本文選題：操作風(fēng)險(xiǎn) + LDA　； 參考：《江西師范大學(xué)》2012年碩士論文

【摘要】：巴塞爾《新資本協(xié)議》明確地提出,把商業(yè)銀行操作風(fēng)險(xiǎn)納入風(fēng)險(xiǎn)量化和監(jiān)管領(lǐng)域.繼信用風(fēng)險(xiǎn)和市場(chǎng)風(fēng)險(xiǎn)之后,操作風(fēng)險(xiǎn)成為了商業(yè)銀行面臨的主要風(fēng)險(xiǎn)之一. 本文首先應(yīng)用極值理論中的POT模型對(duì)損失分布法LDA進(jìn)行改進(jìn),并計(jì)算得出我國(guó)商業(yè)銀行的兩類主要操作風(fēng)險(xiǎn)（內(nèi)部欺詐與外部欺詐）的損失分布以及用于度量?jī)烧唢L(fēng)險(xiǎn)大小的VaR值,在有效捕捉損失厚尾性的同時(shí)遵循了操作風(fēng)險(xiǎn)準(zhǔn)備資本計(jì)提的規(guī)律;然后,為便于比較分析,論文運(yùn)用三種Copula函數(shù)來分別構(gòu)造內(nèi)外部欺詐損失間的相關(guān)性結(jié)構(gòu),并在此基礎(chǔ)上構(gòu)建用于計(jì)算內(nèi)外部欺詐聯(lián)合損失分布VaR值的Copula模型.最后,在實(shí)證研究中,本文分別利用三種Copula模型與傳統(tǒng)計(jì)量模型相比較后發(fā)現(xiàn),基于Gumbel Copula的模型能夠最有效地降低VaR,且降幅為11%以上,這讓銀行有效地降低了計(jì)提的監(jiān)管資本,增加了資金的流動(dòng)性.
[Abstract]:Basel New Capital Accord clearly proposes that the operational risk of commercial banks should be brought into the field of risk quantification and supervision.After credit risk and market risk, operational risk has become one of the main risks faced by commercial banks.In this paper, the POT model of extreme value theory is used to improve the loss distribution method (LDA).The loss distribution of the two main operational risks (internal fraud and external fraud) and the VaR value used to measure the risk of the two types of commercial banks are also calculated.In order to compare and analyze, three kinds of Copula functions are used to construct the correlation structure between internal and external fraud losses.On this basis, a Copula model is constructed to calculate the VaR value of internal and external fraud joint loss distribution.Finally, in the empirical research, this paper compares the three Copula models with the traditional measurement model, and finds that the model based on Gumbel Copula can reduce the VaRs most effectively, and the decrease is more than 11%, which makes the banks effectively reduce the regulatory capital.Increased liquidity.
【學(xué)位授予單位】：江西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.33

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