| 中国商业银行操作风险损失分布甄别与分析：基于贝叶斯MCMC频率方法 |
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| 引用本文： | 吴俊,宾建成.中国商业银行操作风险损失分布甄别与分析：基于贝叶斯MCMC频率方法[J].财经理论与实践,2011(5):8-14. |
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| 作者姓名： | 吴俊 宾建成 |
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| 作者单位： | 1. 厦门大学经济学院,福建厦门,361005
2. 上海对外贸易学院国际贸易系,上海,201620 |
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| 摘 要： | 确切的操作风险损失分布保障了风险度量的准确性。对银行操作风险损失数据的分析,国外学者一致认为操作风险分布近似泊松分布或负的贝奴里分布。基于中国商业银行1994～2008年的操作风险损失数据,通过对操作风险损失分布的检验、贝叶斯马尔科夫蒙特卡洛频率分析,发现中国商业银行操作风险损失分布近似服从广义极值分布(Generalized Extreme Value)。
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| 关 键 词： | 操作损失 贝叶斯 马尔科夫链 蒙特卡洛 |
Screen and Analysis of the Operational Loss Distribution Commercial Banks in China: Based on Bayesian MCMC Algorithm Method |
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| WU Jun,BIN Jian-cheng.Screen and Analysis of the Operational Loss Distribution Commercial Banks in China: Based on Bayesian MCMC Algorithm Method[J].The Theory and Practice of Finance and Economics,2011(5):8-14. |
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| Authors: | WU Jun BIN Jian-cheng |
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| Institution: | 1.School of Economics,Xiamen University,Xiamen,Fujian 461005,China; 2.Internatiaonal Business School,Shanghai Institute of Foreign Trade,Shanghai 201620,China) |
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| Abstract: | The accuracy of operational risk loss distribution is one of the safeguards to the precision of risk measurement. Scholars abroad believe that operational loss distribution of commercial banks is poisson or bernoulli distribution. Using the data from commercial banks in china, based on the Bayesian MCMC algorithm method, it is found that the operational risk loss distribution in china is the generalized extreme value distribution. |
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| Keywords: | Operational loss Bayesian Markov Chain Monta Carlo |
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