Operational Risk Assessment: An ERM-POT Approach
Extreme value theory (EVT) has been proposed to the finance field more recently as a useful toolkit for analyzing the nonstandard (more precisely abnormal) data fluctuation. Basing on the characteristic of operational losses of Chinese Commercial Banks, we presented an ERM-POT (Exponential Regression Model and the Peaks-Over-Threshold) method to measure the operational risk under the EVT framework. As we know, it is important to choose the threshold in POT. However, selection of the threshold by Hill plot or mean excess function (MEF) may produce biased estimations. The ERM-POT method can lead to bias-corrected estimators and techniques for optimal threshold. With the ERM-POT, we select the optimal threshold, and then the value-at- risk (VaR) is obtained. The experiment results show the method is reasonable.
Operational risk EVT POT ERM VaR.
LI Jianping MENG Fanjun GAO Lijun
Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100080, P. R. China Economics school, Renmin University of China, Beijing 100872, P. R. China Management School, Shandong University of Finance, Jinan 250014, P. R. China
国际会议
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)
上海
英文
423-426
2007-09-25（万方平台首次上网日期，不代表论文的发表时间）