操作风险动态量化方法研究：从微观机构到宏观系统

项目名称： 操作风险动态量化方法研究：从微观机构到宏观系统

项目编号： No.71501117

项目类型： 青年科学基金项目

立项/批准年度： 2016

项目学科： 管理科学

项目作者： 高翔

作者单位： 上海商学院

项目金额： 15.5万元

中文摘要： 近年来，操作风险损失事件背后的发生机制呈现复杂化、动态化的趋势，而且单一事件的影响范围也变得越来越广。然而，目前的量化方法却是统计学的静态微观度量模型：输入依赖数据数量与质量，假设业务流程简单且静止，输出仅适用于微观金融机构。这在实践上将必然导致对操作风险的度量产生偏差。为此，本项目在广泛收集数据、深入比较多种静态度量模型优劣的基础上，提出了能够绕开数据，直接描述风险产生、传播和爆发机理的动态度量模型，使其与静态度量模型能够相互印证，并将其扩展到金融行业系统层面，用于度量系统操作风险的损害。

中文关键词： 操作风险；系统风险；动态方法；损失分布法；网络结构

英文摘要： In recent years, the mechanism of operational loss event generation becomes more complicated and dynamic. Moreover, a single loss event can cause widespread effects, which may further lead to the collapse of the entire financial system. However, current methods of operational risk quantification are purely statistical approaches, which heavily rely on the quality and quantity of historical data inputs, and are based on the assumption that the underlying business structure is simple and static. As a consequence, their estimated results may be biased. We propose a dynamic model for the quantification of operational risk. We believe that there are several advantages to using a dynamic model instead of a statistical approach. The first one is that we can directly describe the transmission and loss propagation processes of operational risk. The second advantage is that a dynamic model may account for the inherent correlations between loss frequency and severity within and between business lines or event types. The third advantage is that, in contrast with static approaches, a dynamic model offers a natural and solid framework with which forecasting future operational losses and quantifying systemic operational risk become possible.

英文关键词： Operational Risk;Systemic Risk;Dynamic Approach;Loss Distribution Approach;Network Structure