国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2009年
5期
54~60
,共null页
操作风险 高级法 验证
操作風險 高級法 驗證
조작풍험 고급법 험증
Operational Risk; AMA; Validation.
操作风险计量既是一个新题,也是一个难题。本文系统总结了操作风险高级计量法中的内部计量法和损失分布法,比较了部分国际金融机构在这方面的实践做法。在此基础上,指出了高级计量法应用时所需验证的内容及其相应的验证方法。最后,总结了我国银行业应用高级计量法时应注意的主要问题并给出了可供解决问题的思路。
操作風險計量既是一箇新題,也是一箇難題。本文繫統總結瞭操作風險高級計量法中的內部計量法和損失分佈法,比較瞭部分國際金融機構在這方麵的實踐做法。在此基礎上,指齣瞭高級計量法應用時所需驗證的內容及其相應的驗證方法。最後,總結瞭我國銀行業應用高級計量法時應註意的主要問題併給齣瞭可供解決問題的思路。
조작풍험계량기시일개신제,야시일개난제。본문계통총결료조작풍험고급계량법중적내부계량법화손실분포법,비교료부분국제금융궤구재저방면적실천주법。재차기출상,지출료고급계량법응용시소수험증적내용급기상응적험증방법。최후,총결료아국은행업응용고급계량법시응주의적주요문제병급출료가공해결문제적사로。
To measure operational risk is a new difficult issue. In this paper, it summarizes internal measurement approach and loss distribution approaeh as two major advanced measurement approaches (AMA) for operational risk, and compares operational risk measurement practice of some international financial institutions. And then, it proposes the area to validate to implement AMA and derived validation methods. At last, it points out issues that China' s banking industry should pay attention to when AMA is implemented and put forth some suggestions.