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A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion
Company: Discrete Dynamics in Nature and Society
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: March
Resource Link: Click here to open
Pages: 8
Download Count: 0
View Count: 1096
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-22-2014
Publisher: Administrator
Summary
The objective of this paper is to propose a nonparametric operational risk modeling approach based on Cornish-Fisher expansion. In this approach, the samples of severity are generated by Cornish-Fisher expansion and then used in the Monte Carlo simulation to sketch the annual operational loss distribution. In the experiment, the proposed approach is employed to calculate the operational risk capital charge for the overall Chinese banking. The experiment dataset is the most comprehensive operational risk dataset in China as far as we know. (volume 2014)
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Author(s)
Zhu, Xiaoqian Sign in to follow this author
Li, Jianping Sign in to follow this author
Chen, Jianming Sign in to follow this author
Gao, Lijun Sign in to follow this author
Feng, Jichuang Sign in to follow this author
Wu, Dengsheng Sign in to follow this author
YangHuo, Yingqi Sign in to follow this author
Xie, Yongjia Sign in to follow this author
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