摘要翻译:
操作风险是指由于各种原因导致银行内部流程失效而造成的相对于货币损失的风险。提出了一个包括损耗自发产生和不同过程相互作用产生的动力学模型;银行为避免损失的发生所做的努力也被考虑在内。在一定的假设条件下,该模型可以精确求解,原则上,该解可以从实际数据中估计大部分模型参数。本文还考察了该模型的预测能力,并证明其惊人的显著性。
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英文标题:
《A Dynamical Model for Operational Risk in Banks》
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作者:
Marco Bardoscia
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between different processes is presented; the efforts made by the bank to avoid the occurrence of losses is also taken into account. Under certain hypotheses, the model can be exactly solved and, in principle, the solution can be exploited to estimate most of the model parameters from real data. The forecasting power of the model is also investigated and proved to be surprisingly remarkable.
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PDF链接:
https://arxiv.org/pdf/1207.6186