룟벶볆솿램(AMA)퓚짌튵틸탐닙ퟷ럧쿕뛈솿훐뗄퓋폃퇮ꆡ샶햪ꆡ튪:쯦ퟅ탂뗄냍죻뛻킭틩뗄췆돶,뎤웚틔살튻횱놻뫶쫓뗄짌튵틸탐닙ퟷ럧쿕틽웰쇋룷뷧뗄맣랺맘힢,뛔닙ퟷ럧쿕뗄뚨틥ꆢ쪶뇰ꆢ뫢솿뗄퇐뺿훰붥탋웰,폈웤쫇룷훖럧쿕뛈솿쒣탍튲늻뛏좷솢ꆣ놾컄훷튪쳖싛웤훐뷏캪뢴퓓뫍쿈뷸뗄룟벶볆솿램(AMA),뛔룃랽램뗄쫊폃풭퓲,튻냣쒣탍틔벰펦폃룃랽램쏦쇙뗄쓑뗣컊쳢ퟶ튻룶볲튪뗄뷩짜ꆣ맘볼듊:룟벶볆솿램ꆡAMAꆡ닙ퟷ럧쿕닙ퟷ럧쿕춨뎣놻뚨틥캪평폚늻돤럖믲쪧냜뗄쓚늿맽돌,죋뫍쾵춳믲췢늿쫂볾쯹퓬돉뗄횱뷓믲볤뷓뗄뺭볃쯰쪧ꆣ탂냍죻뛻킭틩붫닙ퟷ럧쿕쓉죫럧쿕놾뗄볆쯣뫍볠맜뿲볜,틽웰쇋맺볊짏뛔닙ퟷ럧쿕뗄맣랺맘힢뫍쳖싛ꆣ볆쯣닙ퟷ럧쿕놾뷰뗄랽램폐죽훖:믹놾횸뇪램(TheBasiclndicatorApproach)ꆢ뇪ힼ램(TheStandardizedApproach),틔벰룟벶볆솿램(AdvancedMeasurementApproach,AMA램)ꆣ헢죽훖랽램퓚뢴퓓탔뫍럧쿕쏴룐뛈랽쏦붥듎볓잿ꆣ쯦ퟅ뛔럧쿕맜샭훘쫓돌뛈뗄볓잿틔벰벼쫵뗄뷸늽,룼캪쿈뷸뫍뢴퓓뗄룟벶볆솿램믡뗃떽풽살풽뛠뗄맘힢뫍펦폃ꆣ튻ꆢ쫊폃룟벶볆솿램뗄풭퓲뾼싇떽닙ퟷ럧쿕럖컶랽램뗄솬탸랢햹,냍죻뛻캯풱믡늢쎻폐뻟쳥횸뚨퓋폃AMA뗄쪹폃쳵볾,틔쪹뗃AMA쓜룸틸탐듸살볠맜뫍닢솿짏돤ퟣ뗄떯탔ꆣ떫쫇,퓚퓋폃AMA뗄뷸돌훐,틸탐뇘탫퇏룱놣돖랽램뗄짨볆벰웤퇩횤솽쳗쳥쾵뗄뛀솢탔ꆣ냍죻뛻캯풱믡붫퓚2006쓪뢴닩룷룶틸탐뗄횴탐쟩뿶ꆣ퓚뚨솿풭퓲랽쏦,탂냍죻뛻킭틩횸돶쇋쇹랽쏦뗄쓚죝:ꋙ컈붡뇪ힼ;ꋚ뻟쳥뇪ힼ;ꋛ쓚늿쫽뻝뗄뒦샭:ꋜ췢늿쫽뻝뗄뒦샭:ꋝ쟩뺰럖컶:ꋞ뺭펪뮷뺳뫍쓚뿘틲쯘럖컶ꆣ듋췢,냍죻뛻캯풱믡뛔퓋폃AMA랽램쪱,맘폚쓚늿쫽뻝ꆢ췢늿쫽뻝ꆢ쟩뺰쒣쓢ꆢ럧쿕뮺쫍ꆢ놣쿕릤뻟뗄퓋폃ꆢ늿럖쪹폃AMA랽램뗈뚨솿쾸뷚,뮹폐튻킩쓚죝횵뗃맘힢,샽죧,떱틸탐쫗듎쪹폃AMA뗄쪱뫲,죽쓪뗄샺쪷쫽뻝쫇ퟮ웰싫뗄잰쳡;쪹폃뗄췢늿쫽뻝뿢펦룃냼삨쯰쪧뗄헦쪵솿,쪱볤퓬돉뗄펰쿬뗄랶캧ꆢ풭틲뫍뮷뺳틲쯘뗈탅쾢;쪹폃쟩뺰럖컶쪱,틸탐뇘탫쪹폃볒춨맽췢늿쫽뻝럖컶뗃돶뗄쟩뺰럖컶살뫢솿ퟔ짭퓢쫜퇏훘쯰쪧뗄뿉쓜탔:틸탐뇘탫놻퓊탭쪹폃놣쿕살뮺뷢럧쿕틔싺ퟣퟮ뗍놾튪쟳,떫폃ퟷ뮺돥믹뷰뗄뷰늻쓜뎬맽틸탐ퟮ뗍놾ힼ놸뗄20%;맘폚놣쿕릤뻟뗄퓋폃,탂냍죻뛻킭틩튪쟳놣쿕릫쮾뗄움벶훁짙쫇A,쟒놣쿕헾닟훁짙틑뺭폐튻쓪뗄쪵볹웚ꆣ뛾ꆢ룟벶볆솿램쒣탍뷩짜1.볆럖뾨램맘폚AMA훐뗄볆럖뾨램,룃랽램뫍웤쯻룟벶뫢솿램쿠뇈뷏짙틀삵폚샺쪷쫽뻝,뛸룼뛠욫훘폚좫쏦뗄뚨탔럖컶,폃틸탐뗄럧쿕뿘훆쓜솦살랴펳웤놾쮮욽ꆣ춬쪱,ퟷ캪룟벶뫢솿램뗄튻훖,볇럖뾨램뇘탨붨솢퓚솼뫃뗄뚨솿믹뒡횮짏,늢춨맽샺쪷쫽뻝살좷횤웤럧쿕움맀ꆣ폃볇럖뾨램볆쯣닙ퟷ럧쿕뗄랽램뿉틔뇭쪾캪:K(i;j)=EI(i;j)ꇁꛘ(i;j))ꇁRS(i;j)웤훐EI듺뇭럧쿕놩슶,RS듺뇭럧쿕움럖(riskscore),ꛘ쫇튻룶뇈샽틲ퟓ(scalingfactor)ꆣ떫쫇볆쯣뗄믹뒡죔좻붨솢퓚틸탐뗄룟벶맜샭닣쯹쳡릩뗄탅쾢횮짏,볆럖뾨랽램쒿잰틑뺭퓚짌튵틸탐훐뗃떽맣랺퓋폃,틸탐뗄듳늿럖ퟔ뚯볆럖쫚좨컊듰뻭짨볆,뚼뿉틔쫓캪볆럖뾨램뗄퓋폃ꆣ2.쓚늿뫢솿램(MA)ꋙ쓚늿뫢솿램뗄볆쯣늽훨ꆪ27ꆪ' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
튻냣뛸퇔,쪹폃쓚늿볆솿램쪱,뿉틔내틔쿂늽훨볆쯣튻볒틸탐캪럀랶닙ퟷ럧쿕쯹탨튪엤훃뗄놾뷰:1.붫틸탐튵컱뮮럖캪죴룉샠탍,뛔펦튵컱샠탍좷뚨튻쾵쇐닙ퟷ쯰쪧샠탍ꆣ2.캪쎿훖튵컱/쯰쪧샠탍맦뚨튻룶럧쿕횸뇪(EI),쯼듺뇭쎿룶튵컱샠탍닙ퟷ럧쿕뗄듳킡ꆣ3.돽럧쿕횸뇪췢,틸탐룹뻝쓚늿쯰쪧쫽뻝캪쎿훖튵컱/쯰쪧샠탍볆쯣돶튻룶듺뇭쯰쪧쫂볾랢짺룅싊뗄닎쫽(PE)뫍튻룶듺뇭쯰쪧돌뛈뗄쫂볾쯰쪧돌뛈횵(LGE),죽룶닎쫽쿠돋뗃돶쎿훖튵컱/쯰쪧샠탍뗄풤웚쯰쪧(EL)ꆣ4.볠맜떱뻖캪쎿룶튵컱/쯰쪧샠탍맦뚨튻룶쾵쫽Y,헢룶쾵쫽뿉틔붫풤웚쯰쪧뮻돉놾튪쟳,쯼평볠맜떱뻖내헕탐튵쫽뻝좷뚨ꆣ쎿룶튵컱/쯰쪧뗄놾튪쟳뗈폚•횵폫풤웚쯰쪧뗄돋믽ꆣ쓚늿볆솿램쪹폃폫뇪뮴램쿠춬뗄튵컱샠탍,좻뫳룹뻝튵쓚헆컕뗄쯰쪧쫂볾룷랽쏦뗄쟩뿶,붫냋샠튵컱뗄닙ퟷ럧쿕뮮럖돉죴룉훖볈늻붻닦,폖듸폐ퟛ뫏탔뗄쯰쪧샠탍(헢퇹릲탎돉쇋56훖ퟩ뫏),헢퇹닅쓜룼뫃뗘뷢뻶늻춬쳘헷튵컱뗄쯰쪧ꆣ퓚AMA쿂,틸탐뿉쪹폃ퟔ벺뗄쯰쪧쫽뻝살볆쯣룃ퟩ뫏뗄풤웚쯰쪧(Expectedlose)ꆣ뛔폚쯹폐뗄튵컱샠탍/쯰쪧샠탍쪹폃튻룶볲떥뗄볓ퟜ놾,벴뗃떽틸탐뗄럧쿕놾ꆣKTAMAꇆꇆ[•(i,j)ꆤEI(i,j)ꆤPE(i,j)ꆤLGE(i,j)]웤훐:i=틸탐뗄냋듳샠튵컱샠탍:j=닙ퟷ럧쿕뗄웟듳샠쫂맊샠탍:볠맜떱뻖룹뻝좫탐튵쯰쪧럖늼쫽뻝좷뚨뗄Y횵,붫쫊폃폚쯹폐틸탐,떫쫇,룷틸탐뗄쯰쪧럖늼캴뇘폫뫍틸탐튵헻쳥뗄쯰쪧럖늼쿠춬,캪뷢뻶헢룶컊쳢,냍죻뛻틽죫쇋럧쿕쳘헷횸쫽RPI(RiskProfilelndex)살뷸튻늽뗷헻늻춬틸탐뗄닙ퟷ럧쿕놾튪쟳ꆣ럧쿕쳘헷횸쫽RPI랴펳쇋룷틸탐뻟쳥럧쿕ힴ뿶폫탐튵럧쿕뗄쟸뇰,퓋폃RPI뛔닙ퟷ럧쿕뚨볛뗄뗷헻볆쯣릫쪽죧쿂KTAMAꇆꇆ[•(i,j)ꆤEI(i,j)ꆤPE(i,j)ꆤLGE(i,j)ꆤRPI(i,j)]뻟쳥살붲,뛔폚뫱캲럖늼뗄틸탐,웤RPI>1,뛔폚놡캲럖늼뗄틸탐,웤RPI<1ꆣꋚ냍죻뛻훐맘폚췢늿쫽뻝쓚늿뮯뗄z틲ퟓ죧맻죕틦뢴퓓뗄쓚늿쒣탍램볌탸랢햹,쓇쎴틸탐뗄럧쿕뚨볛뫍놾엤훃붫돉캪럇뎣ꆰ룶탔뮯ꆱ뗄뚫컷,돽럇짌튵틸탐샖틢돤럖엻슶웤퓋폃쓚늿쒣탍램뗄쾸뷚,럱퓲,벴뇣퓚냍죻뛻캯풱믡뗄풭퓲횸떼쿂쪵쪩쓚늿쒣탍램,튲뿉쓜퓬돉틸탐볤놾돤ퟣ싊뗄뿉뇈탔풽살풽닮,늢듸살죕틦퇏훘뗄볠맜놾쳗샻ꆣ듋췢,떥룶틸탐뗄쓚늿쫽뻝,춨뎣늻ퟣ틔횧독룃틸탐릹붨믹폚춳볆럖컶뗄IMA쒣탍,폈웤쫇튻킩뗍욵룟캣쫂볾뗄뒦샭랽쏦,ퟷ캪틸탐튵헻쳥쓑쏢폐샠쯆냍쇖틸탐헢퇹뗄쫂볾랢짺,떫떥룶틸탐캴뇘뇘좻랢짺맽샠쯆쫂볾:쇭췢,틸탐틲뾪췘탂튵컱튲믡듸살닙ퟷ럧쿕,떫뛔탂튵컱룹놾뻍쓑폐샺쪷쫽뻝살횧독IMA,듋쪱튲탨튪틸탐뾼싇춬튵믯냩퓚뾪췘샠쯆탂튵컱쪱,틑폐뗄튻킩췢늿쫽뻝뫍럧쿕뒦샭쒣쪽ꆣ튲탭쫇돶ퟔ짏쫶뾼싇,탂냍죻뛻캯풱믡퓚퓋폃AMA뫢솿닙ퟷ럧쿕쪱,뮹틽뷸쇋욽뫢떥룶틸탐뫍탐튵헻쳥횮볤쯰쪧룅싊닮틬뗄뗷헻틲ퟓZ,헢퇹뻍쓜붫탐튵뗄췢늿쫽뻝쓚늿뮯,틔듓탐튵뷇뛈좥탞헽틸탐룷ퟔ볆쯣돶살뗄PE횵ꆣ탂냍죻뛻킭틩튪쟳쪹폃AMA뗄틸탐쪹폃췢늿쫽뻝ퟷ캪쓚늿쫽뻝뗄늹돤,캪듋탨튪뷸탐맀볆뷡맻뗄뿉뾿탔럖컶,냑룹뻝쓚늿쯰쪧샺쪷쫽뻝뗃떽뗄PEꆢLGE폫탐튵PEꆢLGE뷸탐뛔뇈,틔뿋럾쓚늿쫽뻝늻돤럖뿉쓜듸살뗄뻖쿞탔ꆣ뾼싇떽탐튵헻쳥뗄PE,탞헽뗄떥튻틸탐PE볆쯣릫쪽캪:PE=ZꇁPE쓚늿쪮(1-Z)ꇁPE탐튵죧맻쒳틸탐뮹맦뚨,퓚뷸탐룟벶볆솿램쪱,뮹뇘탫뷸탐쟩뺰럖컶,퓲뾼싇떽탐튵헻쳥뗄PE,죚죫쟩뺰럖컶뫳뗄PE볆쯣릫쪽캪:PE=ZꇁPE쓚늿쪮(1-Z)ꇁPE탐튵+Z쟩뺰럖컶ꇁPE쟩뺰럖컶짏쫶뛔PE뗄탞헽훐,틸탐쯹톡좡뗄z횵풽듳,퓲뇭쏷룃틸탐뗄쯰쪧룅싊뫍탐튵헻쳥뗄쯰쪧룅싊욫틆풽듳,룃틸탐퓋폃춬탐쫽뻝뗄뫏쫊돌뛈뻍풽뗍,쯹뷸탐뗄쟩뺰쒣쓢뻍풽룶탔뮯(뛸늻쫇뗤탍뮯)ꆣ죽ꆢ퓋폃룟벶볆솿램펦맘힢뗄쓑뗣뫍쳴햽죧뫎폐킧퓋폃AMA뿲볜쫇짌튵틸탐쓜럱붫닙ퟷ럧쿕쓉죫좫쏦럧쿕맜샭뗄맘볼,뷢뻶헢룶컊쳢폐죴룉뮷뷚탨튪훘쫓ꆣ쫗쿈,펦룃붨솢잿솦뗄닙ퟷ럧쿕놨룦믺훆,뷷짷뒦샭폫탅폃럧쿕뫍쫐뎡럧쿕쿠솪쾵뗄닙ퟷ럧쿕ꆣ웤듎,펦뫏샭뒦샭뗍욵룟캣쫂볾뗄럧쿕뚨볛ꆣ틔춳볆랽램캪믹뒡뗄AMA램벸뫵뿉틔몭룇벸뫵쯹폐뗄닙ퟷ럧쿕뚨볛,떫쫇,헢훖랽램캴뇘쓜ힼ좷뒦훃뗍욵룟캣쫂볾ꆣ샭평쫇듋샠쫂볾뒦퓚쯰쪧럖늼몯쫽춼쿱뗄캲뛋,뫋탄컊ꆪ28ꆪ' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
쳢쫇죧뫎ힼ좷뗘뫢솿ꆰ캲늿ꆱ쫂볾뗄럖늼탎ힴ,춨뎣뗄ퟶ램쫇,캪쇋쫊떱뗘뫢솿헢킩몯쫽,뿉틔쪹폃뻟폐뷏뎤ꆰ캲늿ꆱ뗄럖늼몯쫽,듋쪱춬탐뗄췢늿쫽뻝뿉틔폃ퟷ뛔폚쓚늿쫽뻝뗄늹돤ꆣ췢늿쫽뻝뿉틔춨맽튻뚨뗄탞헽,살쫊펦쪹폃틸탐뗄맦쒣ꆣ뛸탞헽뫳뗄럖늼몯쫽폐ퟣ릻뎤뗄캲늿,춨맽쟩뺰럖컶,쪹뗃쓚늿쯰쪧쫽뻝좱랦뗄쯰쪧샠탍뗄뫢솿뇤돉뿉쓜ꆣ춨맽늻춬뗄쯰쪧쟩뺰볙짨,튲뿉틔춨맽놾살뫢솿잱퓚뗄쯰쪧뛔뺭볃뗄돥믷ꆣퟮ뫳,뺡맜냍죻뛻캯풱믡쳡돶뗄쓚늿볆솿램쓜릻룼뺫좷뗘볆쯣닙ퟷ럧쿕쯹탨뗄놾쫽솿,떫퓚쪵볊펦폃훐듦퓚뫜뛠헏낭ꆣꋙ쓚늿샺쪷쫽뻝뗄헻샭뫍퓋폃컊쳢ꆣ헢쫇닉폃쓚늿볆솿램쫗튪뗄,튲쫇ퟮ믹놾뗄튻룶삧쓑ꆣ쪵볊짏,ퟷ캪닙ퟷ럧쿕닢솿뛔쿳뗄뗍랢짺욵싊ꆢ룟퇏훘돌뛈뗄쯰쪧쫂볾,뫜짙퓚튻볒틸탐쓚랢짺,듳뛠쫽틸탐뚼좱짙폫맀볆닙ퟷ럧쿕쯹탨놾쿠맘뗄헢샠쯰쪧쫂볾뗄쫽뻝ꆣꋚ췢늿쫽뻝살풴뗄뿉뇈탔컊쳢ꆣ뇘탫죏쪶떽,췢늿쫽뻝뺭뎣늢늻뻟폐폫놾틸탐잱퓚쯰쪧퇏룱뗄뿉뇈탔,헢쫇틲캪닙ퟷ럧쿕쯰쪧퓚뫜듳돌뛈짏쫇쓚짺뗄ꆣ쪹폃췢늿쫽뻝쪱믡폶떽뗄튻룶컊쳢쫇,뇘탫쿈에뛏쇭튻볒틸탐뗄쯰쪧쫂볾폫놾틸탐닙ퟷ럧쿕뗄쿠맘돌뛈폐뛠듳ꆣ죧맻쪹폃뎤웚쫽뻝맀볆닙ퟷ럧쿕쯰쪧,뇈뷏뗄컊쳢붫룼볓쏷쿔ꆣꋛ놣쿕ퟷ캪닙ퟷ럧쿕볞릤뻟뗄퓋폃컊쳢ꆣ틸탐뗄튻킩닙ퟷ럧쿕쫇쓜릻평뗚죽랽놣쿕뗄,폈웤쫇췢늿쫂볾럧쿕ꆣ죎뫎닙ퟷ럧쿕쯰쪧뗄닢솿뿲볜뚼펦룃냑놣쿕뗄펰쿬뾼싇퓚쓚,늻싛쫇샻폃샺쪷쫽뻝뷸탐닢솿,뮹쫇볆쯣좷뚨풤웚닙ퟷ럧쿕놩슶횵쪱뚼펦룃뷷짷뾼싇ꆣꋜ닙ퟷ럧쿕뗄뚨틥컊쳢ꆣ닙ퟷ럧쿕쯰쪧늻쓜뒿듢뗘맩캪죎뫎튻훖샠탍ꆣ늻뷶쓚늿뫍췢늿쫂볾믡듸살닙ퟷ럧쿕,닙ퟷ럧쿕뮹믡폫탅폃뫍쫐뎡럧쿕붻닦ꆣ듓볆솿뗄뷇뛈살뾴,럖샫헢킩풭틲뿉쓜뇈뷏삧쓑,쳘뇰쫇룹뻝샺쪷쫽뻝뷸탐볆솿쪱,떥뛀뷸탐닙ퟷ럧쿕뗄럖샫뫍럧쿕뚨볛룼캪삧쓑ꆣꋝAMA쒣탍뫍럧쿕ퟩ뫏뗄돥춻ꆣAMA뻍쫇뛔늻춬늿럖뗄닙ퟷ럧쿕퓋폃쿟탔볓좨뛸틑,돽럇룷늿럖닙ퟷ럧쿕쿠맘,럱퓲ퟜ쳥닙ퟷ럧쿕붫뇈룷늿럖닙ퟷ럧쿕뗄볲떥쿟탔샛믽횮뫍튪킡ꆣ평폚뫜뛠닙ퟷ럧쿕뇭쿖캪쯦믺럖늼,쫂볾횮볤뗄쿠맘돌뛈뿉쓜뫜뗍ꆣ헢틢캶ퟅ틔샛믽쯰쪧럖늼캪믹뒡볆쯣쯹뗃뗄AMA럧쿕놾엤훃쏷쿔욫룟,쒿잰탂냍죻뛻킭틩훐뗄쓚늿볆솿램럇뎣탨튪튻훖쏷좷뗄랽램붫쿠맘탔뗄펰쿬볆쯣퓚쓚ꆣ닎뾼컄쿗[1]MichaelHaubenstock,TheEvolvingOperationalRiskManagementframework..TheRMAJournal,2001,(12):18-21[2]냍쫯쯉.냍죻뛻탂놾킭틩뿲볜쿂뗄닙ퟷ럧쿕뫢솿폫놾뷰풼쫸.뺭볃샭싛폫뺭볃맜샭,2003,(2),17ꆪ24[3]늮쳘ꆤ늼슳뷰뿋,났샻쮹ꆤ랶ꆤ뗇,뗙삭쳘.럧쿕뷸죫헦쪵쫀뷧ꆪꆪꆪ탂뗄놾돤ퟣ싊뿲볜폫닙ퟷ럧쿕뛈솿.릨뺼,솺맺쟬틫.헣붭뷰죚,2001,(5):4748[4]캺몣룛.짌튵틸탐닙ퟷ럧쿕뗄닢뛈뫍볠맜랽램.탂뷰죚,2002,(8):21ꆪ22[5]헅뺲,십샨.짌튵틸탐닙ퟷ럧쿕뗄뛈솿폫맜샭.맜샭쿖듺뮯,2003,(5):18-19ꆪ29ꆪ' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
