| 基于CVaR-POT模型的我国银行业操作风险度量研究 |
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| 引用本文： | 李宝宝, 王言峰,.基于CVaR-POT模型的我国银行业操作风险度量研究[J].华东经济管理,2011,25(7):76-79. |
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| 作者姓名： | 李宝宝 王言峰 |
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| 作者单位： | 1. 南京航空航天大学经济与管理学院,江苏,南京,210016
2. 南京大学商学院,江苏,南京,210093 |
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| 摘 要： | 低频、高损失的风险是与操作风险损失分布尾部损失事件相联系的风险，其对所需计提的操作风险资本有显著的影响。文章利用条件风险价值理论CVaR和POT模型对我国银行业的整体操作风险状况进行度量研究，估算了针对内部欺诈、外部欺诈和客户、产品以及业务操作这3种低频高危操作风险损失事件类型给我国银行业造成的损失，以及在99．9％的置信水平下我国银行业一年内平均所需计提的操作风险资本金的数量，分析了极值理论在操作风险度量方面的研究前景。
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| 关 键 词： | 操作风险 尾部 CVaR理论 POT模型 |
Estimating Operational Risk of Chinese Commercial Bank Based on CVaR-POT Model |
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| LI Bao-bao; WANG Yan-feng.Estimating Operational Risk of Chinese Commercial Bank Based on CVaR-POT Model[J].East China Economic Management,2011,25(7):76-79. |
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| Authors: | LI Bao-bao; WANG Yan-feng |
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| Institution: | 1.School of Economics and Management; Nanjing University of Aeronautics and Astronautics; Nanjing 210016; China; 2.School of Business; Nanjing University; Nanjing 210093; China |
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| Abstract: | The risk of low frequency and high loss is associated with loss events in the tail of operational risk loss distribution,which has significant influence on the operational risk capital.This paper used Conditional Value at Risk(CVaR) Theory and POT(Peaks-Over-Threshold) model to estimate the overall operational risk of Chinese banking industry.And it estimated the loss of Chinese banking industry caused by internal fraud,external fraud and customer,product and business operation of these three kinds of low-f... |
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| Keywords: | operational risk tail CVaR theory POT model |
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