The measurement of capital for operational risk in Taiwanese commercial banks

doi:10.21314/JOP.2010.076

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72300

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題名:	The measurement of capital for operational risk in Taiwanese commercial banks
其他題名:	台灣地區商業銀行作業風險資本評估
作者:	Lee, Wo-Chiang;Fang, Chiang-Jye
貢獻者:	淡江大學財務金融學系
關鍵詞:	Studies;Commercial banks;Risk management;Operating losses;Risk capital;Correlation analysis
日期:	2010-05
上傳時間:	2011-10-24 10:20:38 (UTC+8)
出版者:	London: Incisive Media Ltd.
摘要:	From the loss data associated with the significant operational risks of Taiwanese commercial banks during the period from 1995 to 2009, we collected a set of 323 observations to use for modeling and estimating tail parameters of the banks' operational loss distribution. By means of three copula functions, we calculated correlations between event pairs, tested for independence between different classifications of risk types in the Basel II framework and sought to understand the characteristics and concentration of commercial banks' operational risks. Further, we estimated parameters for the generalized Pareto distribution and compared its fit with those of standard parametric models. A bootstrap method was used to estimate confidence intervals for the parameter values. In addition, value-at-risk and expected shortfall calculations were performed. Our results provide important information that financial supervisory authorities can use when accounting for operational losses of commercial banks. This research also contributes to the measurement of operational risk capital for the banks.
關聯:	The Journal of Operational Risk 5(2), pp.79-102
DOI:	10.21314/JOP.2010.076
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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