定量操作风险管理的理论灵敏度分析
Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
摘要：
本文研究了重尾随机变量L和S的风险值VaR（L）和VaR（L+S）之差的渐近行为，并将其应用于巴塞尔协议II（和III）高级计量方法框架下的定量操作风险管理的敏感性分析。在这里，L描述了当前风险状况的损失金额，S描述了由附加损失因子引起的损失金额。根据L和S的尾部厚度的相对大小，我们得到了不同类型的结果。特别地，如果S的尾部比L的尾部足够薄，则先验和后验风险量之差VaR（L+S）- VaR（L）渐近等价于S的期望（期望损失）。
英文摘要：
We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II (and III). Here L describes the loss amount of the present risk profile and S describes the loss amount caused by an additional loss factor. We obtain different types of results according to the relative magnitudes of the thicknesses of the tails of L and S. In particular, if the tail of S is sufficiently thinner than the tail of L, then the difference between prior and posterior risk amounts VaR(L+S) - VaR(L) is asymptotically equivalent to the expectation (expected loss) of S.
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