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根据操作风险价值不确定度的合成机理,假设操作损失强度为Weibull分布,导出高置信度下重尾性操作风险监管资本的标准差与置信区间.进而以弹性分析方法对监管资本及其度量精度变动的灵敏度进行理论探讨后发现:随着分布特征参数的变动,监管资本及其度量精度的变动具有规律性,其灵敏度的变动仅与形状参数和频数参数有关,示例分析进一步验证了理论命题的有效性.根据该理论命题,不仅可判别操作风险的监控参数,简化操作风险监控系统,而且可为监管资本提取方式的改进提供有价值的参考建议.本文的研究在理论上进一步完善了损失分布法在操作风险度量与管理中的应用.
According to the synthetic mechanism of operational risk value uncertainty, assuming that the loss of operation intensity is Weibull distribution, the standard deviation and confidence interval of regulatory capital with heavy-tailed operational risk under high confidence are derived. Then, the regulatory capital and its measurement accuracy It is found that with the variation of distribution characteristic parameters, the changes of regulatory capital and its measurement accuracy are regular, and the change of sensitivity is only related to the shape parameters and frequency parameters. The example analysis further verifies the theoretical propositions Validity.According to the theoretical proposition, not only the monitoring parameters of operational risk can be distinguished and the operational risk monitoring system can be simplified, but also valuable reference can be provided for the improvement of regulatory capital extraction method.The research in this paper further perfects the distribution of loss theoretically Application of Law in Operational Risk Measurement and Management.