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China's commercial banks operational risk measure based on extreme value theory method

Author: Xia
Tutor: YangZhongJun
School: Nanjing Normal University
Course: Finance
Keywords: Operational risk Mixed strategy game model Extreme Value Theory copula function VaR
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 114
Quote: 2
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Abstract


This paper aims to study the operational risk loss metrics . Logical structure , the article first definition , classification, characteristics tripartite face of operational risk to do a preliminary exposition ; followed by analysis of the domestic and international operational risk loss data distribution characteristics and contrast , that the reality of China's banking operational risk based internal fraud the main two types of loss events and external fraud ; next game theory as a tool , use mixed strategy model as an analytical framework to discuss the root causes and influencing factors of China's commercial banks operational risk . The results show that : the generation of fraud operational risk is rooted in the agency relationship and positions of the bank's internal relation . A number of factors related to the frequency of occurrence of operational risk and fraud modus cost of rank and their punishment ; examiner's inspection costs , expected , and its degree of reward ; case exposure interval away from the incident . Again, the analysis and comparison of the Basel Committee and the industry measure operational risk several mainstream models and quantitative methods , the results show that the extreme value theory in comparative advantage measure such risk exists . On this basis , the application of the copula function reflects the correlation between the different loss event , can greatly improve the accuracy of measurement . Finally, China's commercial banks from public sources collected internal fraud and external fraud loss data , the use of the the POT model with Gumbel copula an empirical study of China's commercial banks operational risk . Using Gumbel Copula portray internal fraud and external fraud between binary correlation , the results are significantly reduced relative to the simple sum of the two losses . Therefore , if the use of quantitative methods , the bank's risk capital savings , improve the operational efficiency of the bank , but also conducive regulatory authorities accurate grasp of the regulatory capital of the banking sector .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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