情景分析在商业银行风险管理中的应用被引量：1

Application of Scenario Analysis in Risk Management of Commercial Banks

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摘要高级计量法(AMA)是商业银行操作风险计量方法的发展趋势,损失数据的数量和质量影响着AMA模型计量结果的准确性,进而决定了银行操作风险资本要求水平。作为一种前瞻性的风险管理方法,情景分析可以弥补银行内部损失数据不足的问题,同时综合专家经验,在一定程度上克服了VaR模型本身的缺陷。在探讨情景分析方法论的基础上,本文以部分国际同业的实践为例介绍了情景分析的应用流程,并指出国内银行要实施情景分析,必须重视并积极推进历史损失数据的积累,对数据的应用应循序进行,并不断加强对分析人员的培养。 Advanced Measurement Approach （AMA） will be the trend in measuring operational risk faced by commercial banks. The quantity and quality of loss data influence the accuracy of results of AMA model and then determine operation- al risk capital charge. As a foresight risk management method, scenario analysis can make up the deficiency of internal loss data and overcome the inherent shortcoming of VaR model with combination of experts＇ opinions. On the basis of exploring the methodology of scenario analysis, the paper expounds the application process of scenario analysis with cases of some international peers. The paper points out that to implement scenario analysis, domestic commercial banks should pay attention to and vigorously push forward the accumulation of historical loss data, apply the data in risk management step by step and constantly strengthen analysis staff training.

作者范洪波刘培国

机构地区中国工商银行风险管理部

出处《金融论坛》 CSSCI 北大核心 2010年第5期43-48,共6页 Finance Forum

关键词商业银行情景分析操作风险高级计量法损失数据 commercial bank scenario analysis operational risk Advanced Measurement Approach loss data

分类号 F830.33 [经济管理—金融学]

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