| 应用GPD估计国内商业银行操作风险的实证研究 |
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| 引用本文： | 郑宏冰,ZHENG Hong-bing.应用GPD估计国内商业银行操作风险的实证研究[J].佛山科学技术学院学报(自然科学版),2009,27(3):30-33. |
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| 作者姓名： | 郑宏冰 ZHENG Hong-bing |
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| 作者单位： | 电子科技大学,应用数学学院,四川,成都,610054 |
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| 摘 要： | 利用从媒体公开报导中搜集的国内商业银行操作风险损失事件,应用广义帕累托分布对损失超出量分布进行拟合,并进行KS检验,进而得到操作风险重现水平。
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| 关 键 词： | 操作风险 帕累托分布 KS检验 重现水平 |
Positive study on operational risk of national commercial banks with GPD |
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| ZHENG Hong-bing.Positive study on operational risk of national commercial banks with GPD[J].Journal of Foshan University(Natural Science Edition),2009,27(3):30-33. |
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| Authors: | ZHENG Hong-bing |
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| Institution: | School of Applied Mathematics;University of Electronic Science and Technology;Chengdu 610054;China |
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| Abstract: | We collected some loss data of national commercial banks from the public media,and fitted the tail of loss distribution with generalized Pareto distribution,verified it with KS testing method and then got the return level of operational risk. |
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| Keywords: | operational risk generalized Pareto distribution KS testing method return level |
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