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基于Copula函数对巴塞尔协议中操作风险的度量
引用本文:周峤,张曙光.基于Copula函数对巴塞尔协议中操作风险的度量[J].运筹与管理,2012,21(3):170-175.
作者姓名:周峤  张曙光
作者单位:中国科学技术大学统计与金融系,安徽合肥,230026
基金项目:国家重点基础研究发展计划资助项目
摘    要:利用贝叶斯网络,将搜集到的操作风险事件分类建立数据网络;在假设一定的分布条件下,分别估计各类损失事件发生频率和损失量的分布参数,用copula函数处理相关节点,再估计总体分布的VaR和ES,从而为巴塞尔协议中操作风险损失的估计提供一种具体的可选方法。

关 键 词:金融工程  操作风险  Copula函数  巴塞尔协议  蒙特卡罗模拟

Copula Applied to Measure the Operation Risk of Basel Ⅱ
ZHOU Qiao , ZHANG Shu-guang.Copula Applied to Measure the Operation Risk of Basel Ⅱ[J].Operations Research and Management Science,2012,21(3):170-175.
Authors:ZHOU Qiao  ZHANG Shu-guang
Institution:(Dept.of Stat.and Finance,Univ.of Sci.and Tech.of China,Hefei 230026,China)
Abstract:In this paper,combining Actuarial Approach and Bayesian models,we propose a way to measure the total operation loss mentioned in BaselⅡ.We try to simplify the connection between nodes with Copula functions.With this method,VaR and ES at different significance levels can be properly calculated and can be compared in several ways.Mathematical method and additional data can prove the efficiency of the model.
Keywords:financial engineering  operation risk  Copula function  Basel capital accord  Monte Carlo simulation
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