Assessment the operational risk for Chinese commercial banks

CASISD OpenIR > 中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)

	Assessment the operational risk for Chinese commercial banks
	Gao, LJ; Li, JP; Chen, JM; Xu, WX
发表期刊	COMPUTATIONAL SCIENCE - ICCS 2006, PT 4, PROCEEDINGS
摘要	Operational risk is one of the most important risks for Chinese commercial banks, and brings huge losses to Chinese commercial banks recent years. Using the public reported operational loss data from 1997 to 2005 of Chinese commercial banks, we simulate the operational loss distribution, find that loss frequency can be seen as Poisson distribution and the logarithm of loss is normal distribution. In accordance with the confidence level required by Basel II, aggregated loss distributions and operational Value-at-Risks (OpVaR) are calculated by Monte Carlo Simulation. Comparing with the real loss, this result is credible. We also calculate the economic capital by the VaR(99.9), and it maybe help the banks to allocate appropriate their economic capital.
	2006
卷号	3994 期号:1 页码:8,501-508
ISSN	0302-9743
学科领域	Computer Science ; Theory & Methods
收录类别	SCI
语种	英语
WOS记录号	WOS:000238417500070
引用统计	被引频次：8[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/4977
专题	中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
推荐引用方式 GB/T 7714	Gao, LJ,Li, JP,Chen, JM,et al. Assessment the operational risk for Chinese commercial banks[J]. COMPUTATIONAL SCIENCE - ICCS 2006, PT 4, PROCEEDINGS,2006,3994(1):8,501-508.
APA	Gao, LJ,Li, JP,Chen, JM,&Xu, WX.(2006).Assessment the operational risk for Chinese commercial banks.COMPUTATIONAL SCIENCE - ICCS 2006, PT 4, PROCEEDINGS,3994(1),8,501-508.
MLA	Gao, LJ,et al."Assessment the operational risk for Chinese commercial banks".COMPUTATIONAL SCIENCE - ICCS 2006, PT 4, PROCEEDINGS 3994.1(2006):8,501-508.

条目包含的文件
文件名称/大小	文献类型	版本类型	开放类型	使用许可
Assessment the Opera（206KB）			开放获取	--	浏览