| 商业银行操作风险的Buhlmann估计模型 |
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| 引用本文： | 李应求,王涛,赵人可,赵文婷,李静伊,程喆.商业银行操作风险的Buhlmann估计模型[J].数学理论与应用,2012(1):6-12. |
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| 作者姓名： | 李应求 王涛 赵人可 赵文婷 李静伊 程喆 |
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| 作者单位： | 长沙理工大学数学与计算科学学院;长沙理工大学经济与管理学院;武汉大学经济与管理学院高级研究中心 |
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| 基金项目： | 国家自然科学基金项目(11171044);湖南省自然科学基金资助项目(11JJ2001);高等学校博士学科点专项科研基金(20104306110001);湖南省科技计划项目(2010fj6036);湖南省高等学校科研项目(08C120,09C113,09C059);湖南省研究生科研创新项目(CX2011B366)资助 |
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| 摘 要： | 对银行操作风险产生的各类损失量，关于操作风险水平条件独立情况，建立一种新的银行操作风险损失额的Buhlmann估计模型。并对模型进行了实证分析。
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| 关 键 词： | 银行操作风险 风险计量 Buhlmann模型 无偏估计 |
Evaluating Operational Risks of Commercial Banks with Buhlmann Models |
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| Li Yingqiu,Wang Tao,Zhao Renke,Zhao Wenting,Li Jingyi,Cheng.Evaluating Operational Risks of Commercial Banks with Buhlmann Models[J].Mathematical Theory and Applications,2012(1):6-12. |
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| Authors: | Li Yingqiu Wang Tao Zhao Renke Zhao Wenting Li Jingyi Cheng |
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| Institution: | Zhe3(1.School of Mathematics and Computing Science,Changsha University of Science and Technology, Changsha,410114,China)(2.School of Economic and Management of Changsha University of Science and Technology, Changsha,410004)(3.Research Center of School of Economic and Management of Wuhan University,Wuhan,430072) |
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| Abstract: | In this paper a new Buhlmann model for evaluating the losses of banks brought by operating risks is built,where we assume that the losses produced by operating risks are independent conditioning with respect to the operating risks.An example is given to illustrate the new model. |
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| Keywords: | Operating Risk of Bank Buhlmann Model Unbiased Estimate |
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