改进的适合度测量

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Operational Risk Pub Date : 2015-03-30 DOI:10.21314/JOP.2015.159

P. Mitic

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引用次数: 4

摘要

描述了新的拟合优度测度，这些测度是对现有测度的重大改进。他们使用由拟合分布曲线和经验累积分布函数的轮廓所包围的面积的直观几何概念。该轮廓的变换简化了几何形状，并提供了三种新的拟合优度测试。这种转换的完整性是通过拓扑论证来证明的。新的检验为对拟合优度的定性判断提供了定量依据，与总体大小无关，并提供了一种从一组候选分布中客观选择最佳拟合分布的可行方法。

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Improved Goodness-of-Fit Measures

New goodness-of-fit measures which are significant improvements on existing measures are described. They use the intuitive geometrical concept of the area enclosed by the curve of a fitted distribution and the profile of the empirical cumulative distribution function.A transformation of this profile simplifies the geometry and provides three new goodness-of-fit tests. The integrity of this transformation is justified by topological arguments. The new tests provide a quantitative justification for qualitative judgements on goodness-of-fit, are independent of population size and provide a workable way to objectively choose a best fit distribution from a group of candidate distributions.

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来源期刊

Journal of Operational Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

40.00%

发文量

期刊介绍： In December 2017, the Basel Committee published the final version of its standardized measurement approach (SMA) methodology, which will replace the approaches set out in Basel II (ie, the simpler standardized approaches and advanced measurement approach (AMA) that allowed use of internal models) from January 1, 2022. Independently of the Basel III rules, in order to manage and mitigate risks, they still need to be measurable by anyone. The operational risk industry needs to keep that in mind. While the purpose of the now defunct AMA was to find out the level of regulatory capital to protect a firm against operational risks, we still can – and should – use models to estimate operational risk economic capital. Without these, the task of managing and mitigating capital would be incredibly difficult. These internal models are now unshackled from regulatory requirements and can be optimized for managing the daily risks to which financial institutions are exposed. In addition, operational risk models can and should be used for stress tests and Comprehensive Capital Analysis and Review (CCAR). The Journal of Operational Risk also welcomes papers on nonfinancial risks as well as topics including, but not limited to, the following. The modeling and management of operational risk. Recent advances in techniques used to model operational risk, eg, copulas, correlation, aggregate loss distributions, Bayesian methods and extreme value theory. The pricing and hedging of operational risk and/or any risk transfer techniques. Data modeling external loss data, business control factors and scenario analysis. Models used to aggregate different types of data. Causal models that link key risk indicators and macroeconomic factors to operational losses. Regulatory issues, such as Basel II or any other local regulatory issue. Enterprise risk management. Cyber risk. Big data.