發(fā)布時(shí)間：2018-03-08 09:36

  本文選題：操作風(fēng)險(xiǎn)　切入點(diǎn)：Bootstrap抽樣　出處：《河南師范大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著一些因操作風(fēng)險(xiǎn)而導(dǎo)致的損失事件的發(fā)生,如何準(zhǔn)確而有效地度量操作風(fēng)險(xiǎn)已經(jīng)成為廣大學(xué)者和銀行業(yè)重點(diǎn)關(guān)注的問題.在我國(guó),對(duì)操作風(fēng)險(xiǎn)的研究和度量尚處在摸索階段,大多屬于定性分析,因此,對(duì)操作風(fēng)險(xiǎn)行之有效的度量方法的研究是十分有意義的.本文以商業(yè)銀行的損失數(shù)據(jù)為樣本,利用Bootstrap抽樣方法,在損失分布法的基礎(chǔ)上得到損失缺口,考慮到操作風(fēng)險(xiǎn)各類損失事件之間存在一定的相關(guān)性,利用Copul a理論整合四類操作風(fēng)險(xiǎn)的損失數(shù)據(jù),由于多元隨機(jī)變量?jī)蓛芍g適用的Copula函數(shù)不一定相同,基于此,本文提出了Pair-Copula的方法,它可以選擇不同的Copula函數(shù),進(jìn)而更加準(zhǔn)確地刻畫隨機(jī)變量之間的相關(guān)性,而且簡(jiǎn)化了參數(shù)估計(jì)的過程.在此基礎(chǔ)上,利用Monte Carlo模擬法計(jì)算單類操作風(fēng)險(xiǎn)的在險(xiǎn)價(jià)值VaR,最后,計(jì)算出四類操作風(fēng)險(xiǎn)的整體損失.研究結(jié)果表明:Bootstrap抽樣方法有效克服了操作風(fēng)險(xiǎn)數(shù)據(jù)缺乏的問題;基于Pair-Copula方法的模型構(gòu)造,能夠有效捕捉到損失事件之間的相關(guān)性;引入的VaR可以準(zhǔn)確度量操作風(fēng)險(xiǎn).
[Abstract]:With the occurrence of some loss events caused by operational risk, how to measure the operational risk accurately and effectively has become the focus of attention of scholars and banks. The research and measurement of operational risk are still in the exploratory stage, most of them belong to qualitative analysis. Therefore, it is very meaningful to study the effective measurement methods of operational risk. This paper takes the loss data of commercial banks as a sample. Using Bootstrap sampling method, the loss gap is obtained on the basis of loss distribution method. Considering that there is a certain correlation between various loss events of operational risk, Copul a theory is used to integrate the loss data of four kinds of operational risks. Because the suitable Copula function between two pairs of multivariate random variables is not necessarily the same, this paper proposes a method of Pair-Copula, which can select different Copula functions and more accurately depict the correlation between random variables. Furthermore, the process of parameter estimation is simplified. On this basis, the Monte Carlo simulation method is used to calculate the risk value of a single type of operational risk. The overall loss of four kinds of operational risks is calculated. The results show that the problem of lack of operational risk data is effectively overcome by using the method of "1: bootstrap sampling", and the model structure based on Pair-Copula method can effectively capture the correlation between loss events. The introduced VaR can accurately measure the operational risk.
【學(xué)位授予單位】：河南師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F224;F831.2

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本文編號(hào)：1583367