The Empirical Research of a Single Commercial Bank Uses Loss Distribution Method to Measure Operational Risk

被引：0
|
作者：
Liu, Zhang-fa [1 ,2 ]
机构：
[1] Univ Jinan, Dept Econ, Guangzhou, Guangdong, Peoples R China
[2] Univ Xiangnan, Dept Econ & Management, Chenzhou, Hunan, Peoples R China
来源：
PROCEEDINGS OF THE 6TH INTERNATIONAL ASIA CONFERENCE ON INDUSTRIAL ENGINEERING AND MANAGEMENT INNOVATION, VOL 2: INNOVATION AND PRACTICE OF INDUSTRIAL ENGINEERING AND MANAGMENT | 2016年
关键词：
Loss distribution method; Monte Carlo simulate; Risk measure; The single commercial bank;
D O I：
10.2991/978-94-6239-145-1_97
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
We use loss distribution method to measure the single commercial bank's (Taking the Industrial and Commercial Bank of China as example) operational risk capital. ICBC's operational risk events loss frequency obey Weibull distribution and loss amount obey lognormal distribution. With the help of Monte Carlo simulate, the analysis of Financial statement data, using loss distribution method to measure operational risk capital, commercial bank's capital adequacy ratio and core capital adequacy ratio are far lower than the level of supervision, so our banks are not suitable for using loss distribution method to measure operational risk at the present stage.
引用
收藏
页码：993 / 1001
页数：9
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