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重尾性操作风险监控参数识别
引用本文:莫建明,周宗放. 重尾性操作风险监控参数识别[J]. 系统工程, 2008, 26(8)
作者姓名:莫建明  周宗放
作者单位:1. 电子科技大学,经济与管理学院,四川,成都,610054;四川交通职业技术学院,四川,成都,611130
2. 电子科技大学,经济与管理学院,四川,成都,610054
摘    要:假设操作损失强度为Pareto分布,导出该重尾性操作风险的风险价值;在以弹性分析方法对该操作风险价值灵敏度进行理论分析后,建立了操作风险监控参数的识别模型;在实例分析后发现,该模型可有效地识别操作风险的关键监管参数.据此,可建立操作风险动态监管系统.该研究在理论上进一步完善了损失分布法在操作风险度量与管理中的应用.

关 键 词:操作风险  操作风险价值  弹性理论  监控参数

Identifying the Monitoring Parameters of Heavy-tailed Operational Risk
MO Jian-ming,ZHOU Zong-fang. Identifying the Monitoring Parameters of Heavy-tailed Operational Risk[J]. Systems Engineering, 2008, 26(8)
Authors:MO Jian-ming  ZHOU Zong-fang
Affiliation:1.School of Management and Economics of UESTC;Chengdu 610054;China;2.Sichuan Vocational and Technical College of Communications;Chengdu 611130;China
Abstract:When it presumes that the operational loss severity follow a Pareto distribution,Value at Risk of heavytailed operational risk is obtained.After the operational VaR's sensitivity is theoretically researched on the basis of elasticity analysis method,a model identifying the monitoring parameters of heavy-tailed operational risk is built.A numerical example shows that the model can effectively identify the key supervising parameters of operational risk.Accordingly,a dynamical supervising system of operational...
Keywords:Operational Risk  The Operational VaR  Elasticity Theory  Monitoring Parameters  
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