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银行操作风险度量方法比较研究 被引量:15

Comparative Research on Bank Operation Risk Measurement Ways
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摘要 操作风险已经成为银行风险管理的重点,新巴塞尔协议因此对操作风险提出了资本要求,并且越来越多的国际活跃银行致力于开发适合自身特点的操作风险计量方法。文中对新巴塞尔协议推荐的操作风险度量方法:基本法、标准法、内部度量法和高级的损失分布法、极值理论模型进行了应用比较分析,并在此基础上提出了基于VaR的银行整体风险管理框架。 Operation risk has become the emphasis of bank risk management so that new basel accord put forward capital requirement to operation risk, and much more international active banks devoted themselves to develop their own operation risk measurement ways. The paper comparatively analyzed basic indication approach, standardized approach, international measurement approach of new basel accord and loss distribution approach, extreme value theory from theory to application domain. Then the paper come up with bank total risk management construction based on VaR.
作者 刘晓星
出处 《财经问题研究》 CSSCI 北大核心 2006年第1期61-67,共7页 Research On Financial and Economic Issues
基金 国家自然科学基金项目(70371035)
关键词 银行 操作风险 VAR 比较分析 趋势展望 operation risk VaR comparatively analysistendency prospects
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参考文献10

  • 1Basel Committee on Banking Supervision,2001b, Operation Risk, Supporting Document to the New Basel Capital Accord, Consultative Document, Basel, January.
  • 2Basel Committee on Banking Supervision (2003),Sound Practices for the Management and Supervision of Operational Risk,Basel,February.
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