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首页> 外文期刊>Journal of applied statistics >A threshold based approach to merge data in financial risk management
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A threshold based approach to merge data in financial risk management

机译：基于阈值的财务风险管理中的数据合并方法

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摘要

According to the last proposals by the Basel Committee, banks are allowed to use statistical approaches for the computation of their capital charge covering financial risks such as credit risk, market risk and operational risk. It is widely recognized that internal loss data alone do not suffice to provide accurate capital charge in financial risk management, especially for high-severity and low-frequency events. Financial institutions typically use external loss data to augment the available evidence and, therefore, provide more accurate risk estimates. Rigorous statistical treatments are required to make internal and external data comparable and to ensure that merging the two databases leads to unbiased estimates. The goal of this paper is to propose a correct statistical treatment to make the external and internal data comparable and, therefore, mergeable. Such methodology augments internal losses with relevant, rather than redundant, external loss data.
机译：根据巴塞尔委员会最近提出的建议，允许银行使用统计方法来计算其资本费用，以涵盖信用风险，市场风险和操作风险等金融风险。众所周知，仅内部损失数据不足以在财务风险管理中提供准确的资本支出，尤其是对于高强度和低频事件。金融机构通常使用外部损失数据来增加可用的证据，因此可以提供更准确的风险估计。需要进行严格的统计处理，以使内部和外部数据具有可比性，并确保将两个数据库合并会产生无偏估计。本文的目的是提出一种正确的统计处理方法，以使内部和外部数据具有可比性，因此可合并。这种方法利用相关的而不是冗余的外部损失数据来增加内部损失。

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