Measure operational risk of Chinese commercial banks via Delta-POT method

被引：0

作者：

Gao Lijun ^{[1
]}

Ll Jianping ^{[1
]}

Wang Shuping ^{[1
]}

Meng Fanjun ^{[1
]}

机构：

[1] Shandong Univ Finance, Sch Management, Jinan 250014, Peoples R China

来源：

PROCEEDINGS OF THE 1ST INTERNATIONAL CONFERENCE ON RISK ANALYSIS AND CRISIS RESPONSE | 2007年 / 2卷

关键词：

operational risk; extreme value theory; Delta-POT method; capital collation;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

The operational risk management of Chinese commercial banks is preliminary and the sample of data loss is small. We use Delta-POT method, a method overcoming the deficiency of operational data loss and dividing operational risks into expected loss and unexpected loss, to estimate the Chinese commercial operational risk. We simulate the supervised capital and the result is reasonable and credible. We also estimate internal capital collocation of different business lines, and the result is that commercial banking is the most significant one and needs improving. It spurs banks to improve operational data capture and operational risk management.

引用

页码：439 / 444

页数：6

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