The Correlation Research On Common Shock Model Of Banks' Operational Risk

For the banking area, the operational risk measurement has last for several decades. And theoperational risk has been considered as one of the three most important risks banking confrontedwith credit risk and market risk. Analysis of the characteristics of operational risk, we can found ittaking place almost every day in banks' operate. covered almost by all commercial bank businesslines and with great difficulty of measurement, by now still not a model can completely accuratemeasure of the size of the operational risk loss. In2004, Basel Ⅱ Accord the first time officiallydefined the operational risk and proposed three kinds of methods to measurement it, include BasicIndicator Approach, Standardized Approach and Advanced Measurement Approach. Use AdvancedMeasurement Approach to measure the operational risk is the trend of most of large commercialbanks, and for the most part of operational risk measurement research are still focus on it, becausebank uses this method could measure the operational risk on the basis of its own business feature,internal and external environment and risk management level to evaluate the risk conditionreasonable. So banks could count risk capital more accurate and prepare a good foundation for itssafety development, steady development and rapidly development.In the process of use Advanced Measurement Approach to measure the operational risk, Theproblem of correlation has not been very good solved. The correlation questions can be understoodas a kind of contagion effect,Risk may happen or at the same time not happen,If the risk does notoccur in a very long time, So the commercial Banks may get to ignore the existence of this kind ofrisk. But, once it outbreaks, it very dangerous. So according to the correlation problem of operationrisk, This paper analysis the causes of the operating risk nature and connotation in all aspects ofsystem of the existing measurement methods on top, and then followed the introduction ofoperational risk's correlation measurement. Point out the defects of use linear correlation coefficient.After that give the latest operation risk's correlation measurement, common shock model andCopula function. Finally, use the operational risk loss data published in2009by the BaselCommittee to carry out a empirical research. Combined with correlation measure of CommonShock model, Given a method of measure the correlation between the operation risk, it will givesome reference to the measure the correlation between the operation risk In the commercial bank.