The Engineering of China Commercial Bank Operational Risk Measurement

被引：1

作者：

Xie, Yuan ^{[1
]}

Wu, Ya-wen ^{[1
]}

Hu, Yu-Chen ^{[2
]}

机构：

[1] Univ Sci & Technol Beijing, Beijing 100083, Peoples R China

[2] Sichuan Univ, Sichuan, Peoples R China

来源：

ENGINEERING AND RISK MANAGEMENT | 2011年 / 1卷

关键词：

Operational risk; Engineering of capital measurement; Monte Carlo simulation;

D O I：

10.1016/j.sepro.2011.08.050

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Drawing specific reserve separately for operational risk is the requirement of the New Basel Capital Accord. Since 1990, as serious loss incidents in operation risk often happened all over the world, operational risk is taken account into the risk management framework for the first time in New Basel Capital Accord, becoming the three main risk get along with credit risk and market risk that bank may take. In the paper, the data of Chinese commercial bank operational risk is analyzed by Monte Carlo simulation empirically. Research shows that China commercial bank should allocate 15 billon capital for its operational risk, capital reserve fund rate is about 4.79%. (C) 2011 Published by Elsevier B.V. Selection and/or peer-review under responsibility of the Organising Committee of The International Conference of Risk and Engineering Management.

引用

页码：330 / 336

页数：7

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