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Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence
المؤلفون المشاركون
Sun, Xiaolei
Zhu, Xiaoqian
Li, Jianping
Wu, Dengsheng
Gao, Lijun
Feng, Jichuang
Chen, Jianming
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-8، 8ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2014-02-25
دولة النشر
مصر
عدد الصفحات
8
التخصصات الرئيسية
الملخص EN
In loss distribution approach (LDA), the most popular approach in operational risk modeling, frequency dependence and loss distribution dependence across business lines are two dependences which banks should consider.
In practice, mainly for simplicity, many banks only model frequency dependence although they think that the impact of frequency dependence is insignificant.
In this study, two approaches, respectively, models frequency dependence and loss distribution dependence, are introduced.
Both approaches are modeled by copula function, which is capable of capturing nonlinear correlation.
Based on the most comprehensive operational risk dataset of Chinese banking as far as we know, the operational risk capital charge of the overall Chinese banking is calculated by the two approaches.
The results show that there is an obvious distinction between the capital calculated by modeling frequency dependence and the capital calculated by modeling loss dependence.
The approach with very limited attention exactly yields a much larger capital result.
So it is advised in this paper that banks should not just rely on the approach to modeling frequency dependence for it is natural and easy to deal with.
A safer and more effective way for banks is to comprehensively take the results of the two kinds of approach into consideration.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Li, Jianping& Zhu, Xiaoqian& Chen, Jianming& Gao, Lijun& Feng, Jichuang& Wu, Dengsheng…[et al.]. 2014. Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-469365
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Li, Jianping…[et al.]. Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence. Mathematical Problems in Engineering No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-469365
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Li, Jianping& Zhu, Xiaoqian& Chen, Jianming& Gao, Lijun& Feng, Jichuang& Wu, Dengsheng…[et al.]. Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-469365
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-469365
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر
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