Measure Operational Risk of Chinese Commercial Banks via Delta-POT Method

摘要：

The operational risk management of Chinese commercial banks is preliminary and the sample of data loss is small. We use Delta-POT method, a method overcoming the deficiency of operational data loss and dividing operational risks into expected loss and unexpected loss, to estimate the Chinese commercial operational risk. We simulate the supervised capital and the result is reasonable and credible. We also estimate internal capital collocation of different business lines, and the result is that commercial banking is the most significant one and needs improving. It spurs banks to improve operational data capture and operational risk management.

关键词： operational risk extreme value theory Delta-POT method capital collation.

作者: GAO Lijun LI Jianping WANG Shuping MENG Fanjun

作者单位: Management School, Shandong University of Finance, Jinan 250014, P. R. China Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100080, P. R. China The College of Economics and Business Administration, North China University of Technology, Beijing Economics school, Renmin University of China, Beijing 100872, P. R. China

会议类型: 国际会议

会议名称: The 1st International Conference on Risk Analysis and Crisis Response(首届风险分析与危机反应国际学术研讨会)

会议地点: 上海

会议语种:英文

页码: 439-444

在线出版日期: 2007-09-25（万方平台首次上网日期，不代表论文的发表时间）