The measurement of capital for operational risk in Taiwanese commercial banks
學年 98
學期 2
出版（發表）日期 2010-05-01
作品名稱 The measurement of capital for operational risk in Taiwanese commercial banks
作品名稱（其他語言） 台灣地區商業銀行作業風險資本評估
著者 Lee, Wo-Chiang; Fang, Chiang-Jye
單位 淡江大學財務金融學系
出版者 London: Incisive Media Ltd.
著錄名稱、卷期、頁數 The Journal of Operational Risk 5(2), pp.79-102
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.
關鍵字 Studies;Commercial banks;Risk management;Operating losses;Risk capital;Correlation analysis
語言 en
ISSN 1744-6740
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Lee, Wo-Chiang
審稿制度
國別 GBR
公開徵稿
出版型式 紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72300 )

機構典藏連結
SDGS 尊嚴就業與經濟發展,產業創新與基礎設施