一个预测营业损失的动态模型
A Dynamical Model for Forecasting Operational Losses
摘要：
提出了一种新的适用于计算风险价值（VaR）的银行操作风险动态模型。运动方程考虑了不同银行过程之间的相互作用、通过噪声项自发产生的损失以及银行为避免损失发生所做的努力。由于该模型非常通用，因此可以根据特定银行的内部组织结构，通过从历史运营损失中估计其一些参数来定制。该模型是完全解决的情况下，在耦合矩阵中没有因果循环，它示出了如何解决方案可以被利用来估计噪声的参数。通过使用模拟数据的一部分$f$来估计参数，研究了模型的预测能力，表明对于$f = 0.75$，可以用误差$\simeq 10^{-3}$来预测VaR。
英文摘要：
A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank's processes, the spontaneous generation of losses via a noise term and the efforts made by the bank to avoid their occurrence. Since the model is very general, it can be tailored on the internal organizational structure of a specific bank by estimating some of its parameters from historical operational losses. The model is exactly solved in the case in which there are no causal loops in the matrix of couplings and it is shown how the solution can be exploited to estimate also the parameters of the noise. The forecasting power of the model is investigated by using a fraction $f$ of simulated data to estimate the parameters, showing that for $f = 0.75$ the VaR can be forecast with an error $\simeq 10^{-3}$.
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