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
收藏
页码：330 / 336
页数：7
相关论文
共 50 条
  • [21] Research on the Performance of Credit Risk Management of Commercial Bank in China
    Zhang, Chunfang
    Han, Shiyu
    [J]. PROCEEDINGS OF CHINA-CANADA WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2010, 2010, : 328 - 331
  • [22] Thoughts on Credit Risk Stress Test of Commercial Bank in China
    Jiang, Yimin
    [J]. CHINESE PERSPECTIVE ON RISK ANALYSIS AND CRISIS RESPONSE, 2010, 13 : 953 - 957
  • [23] Research on Commercial Bank Logistics Financial Business Risk in China
    Zhao Yanni
    Feng Zhiyong
    [J]. PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON EDUCATION, MANAGEMENT, COMPUTER AND SOCIETY, 2016, 37 : 316 - 319
  • [24] Measurement and Analysis of the Competitiveness of China Commercial Bank's Loan Market
    Cai, Tianming
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020 : 1DUMMMY
  • [25] Study on the Relationship between Operational Risk and Economic Capital Allocation in Chinese Commercial Bank - Based on Bank of Communications
    Song, Xiazi
    Wang, Yan
    [J]. 2018 5TH INTERNATIONAL CONFERENCE ON TEACHING AND COMPUTATIONAL SCIENCE (ICTCS 2018), 2018, : 60 - 65
  • [26] Identification and Prevention of Commercial Bank Operational Risk based on Fault Tree Analysis Method
    Wen, Hongmei
    Wang, Huali
    [J]. 2013 3RD INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2013), VOL 1, 2013, : 79 - 85
  • [27] Multi-Expert Operational Risk Evaluation for Commercial Bank with Subjective and Linguistic Information
    Chen, Qian
    Li, Jinfin
    Jia, Xujie
    [J]. PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II, 2008, : 132 - 136
  • [28] Measurement and capital allocation of operational risk in Chinese local commercial banks
    Ye, Yonggang
    Zhang, Pei
    [J]. PROCEEDINGS OF INTERNATIONAL CONFERENCE ON RISK MANAGEMENT AND ENGINEERING MANAGEMENT, 2008, : 92 - 96
  • [29] Commercial bank credit risk measurement based on KMV model studies
    Wang, Chun-ping
    Qu, Lin-jing
    Li, Jian-wei
    [J]. PROCEEDINGS OF THE 2015 INTERNATIONAL CONFERENCE ON ENGINEERING MANAGEMENT, ENGINEERING EDUCATION AND INFORMATION TECHNOLOGY, 2015, 36 : 456 - 465
  • [30] The Policies of the Operational Risk Management: Connotations and Issues of It in the Commercial Banks of China
    Qu Shaoqiang
    Zhang Yuzhong
    [J]. PROCEEDINGS OF THE 5TH CONFERENCE ON CHINA'S ECONOMIC OPERATION RISK MANAGEMENT, 2011, : 231 - 236
12345