English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 112721/143689 (78%)
Visitors : 49547816      Online Users : 888
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85689


    Title: 損失分配法下作業風險值快速蒙地卡羅法的設計
    Other Titles: An Efficient Monte Carlo Method for Computation of Operational Var under Loss Distribution Approach
    Authors: 謝明華
    Contributors: 風險管理與保險學系
    Date: 2013
    Issue Date: 2016-04-20 15:18:59 (UTC+8)
    Abstract: 近年來，作業風險的量化已經成為金融機構監理的一個重要議題。例如，保險監理 的 Solvency II 與銀行監理的巴塞爾協定都要求保險公司與銀行需要計提作業風險資 本。在巴塞爾協定的進階測量方法 (Advanced Measurement Approaches) 下，金融機構 有自由去選擇使用的隨機模型。損失分配法 (Loss distribution approach) 是一個符合這 個目的的標準隨機模型。在損失分配法下，事業單位與損失形態的組合組成一個矩陣； 而矩陣中的每一個元素有自己的損失分配。這些損失分配的相關性通常是透過 copulas 來做連結。金融監理上對作業風險資本計提的需求, 通常是需要金融機構計算一年內， 在九十九點九的信賴度下，作業風險可能帶來的最大損失。在這樣的高標準要求下， 傳統的蒙地卡羅法無法提供一個準確的估計值。因此，本計畫的主要目的是希望設計 一個有效率的蒙地卡羅演算法，以達成快速且正確計算作業風險值的目標。
    In recent years, quantification of operational risk becomes an important issue for regulation in financial industry. For example, Solvency II for insurers and Basel Accord for banks are required insurance companies and banks to allocate capital for operation risk. Under the Advanced Measurement Approaches (AMA) within Basel Accord, financial institutions are given freedom concerning the stochastic models used. Loss distribution approach (LDA) is a standard approach. LDA approach concerns the measurement of risk for random losses generated from an m by d matrix whose element corresponds to a combination of business line and event type. The dependence structure of these random losses is usually modeled through copulas. The risk measure used for regulatory capital purposes reflects a holding period of one-year and a confidence level of 99.9%. It is almost infeasible to get an accurate estimate of such risk measure if naïve Monte Carlo approach is used. Therefore, in this project, we wish to propose an efficient Monte Carlo simulation algorithm for computing such risk measure.
    Relation: 計畫編號 NSC 102-2410-H004-062
    Data Type: report
    Appears in Collections:[風險管理與保險學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    102-2410-H004-062.pdf1895KbAdobe PDF2429View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    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。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    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。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback