### 金融代写|量化风险管理代写Quantitative Risk Management代考|Operational Risk

statistics-lab™ 为您的留学生涯保驾护航 在代写量化风险管理Quantitative Risk Management方面已经树立了自己的口碑, 保证靠谱, 高质且原创的统计Statistics代写服务。我们的专家在代写量化风险管理Quantitative Risk Management代写方面经验极为丰富，各种代写量化风险管理Quantitative Risk Management相关的作业也就用不着说。

• Statistical Inference 统计推断
• Statistical Computing 统计计算
• Advanced Probability Theory 高等概率论
• Advanced Mathematical Statistics 高等数理统计学
• (Generalized) Linear Models 广义线性模型
• Statistical Machine Learning 统计机器学习
• Longitudinal Data Analysis 纵向数据分析
• Foundations of Data Science 数据科学基础

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Standardised Approach

The standardised approach represents a further refinement along the evolutionary spectrum of approaches for operational risk capital. The capital allocation is not anymore a basic percentage of the overall gross income; banks’ activities are divided into a number of standardised business units and business lines. Thus, the standardised approach is more capable of reflecting the different risk profiles across banks as reflected by their broad business activities. The proposed business units and business lines of the standardised approach mirror those developed by an industry initiative to collect internal loss data in a consistent manner. To each business line corresponds a specific capital allocation computed on a particular indicator. Table $2.1$ presents these ones.

The capital charge (CA) is now for each business line a portion of the chosen indicator, formally,
$$C A_{i}=\theta_{i} \times \text { Indicator, }$$
where, $\theta_{i}, i=1, \ldots, 8$, is different percentage for each business line.
The main objective of this approach is to lay the foundation of internal databases, and therefore enable the evolution to a more sophisticated approach.

## 金融代写|量化风险管理代写Quantitative Risk Management代考|The Advanced Measurement Approach

The advanced measurement approach (AMA) is a set of operational risk measurement techniques proposed under Basel II capital adequacy rules for banking institutions. Now, banks are allowed to develop their own empirical model to quantify the required capital to face operational risk. The use of this approach is subject to approval from banks’ local regulators. Besides, according to section 664 of the original Basel Accords, in order to approve the AMA model, a bank must at least satisfy the following requirements:

• Its board of directors and senior management, as appropriate, should be actively involved in the oversight of the operational risk management framework;
• It requires an operational risk management system that is conceptually sound and is implemented with integrity; and
• It must have sufficient resources in the use of the approach in the major business lines as well as the control and audit areas.
The AMA requires using the following items:
1. Internal data
2. External data
3. Scenario analysis
4. Qualitative indicators, the so-called business environment and internal control factors (BEICFs).

The following subsections provide further explanations on the previous items.
The advanced measurement approaches (AMA) is one of the three possible operational risk methods that can be used under Basel II by a bank or other financial institution. The other two are the basic indicator approach and the standardised approach. The methods increase in sophistication and risk sensitivity with AMA being the most advanced of the three. Under AMA banks are entitled to develop an internal model to evaluate the capital charge pertaining to operational risk. Once again, banks have to follow a strict governance process before being allowed to use this approach. Once a bank has been approved to adopt AMA, it cannot revert to a simpler approach without supervisory approval, though some banks have been reverted to standardised such as Lloyds Banking group. Furthermore, the arrival of the standardised measurement approach has replaced the AMA for Pillar one (Basel III), while AMA standards have been pushed down into Pillar II.

Also, according to section 664 of original Basel Accord, in order to qualify for use of the AMA a bank must satisfy its supervisor that, at a minimum:

• Its board of directors and senior management, as appropriate, are actively involved in the oversight of the operational risk management framework;
• It has an operational risk management system that is conceptually sound and is implemented with integrity; and
• It has sufficient resources in the use of the approach in the major business lines as well as the control and audit areas.

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Standardised Measurement Approach

As stated in BCBS (2016b) and BCBS (2017b) the three approaches presented before are supposed to be replaced by a new Standardised Approach (usually referred to as SMA or new SA). This SMA or new SA combines the business indicator component (BIC), a simple financial statement proxy of operational risk exposure, with bank specific operational loss data referred to as the internal loss multiplier (ILM). Since the October 2014 consultation, the structure of the BI has been revised to avoid penalising certain business models, such as those based on the distribution of products bought from third parties, and those based on high interest margins. Adjustments have also been made to address issues related to the treatment of financial and operating leases 1 .

Before obtaining the BIC, a business indicator (BI), made up of almost the same profit and loss ( $\mathrm{P} \& \mathrm{~L}$ ) items that are found in the composition of gross income (GI), is calculated. The main difference relates to how the items are combined. The BI uses positive values of its components, thereby avoiding counterintuitive

negative contributions from some of the bank’s businesses to the capital charge (e.g. negative P\&L on the trading book), which is possible under the GI. In addition, the BI includes income statement items related to activities that produce operational risk that are omitted (e.g. P\&L on the banking book) or netted (e.g. fee expenses, other operating expenses) in the GI. In particular, changing the impact of other operating expenses on capital requirements from negative (in GI) to positive (in the BI) is necessary to improve the coherence of the BI as a proxy indicator for operational loss exposure, as other operating expenses typically include operational losses, and thus an increase in other operating expenses should not result in a decrease in operational risk capital requirements. Three components, that are calculated from P\&L positions as well as balance sheet positions, are added up to give the Business Indicator value, i.e. Interest, Lease and Dividend Component (ILDC), Services Component (SC) and Financial Component (FC). Therefore, $B I=I L D C+S C+F C$ where,
$I L D C=\min [\mid$ Interest Income -Interest Expense|; 2.25\%*Interest Eaming Assets]+Dividend Income,
(2.3.3)
$S C=\max [$ Other Operating Income; Other Operating Expense $]+\max [$ Fee Iñome; Fee Expense]
$(2.3 .4)$
$F C=\mid$ Net $\mathrm{P} \& \mathrm{~L}$ Trading Book $|+|$ Net $\mathrm{P} \& \mathrm{~L}$ Banking Book $\mid .$
Then,

1. if the $B I \leq 1$ billion then the $\mathrm{BIC}$ is equal to $B I * 12 \%$,
2. if the $1<B I \leq 30$ billion then $\mathrm{BIC}$ is equal to $B I * 15 \%$,
3. if the $B I \geq 30$ billion then $\mathrm{BIC}$ is equal to $B I * 18 \%$.
A bank’s internal operational risk loss experience affects the calculation of operational risk capital through the Internal Loss Multiplier (ILM). The ILM is defined as:
$$I L M=\ln \left(\exp (1)-1+\left(\frac{L C}{B I C}\right)^{0.8}\right)$$
where the Loss Component (LC) is equal to 15 times average annual operational risk losses incurred over the previous 10 years. The ILM is equal to one when the loss and business indicator components are equal. When the LC is greater than the BIC, the ILM is greater than one. That is, a bank with losses that are high relative to its BIC is required to hold higher capital due to the incorporation of internal losses into the calculation methodology. Conversely, when the LC is lower than the BIC, the ILM is less than one. That is, a bank with losses that are low relative to its BIC is required to hold lower capital due to the incorporation of internal losses into the calculation methodology.

C一个一世=θ一世× 指标，

## 金融代写|量化风险管理代写Quantitative Risk Management代考|The Advanced Measurement Approach

• 其董事会和高级管理层应酌情积极参与对操作风险管理框架的监督；
• 它需要一个概念健全、实施完整的操作风险管理系统；和
• 它必须有足够的资源在主要业务线以及控制和审计领域使用该方法。
AMA 需要使用以下项目：
1. 内部数据
2. 外部数据
3. 场景分析
4. 定性指标，即所谓的营商环境和内部控制因素（BEICFs）。

• 其董事会和高级管理层酌情积极参与对操作风险管理框架的监督；
• 具有概念健全、执行完整的操作风险管理体系；和
• 它有足够的资源在主要业务线以及控制和审计领域使用该方法。

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Standardised Measurement Approach

(2.3.3)

(2.3.4)
FC=∣网磷& 大号交易簿|+|网磷& 大号银行账簿∣.

1. 如果乙我≤1亿然后乙我C等于乙我∗12%,
2. 如果1<乙我≤30那时十亿乙我C等于乙我∗15%,
3. 如果乙我≥30那时十亿乙我C等于乙我∗18%.
银行的内部操作风险损失经验通过内部损失乘数 (ILM) 影响操作风险资本的计算。ILM 定义为：
我大号米=ln⁡(经验⁡(1)−1+(大号C乙我C)0.8)
其中损失成分 (LC) 等于过去 10 年平均年度运营风险损失的 15 倍。当损失和业务指标分量相等时，ILM 等于 1。当 LC 大于 BIC 时，ILM 大于 1。也就是说，由于将内部损失纳入计算方法，损失相对于其 BIC 较高的银行需要持有较高的资本。相反，当 LC 低于 BIC 时，ILM 小于 1。也就是说，由于将内部损失纳入计算方法，损失相对于其 BIC 较低的银行需要持有较低的资本。

## 有限元方法代写

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## MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。