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Measuring the Operational Risk of Chinese Commercial Banks Using the Semilinear Credibility Model
Company: Journal of Operational Risk
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: July
Resource Link: Click here to open
Pages: 3-34
Download Count: 0
View Count: 1195
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-12-2013
Publisher: Administrator
Summary
Chinese commercial banks have faced increasingly serious operational risks because of the rapid development of the ?nancial markets and the wide application of information technology. Stringent requirements should be met to address these risks and to ensure reliable operational risk measurement. However, inadequate internal loss data of banks affects the accurate measurement of operational risk. In this study, we improve how the threshold of extreme value theory can be determined and use semilinear credibility theory, a widely employed theory in the non-life-insurance ?eld, to address the problem on operational risk measurement. We combine commercial banks’ data on internal operational risk loss and external loss to address the lack of data. We also perform an empirical analysis based on loss data from 1990 to 2011 and identify the operational risk capital of individual banks. The results obtained could serve as valuable references that bene?t banking supervision.
(volume 8, number 2)
This document may be downloaded without charge from the publisher by clicking the 'Buy from Publisher' button. (accessed 2013-07-12)
Author(s)
Lu, Jing Sign in to follow this author
Guo, Lei Sign in to follow this author
Liu, Xing Sign in to follow this author
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