دانلود مقاله ISI انگلیسی شماره 50057
عنوان فارسی مقاله

استفاده از روش BS-PSD-LDA برای اندازه گیری ریسک عملیاتی بانک های تجاری چینی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
50057 2012 9 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Using BS-PSD-LDA approach to measure operational risk of Chinese commercial banks
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Economic Modelling, Volume 29, Issue 6, November 2012, Pages 2095–2103

کلمات کلیدی
ریسک عملیاتی - نمونه بوت استرپ - بازل II - توزیع لگ نرمال - توزیع پارتو عمومی
پیش نمایش مقاله
پیش نمایش مقاله استفاده از روش BS-PSD-LDA برای اندازه گیری ریسک عملیاتی بانک های تجاری چینی

چکیده انگلیسی

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 paper puts forward a loss distribution approach (LDA) based on bootstrap sampling and piecewise-defined severity distribution (BS-PSD-LDA). The approach divides data samples into two distinct parts (high-frequency low-severity losses and low-frequency high-severity losses), and fits the two parts by lognormal distribution and Generalized Pareto distribution respectively. Using hand-collected samples of 426 operational losses in Chinese commercial banks during 1994–2010, we estimate the magnitude of operational losses using the BS-PSD-LDA method. We show that our method provides a better fit than the traditional parametric methods. Besides, the method using historical simulation of nonparametric method seems to offer a good fit to the sample as well. However, we believe that the BS-PSD-LDA approach offers improvement from the perspective of satisfying risk control requirement of the regulatory authority and ensuring the efficiency of funds' utilization.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.