操作风险的高级计量法模拟分析研究

发布时间：2018-04-14 18:33

本文选题：操作风险度量 + 损失分布法　；参考：《南京大学》2012年硕士论文

【摘要】：在金融系统的改革与波动影响下,商业银行的经营业务体系也在不断的变革和发展,同时一些能够对银行造成重大威胁的极端突发事件发生的几率增大,银行业面临的操作风险呈现出逐步上升的状况。在此种内外部环境下,合理度量银行业所面临的操作风险不仅有利于增加银行的核心竞争力,更是银行提高内部控制水平,适应外部监管要求的必要条件,因此积极开发适应当下银行风险经营水平的度量方法势在必行。本文主要围绕我国商业银行操作风险度量的问题展开研究与讨论,整理收集了我国商业银行在1994-2009年之间的254起操作风险损失事件的相关历史数据,并运用基于蒙特卡罗模拟的损失分布法与极值理论法对我国商业银行的操作风险进行了度量。本文介绍了商业银行操作风险的定义、分类和特征,分析了我国商业银行操作风险的表现和成因,总结了目前商业银行操作风险的系列度量方法,分析了操作风险中损失分布法与极值理论度量的理论与步骤,并比较分析了这两种度量方法的特点与应用情况。理论追溯之后,运用基于蒙特卡罗模拟的损失分布法与极值理论法对我国商业银行的操作风险进行了度量研究。运用损失分布法进行度量时发现,我国商业银行操作风险损失事件发生的概率服从威布尔分布,发生强度服从对数正态分布；模拟的操作风险损失总金额的平均值为6.2337e+005；标准差为1.9824e+006,99.9%分位值为2.4517e+007,并且在99.9%的置信水平下,VaR值为2451.7亿元,若银行能够证明自身已对预期损失在日常经营中进行了相应的防范,则需要准备的监管资本应为2389.4亿元。运用POT模型度量时发现,在99.9%的置信水平下,我国商业银行操作风险的在险价值为1931.1亿元。
[Abstract]:Under the influence of the reform and fluctuation of the financial system, the business system of the commercial banks is also constantly changing and developing, and at the same time, the probability of some extreme emergencies which can pose a significant threat to the banks increases.The operational risk faced by the banking industry is gradually rising.In such an internal and external environment, the reasonable measurement of the operational risks faced by the banking industry is not only conducive to increasing the core competitiveness of banks, but also to the necessary conditions for banks to improve the level of internal control and adapt to the requirements of external supervision.Therefore, it is imperative to actively develop measures to adapt to the current risk management level of banks.This paper mainly focuses on the research and discussion of operational risk measurement of commercial banks in China, collates and collects the relevant historical data of 254 operational risk loss events of commercial banks in China from 1994 to 2009.The loss distribution method based on Monte Carlo simulation and extreme value theory are used to measure the operational risk of commercial banks in China.This paper introduces the definition, classification and characteristics of operational risk of commercial banks, analyzes the performance and causes of operational risks of commercial banks in China, and summarizes the series of measurement methods of operational risks of commercial banks at present.The theory and steps of loss distribution method and extreme value theory measurement in operational risk are analyzed, and the characteristics and application of these two methods are compared and analyzed.After tracing the theory, the loss distribution method based on Monte Carlo simulation and the extreme value theory method are used to measure the operational risk of commercial banks in China.When the loss distribution method is used to measure, it is found that the probability of operational risk loss events of commercial banks in our country is distributed from Weibull, and the intensity of occurrence is from logarithmic normal distribution.The average value of the total amount of operational risk loss is 6.2337e 005, the standard deviation is 1.9824e 006, the value of 99.9 quartile is 2.4517e 007, and the VaR value is 245.17 billion yuan at 99.9% confidence level.If banks can prove that they have taken precautions against expected losses in their daily operations, the regulatory capital to be prepared should be 238.94 billion yuan.By using POT model, it is found that the operational risk of commercial banks in China is 193.11 billion yuan at 99.9% confidence level.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.33

【引证文献】