The Theory And Empirical Research On Measurement Of Operational Risk Of Commercial Bank Based On Extreme Value Theory

In recent years, the operational risk management of commercial banks has drawn great attention of banking, regulatory authority and the academic community, as operational risk events occurred frequently in financial institutions, especially in the banking sector. Researches on the credit risk management and the market risk management have been conducted for a long time and various mature theories and techniques have been proposed in those respects. However, research on the operational risk management is still in its infancy. The New Basel Capital Accord, issued by Basel Committee on Banking Supervision, presents the latest ideas of international banking supervision and the latest achievements of risk management, and especially it brings operational risk into the managerial framework of Minimum Capital Adequacy Requirement and puts forward a new claim of the measurement and management of operational risk of international banking.Since China accession to World Trade Organization, Chinese economy has been increasingly integrated into the world economy and China banking industry has been facing unprecedented opportunities and challenges. Meanwhile, with the gradual opening of China financial industry, the problem of operational risk has become increasingly serious. Chinese commercial banks are facing the situation that they must manage their operational risk in terms of the New Basel Capital Accord. It has become an important issue of how to raise the operational risk management level in China's banking industry. Research on the operational risk management of commercial banks in China is just at the very outset; therefore the study in this area will contribute to raise the operational risk management level of Chinese commercial banks, narrow their distance from international banks in the operational risk management, and enhance the core competitive edge of Chinese commercial banks. However, China doesn't really have the historical database for operational risks, since Chinese commercial banks do not attach importance to the operational risk management before, and this has become an obstacle for the study on the operational risk management.On the basis of a study on theories of operational risk management of commercial banks, this thesis analyses the formation mechanisms of operational risks in commercial banks. After a meticulous discussion of the measurement of operational risks and the extreme value theory, this thesis analyses and simulate the severity of...