To meet the Basel proposal II regulatory requirements for the Advanced Measurement Approaches in operational risk,the statistical methods of estimating operational risk technique have been explored to measure the operational risk losses infinancial institutions. A fuzzy inference approach is proposed which the fuzzy parameter of lognormal distribution function isdiscussed in the distribution of loss severity for operational risk quantification. The distribution of loss severity for operational riskquantification can be described a lognormal distributed by fuzzy parametric statistical inference, in which parameters ischaracterized as a non-negative fuzzy variable. Prior membership function can be estimated using fuzzy maximum entropy rule,and then a fuzzy simulation method can be designed to estimate posterior mean. The paper shows how fuzzy variables can improvepredictive performance. By simulating the operational risk loss of Chinese commercial bank and deriving the regulatory capitalallotted for operational risks by China banking industry, the result shows that economical capital for each business line is in accordwith the bank's asset.
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