操作风险 商业银行.pptVIP

The LDA – an Example Step 1: The Frequency Distribution Provides a range of the “number of events over a 1 year time horizon” “Shape” and “Location” of frequency distribution are determined by: scale of operations level of controls and sophistication of processes Step 2: The Severity Distribution Provides the range of “loss amounts, given a loss event occurs” “Shape” and “Location” of severity distribution are determined by: nature of underlying transaction (ex. size of trade) controls and processes may play a “mitigation” role Step 3: The Aggregate Loss Distribution Provides the range “aggregate loss over a 1 year time horizon” Often construct using “Monte Carlo” simulation techniques: Take a random draw from the frequency distribution, example: 22 events Take 22 random draws from the severity distribution, example: 1st draw $5,000,000; 2nd draw $1,200,000; …; the 22nd draw $12,500,000 Sum the $ value of losses, example: $45,000,000 result is 1 observation in loss distribution Repeat 100,000 (1,000,000, 10,000,000?) times Step 3: The Aggregate Loss Distribution Using External Loss Event Data in an LDA Vendors OpRisk Analytics, OpVantage, AON, others? Collect data from public news sources Vendors provide scaling data Potential difficulties: Business line classification Non-monetary losses Reporting bias Correcting for Reporting Bias The observed loss distribution equals the “true” loss distribution times the reporting probability distribution. Extreme Value Theory (EVT) motivates choice of severity distribution. Normality motivates choice of reporting distribution. THANK YOU!!! * 小概率 大损失 * 新巴塞尔协议提供了三种度量操作风险资本金的方法，分别为基 本指标法（The Basic Indicator Approach）、标准法(The Standardized Approach)以及高级计量法(Advanced Measurement Approach,AMA)。 这三种方法在复杂性和风险敏感度方面逐渐加强。 * 将总收入作为银行计量操作风险的基础指标,总收入乘以一个比例指标(15 %) ,即可得到操作风险的资本要求。基本指标法计算的资本比较简单,易于操作,但风险敏感度不高,比较适用于规模较小的银行。 * 有关业内人士广泛的水平所需资金，给整个行业水平的指标，15% * 公司金融（Corporate Finance）、交易和销售(TradingSales)、零售银行业务(Retail Banking)、商业银行业务(Commercial