathematical and Computer Modelling,2013,58(1-2):15-27.
[12]G Mignola and R Ugoccioni.Sources of uncertainty in modelling operational risk losses[J].The Journal of Operational Risk,2006,1(2):33-50.
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[14]H S Na,J Van Den Berg and L C Miranda,et al.An Econometric Model to Scale Operational Losses[J].Operational Risk,2006,1(2):11-31.
[15]莫建明,周宗放.LDA下操作风险价值的置信区间估计及敏感性[J].系统工程,2007,25(10):33-39.
[16]K Bocker.Operational risk analytical results when high-severity losses follow a generalized Pareto distribution(GPD)[J].Risk of London,2006,8(4):117-120.
[2]Basel Committee on Banking Supervision.Basel III:A global regulatory framework for more resilient banks and banking systems[S].Bank for International Settlements,2010.
[3]Jack.L King.Operational Risk:Measurement and Modelling[M].New York:John Wiley&Sons,Ltd,2001.
[4]Basel Committee on Banking Supervision.International Convergence of Capital Measurement and Capital Standards:A Revised Framework[S].Bank for International Settlements,2004,6.
[5]Federal Reserve System,Office of the Comptroller of the Currency,Office of Thrift Supervision and Federal Deposit Insurance Corporation.Results of the 2004 Loss Data Collection Exercise for Operational Risk[R].2005.
[6]M Moscadelli.The modelling of operational risk:experience with the analysis of the data collected by the Basel Committee[R].Banca D’Italia,Termini di discussione Number 517,2004.
[7]E Gourier,W Farkas and D Abbate.Operational risk quantification using extreme value theory and copulas:from theory to practice[J].The Journal of Operational Risk,2009,4(3):3-26.
[8]莫建明,周宗放.操作风险价值及其置信区间灵敏度的仿真分析[A].第六届中国管理科学与工程论坛.2008中国发展进程中的管理科学与工程[C].上海:上海财经大学出版社,2008:313-317.
[9]史道济.实用极值统计方法[M].天津:天津科学技术出版社,2006.
[10]S Carrillo-Menéndez and A Suárez.Robust quantification of the exposure to operational risk:Bringing economic sense to economic capital[J].Computers&Operations Research,2012,39(4):792-804.
[11]Y Fengge,W Hongmei and L Jiaqi.CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory[J].Mathematical and Computer Modelling,2013,58(1-2):15-27.
[12]G Mignola and R Ugoccioni.Sources of uncertainty in modelling operational risk losses[J].The Journal of Operational Risk,2006,1(2):33-50.
[13]N Baud,A Frachot and T Roncalli.How to Avoid Over-estimating Capital Charge for Operational Risk?[R].OperationalRisk-Risk’Newsletter,2003.
[14]H S Na,J Van Den Berg and L C Miranda,et al.An Econometric Model to Scale Operational Losses[J].Operational Risk,2006,1(2):11-31.
[15]莫建明,周宗放.LDA下操作风险价值的置信区间估计及敏感性[J].系统工程,2007,25(10):33-39.
[16]K Bocker.Operational risk analytical results when high-severity losses follow a generalized Pareto distribution(GPD)[J].Risk of London,2006,8(4):117-120.