The Operational Risk Measurement Study Of China's Commercial Banks Based On VaR

More and more operational risk loss events of commercial banks cumber thedevelopment of commercial banks, and they make the researchers attach importance to theoperational risk management. Because the international research on it appeared late, mostfinancial organizations measure the operational risk in the primary phase. The research in ourcountry is lag, and most researchers just introduce the theory in the field, being short of thepractical application of measurement techniques.So we should strengthen the research on the operational risk measurement of China'scommercial banks. According to the loss events data, we calculate the VaR of the operationalrisk under different believe levels, and get the regulatory capital for the commercial banks. Itcan keep away the operational risk beforehand, and reduce the infection caused by it.The commercial banks in our country have not paid attention to the collection of the data, and they have not built the database of them, so the paper collects more and more operationalrisk loss events from the literatures. According to the different characters of the operationalrisk, we divide the operational risk into two kinds: operational risk with low frequency buthigh danger and operational risk with high frequency but low danger, and measure them indifferent ways. For the operational risk with low frequency but high danger, we use POTmethod of Extreme Value Theory. We calculate the threshold via MSE and goodness of fit, and estimate the distributing by GPD. Calculating the VaR and ES by the model under 99.9%can get the regulatory capital for the operational risk with low frequency but high danger ofChina's commercial banks. For the other one, we measure the it by the Monte Carlosimulation and GM(1, 1). We estimate the frequency by the model of GM(1, 1), and estimatethe loss amounts by the Monte Carlo simulation. According to the threshold, we calculate thecritical probability in the original stylebook, and get the VaR under this level, which is thenumber of regulatory capital for the operational risk with high frequency but low danger.Using the two numbers, we can calculate the total regulatory capital for the operational risk ofChina's commercial banks. In the end, we introduce the main information techniques we haveused in the study of operational risk, including the software and program made by myself.