Operational Risk Measurement Model For Commercial Banks Based On Copula And Its Application

BaselⅡ clearly proposed that the operational risks should be measured and regulated.Following the credit risk and market risk, the operational risk had become one of themain risks faced by the commercial banks.First of all, POT model which was the most importment model in EVT wasused to improve LDA in this paper, then the loss distribution and VaR of InternalFraud and External Fraud has been respectively obtained. As we all know, InternalFraud and External Fraud were the two main types of Chinese commercialbank’s operational risk. The above approach can effectively capture the fat-tail ofloss, simultaneously it follows the law of provision for the venture capital; secondly,in order to facilitate comparative analysis, this paper construct dependence betweenInternal Fraud and External Fraud by three kinds of Copula, and then calculate thejoint distribution and VaR of them; furthermore, with the empirical research, thispaper had a conclusion that the VaR is lowered by more than11%by using ofGumbel Copula model, which means that the banks can hold less capital requirementand the liquidity of funds can be guaranteed.