CAJ | 학술논문

新巴塞尔协议把操作风险纳入风险量化和监管领域,要求国际活跃商业银行开发的操作风险计量模型能够处理操作风险损失概率分布厚尾特征。并明确建议通过损失分布法等高级方法来度量操作风险。而使用损失分布法的计量模型没有考虑业务线/事件类型之间的相关性,这与实际情况是不相符合的。为此本文运用极值理论模拟损失分布,建立计算操作风险总Va R值的EVT-Copula模型,并在此基础上运用Copula函数度量银行各类业务操作风险之间的相依性,得到整体Va R值的模拟值。
신파새이협의파조작풍험납입풍험양화화감관영역,요구국제활약상업은행개발적조작풍험계량모형능구처리조작풍험손실개솔분포후미특정。병명학건의통과손실분포법등고급방법래도량조작풍험。이사용손실분포법적계량모형몰유고필업무선/사건류형지간적상관성,저여실제정황시불상부합적。위차본문운용겁치이론모의손실분포,건립계산조작풍험총Va R치적EVT-Copula모형,병재차기출상운용Copula함수도량은행각류업무조작풍험지간적상의성,득도정체Va R치적모의치。
The New Basel Capital Accord takes operational risk into the region of risk quantification and supervision, demands operational risk measurement models developed by active commercial banks can be capable of handling the situation of thick tailed distribution on probability distribution losses in the operational risk, definitely suggests measuring operational risk by high-level approaches such as losses distribution. And yet the measurement model of losses distribution leaves out of consideration of the relevance between business line and event type, which is not conform to the actual situation. For this reason, this paper builds a EVT-Copula Model of total value VaR to calculating operational risk, using the extreme value theory to simulate losses distribution, to get an analogue value of the whole VaR value.