BMM模型在商业银行操作风险度量中的应用

发布时间：2018-02-06 07:43

本文关键词： BMM模型广义极值分布 VaR 极值理论操作风险　出处：《统计与决策》2010年07期 　论文类型：期刊论文

【摘要】：文章利用极值理论中的BMM模型对商业银行操作风险损失极端值分布进行估计,采用广义极值分布构建VaR模型,组建极值数据组,运用极大似然估计法估计两个参数,进而计算操作风险损失VaR。最后结合我国商业银行1994~2008年的220个操作风险损失数据进行实证研究,结果显示BMM模型具有超越样本的估计能力,在数据较少条件下能得到较准确结果,用其度量商业银行的操作风险损失VaR是合理的,这为我国商业银行操作风险度量和管理提供一定的量化依据。
[Abstract]:In this paper, the BMM model of extreme value theory is used to estimate the extreme value distribution of operational risk loss in commercial banks, and the generalized extreme value distribution is used to construct the VaR model and the extreme value data set. The maximum likelihood estimation method is used to estimate the two parameters and then calculate the operational risk loss VaR. Finally, the empirical study is carried out with 220 operational risk loss data from 1994 to 2008 of Chinese commercial banks. The results show that the BMM model has the ability to estimate beyond the sample and can get more accurate results under the condition of less data. It is reasonable to use the model to measure the operational risk loss VaR of commercial banks. This provides a certain quantitative basis for the operational risk measurement and management of commercial banks in China.
【作者单位】：中南大学商学院;中南大学数学学院概率统计研究所;
【基金】：国家自然科学基金资助项目(10771216) 中南大学青年科学基金项目(761122880)
【分类号】：F224;F830.4

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