运筹与管理2017，Vol.26Issue(12)：126-134,9.DOI:10.12005/orms.2017.0295
基于贝叶斯极值估计的商业银行内部欺诈风险度量研究
A Study of Internal Fraud Risk Measurement of Commercial Banks Based on the Bayesian Extreme Value Estimations
摘要
Abstract
Internal fraud risk is a significant risk source for the banking industry in China .Using the loss data of internal fraud of Chinese commercial banks , we present a segmented distribution model through the choice of exact threshold .We use the Box-Cox change for the data less than the threshold , and a full Paretian distribution for the data greater than the threshold .Then we use the Bayesian methods to estimate the parameters of the full Paretian distribution .The object of this work is to present a full Paretian model for measuring the operational risk of a bank.The model is used to estimate the value-at-risk, economic capital and probable maximum loss .At last, proposals for Chinese commercial banks are given to avoid operational risks .关键词
内部欺诈/操作风险在险风险值/全Paretian分布模型Key words
internal fraud/operational risk VaR/full paretian distribution分类
管理科学引用本文复制引用
欧阳资生,黄颖..基于贝叶斯极值估计的商业银行内部欺诈风险度量研究[J].运筹与管理,2017,26(12):126-134,9.基金项目
国家社科基金重点项目(17ATJ005):National Planning Office of Philosophy and Social Science (11BTJ011) （17ATJ005）
湖南省高等学校科技创新团队: Science and Technology Innovative Research Team in Higher Educational Institutions of Hunan Province （）
