| 银行操作风险度量方法比较研究 |
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| 引用本文： | 刘晓星.银行操作风险度量方法比较研究[J].财经问题研究,2006(1):61-67. |
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| 作者姓名： | 刘晓星 |
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| 作者单位： | 广东商学院,金融系,广东,广州,510320 |
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| 摘 要： | 操作风险已经成为银行风险管理的重点,新巴塞尔协议因此对操作风险提出了资本要求,并且越来越多的国际活跃银行致力于开发适合自身特点的操作风险计量方法.文中对新巴塞尔协议推荐的操作风险度量方法:基本法、标准法、内部度量法和高级的损失分布法、极值理论模型进行了应用比较分析,并在此基础上提出了基于VaR的银行整体风险管理框架.
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| 关 键 词： | 银行 操作风险 比较分析 趋势展望 |
| 文章编号： | 1000-176X(2006)01-0061-07 |
| 收稿时间： | 10 20 2005 12:00AM |
| 修稿时间： | 2005年10月20日 |
Comparative Research on Bank Operation Risk Measurement Ways |
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| LIU Xiao-xing.Comparative Research on Bank Operation Risk Measurement Ways[J].Research On Financial and Economic Issues,2006(1):61-67. |
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| Authors: | LIU Xiao-xing |
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| Institution: | Finance Department of Guangdong commercial university, Guangzhou Guangdong 510320, China |
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| Abstract: | Operation risk has become the emphasis of bank risk management so that new basel accord put forward capital requirement to operation risk,and much more international active banks devoted themselves to develop their own operation risk measurement ways.The paper comparatively analyzed basic indication approach,standardized approach,international measurement approach of new basel accord and loss distribution approach,extreme value theory from theory to application domain.Then the paper come up with bank total risk management construction based on VaR. |
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| Keywords: | VaR |
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