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商业银行操作风险计量模型的Bayes估计
引用本文:戴丽娜,韩娜.商业银行操作风险计量模型的Bayes估计[J].数学的实践与认识,2012,42(11):1-9.
作者姓名:戴丽娜  韩娜
作者单位:郑州大学商学院,河南郑州,450001
摘    要:对于商业银行来讲,一个很重要的问题是损失数据缺乏,而损失数据缺乏会影响模型参数的估计,用Bayes估计解决了这一问题.Bayes估计的方法利用商业银行专家提供的意见确定先验分布,能够有效地解决损失数据缺乏的问题.实证分析的结果表明,Bayes估计与极大似然估计的结果.不考虑存在着一定的差距.不考虑各部分风险之间的相关性,基于Bayes估计与极大似然估计时VaR与ES的大部分结果相差不大.

关 键 词:Bayes估计  操作风险  VaR

The Bayesian Estimation of the Operational Risks Measure of the Business Bank
DAI Li-na , HAN Na.The Bayesian Estimation of the Operational Risks Measure of the Business Bank[J].Mathematics in Practice and Theory,2012,42(11):1-9.
Authors:DAI Li-na  HAN Na
Institution:(School of Business,Zhengzhou University,Zhengzhou 450001,China)
Abstract:To the business bank,an important problem is the lack of the loss data,while the lack of the loss data will influence the estimation of the parameter of the model.The bayesian estimation method decides the prior distribution according to the opinion provided by the experts of the financial institution and it can resolve the problem of the lack of the loss data.The demonstration in the paper indicates that the outcome of the bayesian estimation and the maximum likelihood estimation has some differentness.Taking no account of the dependence of the risk of each section,the most VaR and ES differs a little based on the bayesian estimation and the maximum likelihood estimation.
Keywords:the bayesian estimation  operational risks  VaR
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