【作者】 邹薇； 李晶晶；

【机构】 湘潭大学商学院；

【摘要】 近年来,我国银行体系操作风险事件频频发生,严重影响了银行体系的稳健发展。因此研究如何科学有效地度量操作风险,并在此基础上提高操作风险管理水平就显得尤为重要。基于1993年至2010年的损失数据,运用改进的损失分布法,使用实际拟合的函数分布进行蒙特卡洛模拟100000次,对我国银行体系操作风险进行度量,可以为银行体系监管当局对我国银行体系操作风险经济资本的提取提供更为精确的预测。更多还原

【Abstract】 In recent years, operational risk loss events occur frequently in the domestic banking system and affect the healthy development of the banking system seriously. So to research how to measure the operational risk scientifically and effectively, and on the basis of this to raise the level of operational risk management is particularly important. Based on the loss data from 1993 to 2010,applying the improved Loss Distribution Approach ,that means using the distribution function which is fitted actually to simulate 100000 times with the Monte Carlo Method to measure the operational risk in the domestic banking system. For the supervision authorities of the banking system, this can provide more accurate prediction when they exact the economic capital of the operational risk in the banking system.更多还原