我国银行操作风险的分形特征

中国管理科学 ›› 2008, Vol. 16 ›› Issue (1): 42-47.

我国银行操作风险的分形特征

司马则茜^1,2, 蔡晨¹, 李建平¹

1. 中国科学院科技政策与管理科学研究所北京100080;
2. 中国科学院研究生院北京100080

收稿日期:2007-05-30 修回日期:2008-01-09 出版日期:2008-02-28 发布日期:2008-02-28
作者简介:司马则茜(1973- ),女(汉族),河北任丘人,中国科学院研究生院,中国科学院科技政策与管理科学研究所博士生,研究方向:项目与风险管理.
基金资助:
国家自然科学基金资助项目(70701033);中科院科技政策与管理科学研究所所长基金(0600281J01)

The Fractal Characteristic of Banking Operational Risk in China

SIMA Ze-qian^1,2, CAI Chen¹, LI Jian-ping¹

1.Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China;
2. Graduate School of Chinese Academy of Sciences, Beijing 100080, China

Received:2007-05-30 Revised:2008-01-09 Online:2008-02-28 Published:2008-02-28

摘要/Abstract

摘要： 本文基于分形理论和经济弹性概念,在分析银行操作风险影响因素中引入GDP和CPI,给出了银行操作风险的弹性分维的定义,并计算了中美两国操作风险的弹性分维。中美操作风险损失数据分析结果表明,中美两国的操作风险在GDP和CPI作用下都显示出明显的多重分形特征。同时根据分维,可以得到我国数据收集的阈值,从而能够降低采集数据的难度,有利于商业银行的宏观分析和监管。本文并对模型的预测功能进行了初步探讨,对于估计我国银行操作风险的预期损失提供了进一步研究的新思路。

关键词: 银行操作风险, 分形理论, CPI/GDP, 弹性分维

Abstract: CPI and GDP are introduced to analyze influential factors of banking operational risk in the paper. The concept of elasticity fractal dimension of banking operational risk is given based on the fractal theory and the concept of economic elasticity. With the new calculation method,the elasticity fractal dimension of banking operational risk in USA and China is calculated and analyzed. The result shows clearly that banking operational risk in USA and China under the action of the influential factors of CPI and GDP has multifractal characteristic.And according to the elasticity fractal dimension of operational risk,data collection threshold can be obtained,which reduces the difficulty of data collection and is favorable to banking macroscopic analysis and supervison. The predicting ability of the elasticity fractal dimension is discussed preliminarily and has offered a new way for us to make more research on estimating expected losses of operational risk in our banks.

Key words: banking operation risk, fractal theory, CPI/GDP, elasticity fractal dimension

中图分类号:

C931

司马则茜, 蔡晨, 李建平. 我国银行操作风险的分形特征[J]. 中国管理科学, 2008, 16(1): 42-47.

SIMA Ze-qian, CAI Chen, LI Jian-ping. The Fractal Characteristic of Banking Operational Risk in China[J]. Chinese Journal of Management Science, 2008, 16(1): 42-47.