Simulation Research Of Senior Measurement Models Of Operational Risk

Under the influence of the revolution of the financial systems around the world, the business management rules have continuously changed and developed, meanwhile the probability of extreme emergency which can cause significant threat increased, as so, the commercial bank are facing the rising operational risk. In such environment of domestic and outside, to measure the commercial bank’s operational risk reasonably can not only enhance the bank’s competitiveness, but also can increase its inner-control level and make it adapt to the regulatory requirements rapidly, so it is a irreversible trend to exploit suitable operational risk measurement methods. This research mainly discuss and research the measurements of operational risk of China commercial bank, gathering254loss events data between1994-2009, and use the loss distribution method based on Monte carlo model and Extreme value theory to measure and simulate the operating risk.This paper introduces the definition classification and characteristics of the operational risks, analyze its performance and causes, summarizes series of measurement methods, mainly compares the application and differences of LDA and EVT。After the theory introduction, try to use the loss distribution method based on Monte carlo model and Extreme value theory to measure and simulate the operating risk. It can be realized that in LDA, the happening probability of operational risk loss events obey weibull distribution and the loss strength obey lognormal distribution. The average of overall loss amount is6.2337e+005, while standard deviation is 1.9824e+006, also the VaR under99.9%is2451.7billion yuan, if the bank want to cover and prevent the operational risk,then the regulatory capital should be2389.4billion yuan. In a other POT models, it can be realized the VaR is1931.1billion yuan, which is less than that under LDA methods.