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基于POT方法的商业银行操作风险极端值估计
引用本文:高丽君,李建平,徐伟宣,王书平.基于POT方法的商业银行操作风险极端值估计[J].运筹与管理,2007,16(1):112-117.
作者姓名:高丽君  李建平  徐伟宣  王书平
作者单位:1. 山东财政学院,工商管理学院,济南,250014
2. 中国科学院,科技政策与管理科学研究所,北京,100080
3. 北方工业大学,经济管理学院,北京,100041
基金项目:国家自然科学基金;中国科学院基金;科技政策与管理科学研究所所长基金
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。本文利用极值理论超越样本的估计能力,采用极值理论中对数据要求量较少,可以进行单步预测的超阈值(POT)方法对我国商业银行操作损失极端值分布进行估计,以均值超额函数图和拟合直线的交点确定阈值,估计出给定置信水平之下操作风险损失的分位数,从而使得国内商业银行操作风险监管资本的计算成为可能。

关 键 词:金融学  POT方法  极值理论  操作风险  均值超额函数图
文章编号:23926909
修稿时间:02 20 2006 12:00AM

Estimating Extreme Values of Operational Risk for Commercial Banks via Peak over Threshold Method
GAO Li-jun,LI Jian-ping,XU Wei-xuan,WANG Shu-ping.Estimating Extreme Values of Operational Risk for Commercial Banks via Peak over Threshold Method[J].Operations Research and Management Science,2007,16(1):112-117.
Authors:GAO Li-jun  LI Jian-ping  XU Wei-xuan  WANG Shu-ping
Institution:1. Business Administration School, Shandong University of Finance, J inan 250014, China ; 2. Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China; 3. The college of Economics and Business Administration, North China University of Technology, Beijing 100872, China
Abstract: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.By using peak over threshold method(POT),which requires less data than other methods,and based on the extreme value theory method,this article estimates the extreme loss distribution and the p-percentile operational loss under certain belief 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.
Keywords:finance  peak over threshold method  extreme value theory  operational risk  mean excess function plot
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