یادگیری ماشین در تخمین سرمایه پوششی ریسک‌عملیاتی بانک‌ها با رویکرد توزیع‌ زیان

نوع مقاله : علمی - پژوهشی

نویسندگان

1 کارشناسی‌ ‌ارشد ریاضیات مالی، دانشگاه خوارزمی، تهران، ایران.

2 استادیار، گروه ریاضیات مالی، دانشگاه خوارزمی، تهران، ایران

چکیده

ریسک عملیاتی یکی از مهم‌ترین ریسک‌های مؤسسات مالی است. توجه به آن پس از مصوبات کمیته بال، در سراسر دنیا آغاز شده‌است. افزایش روزافزون زیان‌های عملیاتی در خطوط کسب‌و‌کار مختلف سبب شده‌است تا توجّه مدیران مؤسسات مالی معطوف به حوزه ریسک عملیاتی شود. در این پژوهش، روشی جهت تخمین آستانه مناسب برای داده‌های شدت زیان عملیاتی و همچنین روشی جهت طبقه‌بندی داده‌های شدت زیان عملیاتی ارائه شده‌است و سرمایه مورد نیاز برای پوشش ریسک عملیاتی با تجمیع تابع توزیع شدت و فرکانس داده‌های زیان عملیاتی و شبیه‌سازی مونتکارلو به‌دست آمده‌است. همچنین وابستگی بین سلول‌های ماتریس خطوط کسب‌و‌کار و حوادث ضررساز نیز مورد بررسی قرار گرفته‌است. برای این پژوهش داده‌های زیان عملیاتی مربوط به‌یک مجموعه بانکداری شامل چند بانک آسیایی، اروپایی و آمریکایی به‌کارگرفته شده‌است. نتایج پژوهش حاکی از آن است که رویکرد توزیع زیان با ترکیب تئوری مقدار بحرانی و الگوریتم‌های‌یادگیری ماشین (خوشه‌بندی)، همچنین رویکرد توزیع زیان با ترکیب الگوریتم‌های‌یادگیری ماشین (طبقه‌بندی)، نسبت به سایر روش‌ها کارآمدتر است.

کلیدواژه‌ها

عنوان مقاله [English]

Machine learning in estimating operational risk coverage capital of banks with a loss distribution Approach

نویسندگان [English]

  • Mahdi Akbari 1
  • Ahmadreza Yazdanian 2
1 M.A. Student in Financial Mathematics, University of Kharazmi, Tehran, Iran
2 Assistant Prof., Department of Financial Mathematics, Kharazmi University, Tehran, Iran
چکیده [English]

Operational risk is one of the most important risks of financial institutions. After the approval of the Basel committee, it has started to be noticed all over the world. The increasing increase in operating losses in various business lines has caused the attention of financial institution managers to be directed to the area of operational risk. In this  research, a method for estimating the appropriate threshold for  operational loss data and also a method for classifying operational loss data is presented, and the capital required to cover operational risk by combining the intensity distribution function and frequency of operating loss data and Monte Carlo simulation are obtained. Also, the dependence between matrix cells of business lines and loss making events has also been investigated. For this research, operational loss data related to a banking group including several Asian, European and American banks have been used. The research results indicate that the loss distribution approach with the combination of critical value theory and machine learning algorithms (clustering), as well as the loss distribution approach with the combination of machine learning algorithms (classification), is more efficient than other methods.

کلیدواژه‌ها [English]

  • Operational Risk
  • Loss Distribution Approach
  • Critical Value Theory
  • Classification Algorithms
  • Clustering Algorithms

مراجع

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چشم انداز مدیریت مالی
دوره 13، شماره 42
شهریور 1402
صفحه 9-34

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