摘要
对于商业银行而言,操作风险已经成为与市场风险和信用风险同样重要的风险。本文利用极值理论对中国商业银行操作损失极端值分布进行估计,针对尾参数估计的采用传统H ill估计对小样本数据容易产生偏倚的情况,提出了采用H ill估计的改进——小样本无偏估计的HKKP估计来估计操作损失的尾参数,针对由于阈值确定不准确导致结果偏差大的情况,采用最小化估计的累计概率分布与经验累计概率分布平均平方误差的方法确定较精确的阈值,估计出给定置信水平下操作风险损失的分位数,从而使得中国商业银行操作风险监管资本的测定成为可能。
During the recent years, the operational risk has become an important research field in banks＇ risk management. It has been recognized as the major risks for commercial banks together with the market risk and the credit risk. This article estimates the extreme loss distribution with extreme value theory, estimates the shape parameter with HKKP estimator, which is unbiased to small sample data, selects the right threshold by selecting smallest mean square error of the estimated cumulative distribution function and empirical cumulative distribution function and based on the extreme value theory method, this article estimates the extreme loss distribution and the p-percentile operational loss under certain believe range for Chinese commercial banks, then calculates the operational risk supervise capital. The results are encouraging and the proposed method may be a useful tool for estimating the operational risk.
出处
《系统工程》
CSCD
北大核心
2006年第6期58-63,共6页
Systems Engineering
基金
国家自然科学基金资助项目(70531040)
中国科学院院长基金资助项目(yjjz946)
关键词
操作风险
极值理论
HKKP估计
广义极值分布
极大似然估计
Operational Risk
Extreme Value Theory
HKKP-based Estimation
General Extreme Distribution
Maximum Likelihood Estimation
