Operational Risk Measurement via the Loss Distribution Approach

摘要：

In the Basel Ⅱ Accord, banks are encouraged to use the Advanced Measurement Approach (AMA), which is suitable for anks to assess operational risk capital, but banks are required to demonstrate their ability to capture severe tail loss events. In this paper, based on the 860 operational risk loss data of Chinese commercial banks collected from public reports from 1995 to 2006, we found that the sample data set is characterized as having heavier tail than normal distribution. Then we use loss distribution approach (LDA) to measure the operational risk and operational risk capital of Chinese commercial banks after a brief introduction to LDA. At last we compare operational risk economic capital of Chinese commercial banks with operational risk economic capital (EC) of other major banks. We discover that the operational risk of Chinese commercial banks is larger than that of some foreign major commercial banks.

作者: Jichuang Feng Jianming Chen Jianping Li

作者单位: School of management, University of Science and Technology of China Institute of Policy and Management, Chinese Academy of Sciences, Beijing, China

会议类型: 国际会议

会议名称: 2009 IEEE International Conference on Grey System and Intelligent Services(2009 IEEE灰色系统与服务科学国际会议)

会议地点: 南京

会议语种:英文

页码: 1744-1748

在线出版日期: 2009-10-20（万方平台首次上网日期，不代表论文的发表时间）