Assessment the operational risk for Chinese commercial banks
Gao, LJ; Li, JP; Chen, JM; Xu, WX
2006
Source PublicationCOMPUTATIONAL SCIENCE - ICCS 2006, PT 4, PROCEEDINGS
ISSN0302-9743
Volume3994Issue:1Pages:8,501-508
AbstractOperational 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.
Subject AreaComputer Science ; Theory & Methods
Indexed BySCI
Language英语
WOS IDWOS:000238417500070
Citation statistics
Cited Times:8[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/4977
Collection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)
Recommended Citation
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.
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