用改进的蒙特卡罗模拟估计我国商业银行操作风险

运用蒙特卡罗模拟方法估计银行业操作风险时,对于事件发生频率,一般不考虑预测模型参数的时变性,致使预测结果存在较大偏差。针对这一不足,建立了灰色动态残差GM(1,1)模型来估计与预测损失事件的发生频率,并通过对起始时点的比较选择和残差的修正,进一步改进了预测模型。再用蒙特卡罗方法对操作风险的损失金额进行模拟,配合使用所建立的损失事件发生频率预测模型,得到商业银行操作风险的损失值,并据以确定监管资本和减少商业银行操作风险的对策。

Estimating Operational Risk of China's Commercial Bank via Improved Monte Carlo Simulation

When estimating operational risk by the Monte Carlo simulation,the time factor is often ignored,and it leads a biggish error.Using the model of GM(1,1)to estimate the frequency of operational risk,building the estimation model of GM(1,1),and modifying the origination point and the residua of the model can get a much more accurate simulation model of frequency.Considering the time factor of the model,it estimates the loss amounts by the Monte Carlo simulation,and the commercial bank can prepare a much more accurate capital,and reduce the loss caused by the operational risk.