中国商业银行内部欺诈风险的实证研究

被引:13
作者
詹原瑞 [1 ]
刘睿 [2 ]
机构
[1] 天津大学管理学院
[2] 云南大学工商管理与旅游管理学院
关键词
操作风险; 内部欺诈; 经济资本; POT模型; MCMC;
D O I
暂无
中图分类号
F832.2 [银行制度与业务];
学科分类号
摘要
作为巴赛尔新资本协议规定的七种操作风险损失类型之一,内部欺诈问题是我国银行业的一个重大风险来源。本文以部分国内银行的内部欺诈损失数据为样本,第一次对我国商业银行的内部欺诈风险及其经济资本进行了估计。针对内部欺诈具有的低频率高损失的特征,作者借助极值理论中POT模型的重要性质对内部欺诈风险强度和频率进行了估计,并引入随机模拟抽样方法Bayesian MCMC对小样本条件下的POT模型参数进行估计。我们的研究表明,内部欺诈风险已经成为我国银行最主要的操作风险类型。
引用
收藏
页码:88 / 101
页数:14
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