ERM-POT Method for Quantifying Operational Risk for Chinese Commercial Banks
نویسندگان
چکیده
Operational risk has become increasingly important topics for Chinese Commercial Banks in recent years. Considering the huge operational losses, Extreme value theory (EVT) has been recognized as a useful tool in analyzing such data. In this paper, we presented an ERMPOT (Exponential Regression Model and the Peaks-Over-Threshold) method to measure the operational risk. The ERM-POT method can lead to bias-corrected estimators and techniques for optimal threshold selections. And the experiment results show that the method is reasonable.
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