Assessment the Operational Risk for Chinese Commercial Banks

  • Lijun Gao
  • Jianping Li
  • Jianming Chen
  • Weixuan Xu
Conference paper

DOI: 10.1007/11758549_70

Part of the Lecture Notes in Computer Science book series (LNCS, volume 3994)
Cite this paper as:
Gao L., Li J., Chen J., Xu W. (2006) Assessment the Operational Risk for Chinese Commercial Banks. In: Alexandrov V.N., van Albada G.D., Sloot P.M.A., Dongarra J. (eds) Computational Science – ICCS 2006. ICCS 2006. Lecture Notes in Computer Science, vol 3994. Springer, Berlin, Heidelberg

Abstract

Operational risk is one of the most important risks for Chinese commercial banks, and brings huge losses to Chinese commercial banks recent years. Using the public reported operational loss data from 1997 to 2005 of Chinese commercial banks, we simulate the operational loss distribution, find that loss frequency can be seen as Poisson distribution and the logarithm of loss is normal distribution. In accordance with the confidence level required by Basel II, aggregated loss distributions and operational Value-at-Risks (OpVaR) are calculated by Monte Carlo Simulation. Comparing with the real loss, this result is credible. We also calculate the economic capital by the VaR99.9, and it maybe help the banks to allocate appropriate their economic capital.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Lijun Gao
    • 1
    • 2
  • Jianping Li
    • 2
  • Jianming Chen
    • 2
  • Weixuan Xu
    • 2
  1. 1.Graduate University of Chinese Academy of SciencesBeijingP.R. China
  2. 2.Institute of Policy & ManagementChinese Academy of SciencesBeijingP.R. China

Personalised recommendations