An Empirical Study On The Economic Capital Requirement Of Operational Risk In Commercial Bank

Banking is a risky industry, so its core competitive ability is the risk evaluation and management. The level of risk management determines the profit ability of one bank and its surviving.In the recent years, the occurrence of a series of loss affairs gain the attention and recognition to operational risk management. Under this background, New Basel Accord, issued by Basel Committee, will bring operational risk into line with a managerial framework. According to the execution of the new accord, a new claim of measurement and management of bank risks including of operational risk can be put forward. As concerned as our country, with the deep development of economy-globaled and finance-internationalized, banking of our country will face the important opportunity that never appears. But, with the stepwise opening of finance, at the same time, the losses of commercial bank because of operational risk are increasing gradually. Learning international congratulations earnestly and according to vulgate game congratulations, we can supervise our banking business efficiently, and control financial risk. Those are significant for China banking business to achieve sustain, healthy and efficient management. Simultaneously, it is my original intention to choose the theme.The investigation object of this text is the operational risk of commercial bank. At the basis of statistics of Basel Risk Management Committee, this text does the demonstration investigation to the demand of the operational risk economic capital of commercial bank in the word. Due to the meaning of operational risk is the basis of effective management, this text defines the meaning of operational risk including of the definition, categories, traits and the relation between operational risk and credit risk, market risk. The second part of this text introduces the theoretic basis of operational risk economic capital demand. This part introduces the definition and function of economic capital firstly, introduces the measurements which aim at economic capital of operational risk specially; in the part of measurement, it introduces the development of measurements, and expatiates two main categories: bottom-up and top-down and brings forward one new method firstly——LDA and EVT compositive method; the forth part is demonstration analysis, this the hard core of this...