Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks

Modeling the operational risk in Iranian commercial banks: case study of a private bank

The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and ...

ERM-POT Method for Quantifying Operational Risk for Chinese Commercial Banks

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 lea...

CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory

Management of operational risk is of prime importance in riskmanagement for commercial banks, and many theoretical and practical studies of operational risk management have been carried out. Conditional value-at-risk (CVaR) models based on the peak value method of extreme value theory are used here tomeasure operational risk. Loss data for commercial banks are used in an empirical analysis. Tes...

The Evaluation of Commercial Banks Performance and Market Risk by using of Fuzzy DEA

Using BS-PSD-LDA approach to measure operational risk of Chinese commercial banks

a r t i c l e i n f o The research of operational risk management among Chinese commercial banks is still in its preliminary stage. Operational risk events are rare and data is hard to collect. This leads to very small data samples. Besides, a large number of empirical researches show that the distributions of operational losses are often skewed with fat tails. To address these issues, this pap...