【作者】 陈元明；

【导师】 张祥德；

【作者基本信息】 东北大学 ， 应用数学， 2008， 硕士

【摘要】 近年来,金融机构,特别是银行业操作风险事件的频频发生,商业银行操作风险管理引起了银行业界、监管当局以及学术界的重点关注。与有着较为成熟的信用风险和市场风险管理的理论和技术相比,操作风险管理的研究还处于初级阶段。2004年6月《巴塞尔新资本协议》的发布,它把操作风险纳入了最低资本充足要求的管理框架内,体现了国际银行业监管的最新理念和风险管理的最新成果。对于中国银行业而言,如何提高我国银行业的操作风险管理水平已经成为日渐重要的议题。2007年5月中国银监会印发了《商业银行操作风险管理指引》,推动我国银行业在加强操作风险管理方面向前迈进了一步。极值理论是次序统计学的一门分支,传统上被用来预测海啸、地震、洪水等自然灾害,近年来已被广泛地应用于金融风险的管理中。它注重分布的尾部,比较有效地解决了在缺少样本的客观条件下如何预测和防范金融风险的问题,因此,越来越多的人认识到极值理论在极端事件风险管理中的巨大潜力,所以也可以应用于操作风险度量的模型中。基于以上考虑,首先,论文分析了国内外操作风险管理的现状,进而提出了加强操作风险度量的必要性,总结了操作风险的度量模型,分析了各种模型优缺点；其次,详细的阐述了极值分布的基本理论,并利用阈顶点模型(POT)对操作风险进行了数学建模,在此过程中,给出了厚尾判断、参数估计、阈值的选取以及模型的检验方法等；最后,给出了我国商业银行选择操作风险度量模型的建议。更多还原

【Abstract】 In recent years, with the frequent occurrence of the operational risk events in financial institutions, especially in banks, how to manage the operational risk attracts the attention of the banking industry, regulatory authorities and the academe. Compared with the theory and skills of credit and market risk management, research on operational risk management is less consummate and still in its initial stage. The "New Basel Capital Accord" in June 2004 brought operational risk into minimum capital adequacy requirements, which embodies the latest international banking supervision concepts and the latest results of operational risk management. As to China’s banking industry, how to raise the level of operational risk management has been an increasingly important subject. The issue of "operational risk management guidelines for the commercial banks" by the China Banking Regulatory Commission in May 2007 promotes the operational risk management greatly.The Extreme Value Theory that was traditionally used to predict tsunamis, earthquakes, floods and other natural disasters is a branch of order statistics, but now it has been widely used in financial risk management. It focuses on the distribution of the tail and can solve the problem of how to predict and prevent financial risk events in the absence of objective samples more effectively. Therefore, more and more people come to realize the great potential of Extreme Value Theory in the management of extreme events, so they begin to try to apply it into operational risk models.Based on the above considerations, in my dissertation firstly I introduce the status in quo of operational risk models at home and abroad, as well as the need to strengthen the operational risk management, enumerate different operational risk models and their pro and con; Secondly, I explain the basic theory of Extreme distribution in detail.And use POT theory to model operational risk, during which I present the test methods of how to estimate parameters, how to choose threshold; Finally, this theory and models in my dissertation can be a proposal to China’s commercial banks.更多还原