Estimating Operational Risk of China´s Commercial Bank Based on LDA

Author

Li Baobao ; Yanfeng, Wang

Author_Institution

Sch. of Econ. & Manage., Nanjing Univ. of Aeronaut. & Astronaut., Nanjing, China

fYear

2010

fDate

7-9 May 2010

Firstpage

4001

Lastpage

4004

Abstract

Loss Distribution Approach (LDA) is one of Advanced Measurement Approaches (AMA) for estimating operational risk. The approach first estimated the distribution of operational risk loss frequency and the distribution of loss size. Then we got the distribution of annual operational risk loss by using Monte Carlo simulation. At last we calculated the operational risk capital via the annual loss distribution. Lack of operational risk loss data for single Chinese commercial bank, this article viewed all the commercial banks of our country as a whole, and estimated operational risk of China´s commercial banks by using LDA, then calculated the operational risk capital.

Keywords

Monte Carlo methods; banking; risk analysis; China commercial bank; Monte Carlo simulation; advanced measurement approaches; annual loss distribution; loss distribution approach; operational risk capital; operational risk estimation; operational risk loss frequency; Decision support systems; Electronic government; China´s commercial banks; Loss Distribution Approach (LDA); Monte Carlo simulation; Operational Risk;

fLanguage

English

Publisher

ieee

Conference_Titel

E-Business and E-Government (ICEE), 2010 International Conference on

Conference_Location

Guangzhou

Print_ISBN

978-0-7695-3997-3

Type

conf

DOI

10.1109/ICEE.2010.1004

Filename

5591594