政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/115984
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  全文笔数/总笔数 : 88866/118573 (75%)
造访人次 : 23561214      在线人数 : 378
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    请使用永久网址来引用或连结此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/115984


    题名: Computation of Operational Risk for Financial Institutions.
    作者: 謝明華
    CHUNG, Ming-Tao
    HSIEH, Ming-Hua
    CHI, Yan-Ping
    贡献者: 風管系
    关键词: operational risk;advanced measurement approaches;loss distribution approach;Monte Carlo simulation;variance reduction
    日期: 2017-09
    上传时间: 2018-02-23 16:19:57 (UTC+8)
    摘要: Quantification of operational risk has led to significant concern regarding regulation in the financial industry. Basel Accord II and III for banks and Solvency II for insurers require insurance companies and banks to allocate capital for operation risk. Because the risk measure used for Basel regulatory capital purposes reflects a confidence level of 99.9% during one year and the loss distribution of operational risk has high skewness and kurtosis, it is almost infeasible to get an accurate estimate of such a risk measure if a crude Monte Carlo approach is used. Therefore, we develop a novel importance sampling method for estimating such a risk measure. Numerical results demonstrate that the proposed method is very efficient and robust. The main contribution of this method is to provide a feasible and flexible numerical approach that delivers highly accurate estimates of operational risk with a high confidence level and meets the high international regulatory standard for quantification of operational risk.
    關聯: Romanian Journal of Economic Forecasting, Vol.20, No.3, pp.78-89
    数据类型: article
    显示于类别:[風險管理與保險學系 ] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    rjef3_2017p77-87.pdf385KbAdobe PDF107检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈