本文關(guān)鍵詞： BMM模型 廣義極值分布 VaR 極值理論 操作風(fēng)險(xiǎn)　出處：《統(tǒng)計(jì)與決策》2010年07期 　論文類型：期刊論文

【摘要】：文章利用極值理論中的BMM模型對(duì)商業(yè)銀行操作風(fēng)險(xiǎn)損失極端值分布進(jìn)行估計(jì),采用廣義極值分布構(gòu)建VaR模型,組建極值數(shù)據(jù)組,運(yùn)用極大似然估計(jì)法估計(jì)兩個(gè)參數(shù),進(jìn)而計(jì)算操作風(fēng)險(xiǎn)損失VaR。最后結(jié)合我國(guó)商業(yè)銀行1994~2008年的220個(gè)操作風(fēng)險(xiǎn)損失數(shù)據(jù)進(jìn)行實(shí)證研究,結(jié)果顯示BMM模型具有超越樣本的估計(jì)能力,在數(shù)據(jù)較少條件下能得到較準(zhǔn)確結(jié)果,用其度量商業(yè)銀行的操作風(fēng)險(xiǎn)損失VaR是合理的,這為我國(guó)商業(yè)銀行操作風(fēng)險(xiǎn)度量和管理提供一定的量化依據(jù)。
[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.
【作者單位】： 中南大學(xué)商學(xué)院;中南大學(xué)數(shù)學(xué)學(xué)院概率統(tǒng)計(jì)研究所;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(10771216) 中南大學(xué)青年科學(xué)基金項(xiàng)目(761122880)
【分類號(hào)】：F224;F830.4

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