操作风险资本模型中的问题

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-09-29 DOI:10.2139/ssrn.1480378

Mo Chaudhury

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引用次数: 1

摘要

为了加强银行业的稳健标准，2006年《巴塞尔协议II》(Basel II)的国际监管协议要求在全球范围内活跃的银行在评估应对主要类型风险的监管资本和经济资本时，将操作风险包括在内。本文讨论了银行在设计和实施操作风险资本模型时所面临的实际问题。重点讨论了损失分配法(LDA)在巴塞尔先进测量方法(AMA)背景下的应用，并提出了未来研究的相关主题。

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Issues in Operational Risk Capital Modeling

In an effort to bolster soundness standards in banking, the 2006 international regulatory agreement of Basel II requires globally active banks to include operational risk in estimating regulatory and economic capital to be held against major types of risk. This paper discusses practical issues faced by a bank in designing and implementing an operational risk capital model. Focusing on the use of the Loss Distribution Approach (LDA) in the context of the Basel Advanced Measurement Approach (AMA), pertinent topics of future research are suggested.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets