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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Jichuang Feng Jianming Chen Jianping Li |
| Copyright Year | 2009 |
| Description | Author affiliation: School of management, University of Science and Technology of China, He Fei, An Hui, China (Jichuang Feng) || Institute of Policy and Management, Chinese Academy of Sciences, Beijing, China (Jianming Chen; Jianping Li) |
| Abstract | In the Basel II Accord, banks are encouraged to use the Advanced Measurement Approach (AMA), which is suitable for banks to assess operational risk capital, but banks are required to demonstrate their ability to capture severe tail loss events. In this paper, based on the 860 operational risk loss data of Chinese commercial banks collected from public reports from 1995 to 2006, we found that the sample data set is characterized as having heavier tail than normal distribution. Then we use loss distribution approach (LDA) to measure the operational risk and operational risk capital of Chinese commercial banks. Next, we compare operational risk economic capital of Chinese commercial banks with operational risk economic capital (EC) of other major banks. We discover that the operational risk of Chinese commercial banks is larger than that of some foreign major commercial banks. |
| Starting Page | 1744 |
| Ending Page | 1748 |
| File Size | 571044 |
| Page Count | 5 |
| File Format | |
| ISBN | 9781424449149 |
| DOI | 10.1109/GSIS.2009.5408197 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2009-11-10 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Law Gaussian distribution Frequency Loss measurement Probability distribution Linear discriminant analysis Risk management Intelligent systems Legal factors Business |
| Content Type | Text |
| Resource Type | Article |
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