统计研究

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损失分布法下操作风险度量精度变动规律

莫建明等   

  • 出版日期:2015-01-15 发布日期:2015-02-05

Changing Rule of Operational Risk’s Measurement Accuracy under the Loss Distribution Approach

MO Jian-ming et al.   

  • Online:2015-01-15 Published:2015-02-05

摘要: 本文在损失分布法下,以不确定性传递理论度量出监管资本度量精度,并对度量精度随监管资本变动规律进行理论研究发现,随监管资本递增,在形状参数影响下,度量精度下降,但是在频数参数和置信度影响下,度量精度变动趋势呈现出从提高到下降的变化过程,且操作风险存在状态变化临界点。为使监管资本与风险程度相匹配,必须将监管资本点估计值要求方式改革为缓冲性要求方式。

关键词: 操作风险, 度量精度, 不确定性传递理论

Abstract: This paper uses the loss distribution approach and the uncertainty propagation theory to measure the measurement accuracy of regulatory capital, and theoretically studied the law of its variation with the regulatory capital. The conclusions show that as the regulatory capital increase, the measurement accuracy declines under the influence of shape parameters, but the changing trend of measurement accuracy shows a changing process from rising to declining under the influence of frequency parameters and confidence levels. And there is a critical point in which the operational risk’s status changes. To match the regulatory capital with the operational risk, the point estimator of regulatory capital requirement should be reformed to be the capital buffer requirement.

Key words: Operational Risk, Measurement Accuracy, Uncertainty Propagation Theory