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

被引：15

作者：

Yao, Fengge ^{[1
]}

Wen, Hongmei ^{[1
]}

Luan, Jiaqi ^{[1
]}

机构：

[1] Harbin Univ Commerce, Financial Coll, Harbin 50028, Peoples R China

来源：

MATHEMATICAL AND COMPUTER MODELLING | 2013年 / 58卷 / 1-2期

关键词：

Peak value method of extreme value theory; Operational risks; CVaR measurement model;

D O I：

10.1016/j.mcm.2012.07.013

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Management of operational risk is of prime importance in risk management 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 to measure operational risk. Loss data for commercial banks are used in an empirical analysis. Tests are carried out using a CVaR model to calculate VaR and CVaR at 95% and 99% confidence levels to assess expected and unexpected losses for operational risks. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：15 / 27

页数：13

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