操作风险中的Shapley配置、分散与服务

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE Journal of Operational Risk Pub Date : 2015-06-01 DOI:10.21314/jop.2018.205

P. Mitic, Bertrand K. Hassani

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引用次数: 1

摘要

提出了一种基于Shapley方法的操作风险监管资本分配方法，该方法适用于由服务支持的大量业务单元。在两个主要假设下，导出了Shapley分配的封闭公式。首先，如果业务单位形成联盟，新进入者给联盟增加的价值取决于一个恒定的比例因子。这个因素代表了通过合并操作风险损失可以实现的多样化。第二，服务应该减少业务单位应付的资金，并且这种减少是作为分配过程的一个组成部分来计算的。我们确保资本费用的分配是风险经理和高级经理都能接受和理解的。所得结果应用于最近的损失数据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Shapley Allocation, Diversification and Services in Operational Risk

A method of allocating Operational Risk regulatory capital using the Shapley method for a large number of business units, supported by a service, is proposed. A closed-form formula for Shapley allocations is developed under two principal assumptions. First, if business units form coalitions, the value added to the coalition by a new entrant depends on a constant proportionality factor. This factor represents the diversification that can be achieved by combining operational risk losses. Second, that the service should reduce the capital payable by business units, and that this reduction is calculated as an integral part of the allocation process. We ensure that allocations of capital charges are acceptable to and are understandable by both risk and senior managers. The results derived are applied to recent loss data.

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来源期刊

Journal of Operational Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

40.00%

发文量

期刊介绍： In December 2017, the Basel Committee published the final version of its standardized measurement approach (SMA) methodology, which will replace the approaches set out in Basel II (ie, the simpler standardized approaches and advanced measurement approach (AMA) that allowed use of internal models) from January 1, 2022. Independently of the Basel III rules, in order to manage and mitigate risks, they still need to be measurable by anyone. The operational risk industry needs to keep that in mind. While the purpose of the now defunct AMA was to find out the level of regulatory capital to protect a firm against operational risks, we still can – and should – use models to estimate operational risk economic capital. Without these, the task of managing and mitigating capital would be incredibly difficult. These internal models are now unshackled from regulatory requirements and can be optimized for managing the daily risks to which financial institutions are exposed. In addition, operational risk models can and should be used for stress tests and Comprehensive Capital Analysis and Review (CCAR). The Journal of Operational Risk also welcomes papers on nonfinancial risks as well as topics including, but not limited to, the following. The modeling and management of operational risk. Recent advances in techniques used to model operational risk, eg, copulas, correlation, aggregate loss distributions, Bayesian methods and extreme value theory. The pricing and hedging of operational risk and/or any risk transfer techniques. Data modeling external loss data, business control factors and scenario analysis. Models used to aggregate different types of data. Causal models that link key risk indicators and macroeconomic factors to operational losses. Regulatory issues, such as Basel II or any other local regulatory issue. Enterprise risk management. Cyber risk. Big data.