Operational Risk Measurement: A Nonparametric Approach using Cornish–Fisher Expansion

摘要：

The severity loss distribution is the main topic in operational risk estimation. In this paper, we propose a novel model for quantifying operational risk in the framework of the loss distribution approach (LDA) as suggested by the Basel II. We use Cornish–Fisher Expansion, which is non-parameter method, to fit operational risk loss severity, and then we use simulation technique to measure the operational risk in the framework of LDA. We use this approach to measure the operational risk of Chinese commercial banking. Empirical analysis shows that this approach allows the allocation of capital in an efficient way.

关键词： Cornish–Fisher Expansion LDA Operational Risk Simulation

作者: Jichuang Feng Jianping Li Jianming Chen Yingqi YangHuo Weiquan Liu

作者单位: School of Management,University of Science and Technology of China,Hefei, Anhui 230026, China Institute of Policy and Management,Chinese Academy of Sciences,Beijing, 100190, China School of Economics,Beijing Technology and Business University,Beijing, 102488, China. School of Economics, Renmin University of China, Beijing, 100872, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 105-109

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）