| 多变量极值理论在银行操作风险度量中的运用 |
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| 引用本文： | 杨旭. 多变量极值理论在银行操作风险度量中的运用[J]. 数学的实践与认识, 2006, 36(12): 193-197 |
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| 作者姓名： | 杨旭 |
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| 作者单位： | 西安交通大学经济与金融学院,陕西,西安,710061 |
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| 摘 要： | 针对银行操作风险损失分布的厚尾性和损失事件之间的尾部相依性,首先用单变量极值理论建立了单个损失事件计量模型,然后用多变量极值的连接函数反映了损失事件之间的尾部相依性,避免了计量中对银行操作风险的低估和对监管资本要求高估.
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| 关 键 词： | 操作风险 极值理论 相依性 |
| 修稿时间： | 2005-09-04 |
The Application of Multivariate Extreme Value Theory in Operational Risk Quantification |
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| YANG Xu. The Application of Multivariate Extreme Value Theory in Operational Risk Quantification[J]. Mathematics in Practice and Theory, 2006, 36(12): 193-197 |
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| Authors: | YANG Xu |
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| Abstract: | The bank′s losses caused by operational risk present obvious fat tail and tail dependence.In order to avoiding quantifying bank′s operational risk accurately,a extreme value model is used to capture the properties of the tail distribution firstly,then a multivariate extreme value copula is used to reflect the dependence between loss events. |
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| Keywords: | operational risk multivariate extreme value theory dependence |
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