基于可信度理论的操作风险量化“玩具”模型
A "Toy" Model for Operational Risk Quantification using Credibility Theory
摘要：
为了满足新巴塞尔协议对操作风险高级计量方法的监管要求，银行的内部模型应该利用内部数据、相关外部数据、情景分析以及反映业务环境和内部控制系统的因素。运营风险中尚未解决的挑战之一是适当地组合这些数据源。在本文中，我们专注于量化的低频高冲击损失超过一些高阈值。我们建议一个完整的可信度理论的方法来估计频率和严重性分布的这些损失，考虑到银行内部数据，专家意见和行业数据。
英文摘要：
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches in operational risk, the bank's internal model should make use of the internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. One of the unresolved challenges in operational risk is combining of these data sources appropriately. In this paper we focus on quantification of the low frequency high impact losses exceeding some high threshold. We suggest a full credibility theory approach to estimate frequency and severity distributions of these losses by taking into account bank internal data, expert opinions and industry data.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
