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operational risk sign in to follow this
banking sign in to follow this
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loss distribution sign in to follow this
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A Combination Model for Operational Risk Estimation in a Chinese Banking Industry Case
Company: Journal of Operational Risk
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: June
Resource Link: Click here to open
Pages: 17-39
Download Count: 0
View Count: 1340
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-16-2012
Publisher: Administrator
Summary
The loss distribution approach is widely used in operational risk estimation.While the detailed form of frequency distribution does not signi?cantly affect risk analysis, the choice of model in terms of severity often has a signi?cant impact on operational risk measures. Usually, different heavy-tailed distributions, which have their own characteristics, are respectively used to quantify operational risk. In order to integrate characteristics of different heavy-tailed distributions and to reduce the uncertainty of the operational risk model, we propose a combination model to estimate operational risk in this paper. The model has three stages. First, we estimate operational risk by using different heavy-tailed distributions in the loss distribution approach framework. Second, the weights are decided according to certain criteria, and in this paper, p-values of the Kolmogorov–Smirnov goodness-of-?t test are used to decide the weight of each operational risk. Finally, the results obtained in the previous phases are combined in an integrated estimation to form the ?nal result. We use a linear combination model to measure the operational
Author(s)
Li, Jianping Sign in to follow this author
Gao, Lijun Sign in to follow this author
Feng, Jichuang Sign in to follow this author
Hua, Zhongsheng Sign in to follow this author
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