机构地区: 天津大学管理与经济学部
出 处: 《西安电子科技大学学报(社会科学版)》 2006年第6期33-40,共8页
摘 要: 量化是操作风险管理的核心和难点,目前这一领域正处于迅速发展的时期。本文对实践中如何恰当地量化操作风险进行了研究。作者对实践中损失数据的来源、收集和处理进行了讨论。在概括了现有主要操作风险量化方法的基础上,针对操作风险的特征,详细阐述了极值模型的应用步骤,并给出了发展量化方法的建议。 Quantification is the key in the operational risk management, and it is also a field developing rapidly at present time. The loss data issue, including data resource and disposal are discussed before using them. After introducing some leading quantifying method of operational risk, this paper explicitly explains the application of extreme value theory on measuring operational risk with the main purpose of illustrating how to achieve a satisfying quantification of operational risk in practice.