The Measurement Of Operational Risk Of Commercial Bank In China

Recently, domestic and overseas have accrued many loss events which belongs to the Operational Risk(OR), this indicates that the banking is confronted with huge hidden loss. "the New Basel Capital Accord" encompass OR in time, it requires the bank to collocate capital for OR through measuring it in Pillars 1, and there is three methods to measure OR. In our country, the operational loss event of Internal Fraud (IF) is notable. Almost the form of IF is collusion of inner and outer. IF has the character of low frequency and high severity. IF had brought huge loss, we must manage it through collocate capital for it. The author try to collect loss events which belongs to the Operational Risk of IF, and use the POT model of EVT which is suitable for the distribution who has thick tail to measure the Operational Risk of IF. Itmeasure VaR_99.9% and ES_99.9% through POT model, if we deduct the daily reserve, then we can get the Supervisory Capital for Operational Risk of IF. If the supervisory is enough, then the bank will resist this kind OR. At last, there is some proposes. If the commercial bank want to management OR through measurement, the bank must establish loss database of each business line, it must adopt different method, which is fit for itself ,for different kinds of OR, so the collocation of capital for the bank will be improved.