An Empirical Study of Correlation Problem in Two Types of Operational Risk
In accordance with the type of operational risk, we collected data of two types of commercial banks operational risk loss events. Based on LDA, we fit the Loss Severity and Loss Frequency of two types of events and overall fraud events respectively, and then use Monte Carlo simulation to simulate Aggregate Loss distribution. Through empirical research, we believe it is possible that the two different types of loss events may occur at the same time. In this paper, we make a point that commercial banks should take different types of loss events correlativity into consideration during assessing capital charge not only add different types of loss events capital charge together. Taking correlativity between different types of loss events into consideration will make assessing of capital charge more accurately so that commercial banks could reach the target of minimizing loss and maximizing utility of capital.
operational risk Monte Carlo simulation LDA Loss Severity Loss Frequency
Shuxi Meng Zongfang Zhou
College of Economics and Management, University of Electronic Science &Technology of China, China
国际会议
The 2nd International Conference on Risk Analysis and Crisis Response(第二届风险分析与危机反应国际学术研讨会)
北京
英文
575-580
2009-10-19（万方平台首次上网日期，不代表论文的发表时间）