The Measurement Of IT Risk Of Commercial Banks

All kinds of business in modern commercial banks can not work well without the information technology (IT), with the development of it. But every coin has two sides, on the one hand, the IT brings convenience to banks, on the other hand, it also brings disasters to banks some time. In recent years, there are many news reported about IT system faults of banks.But commercial banks don’t pay enough attention to the disasters that caused by the IT system faults. As one of operational risk, the IT risk is becoming a real risk, but we lack effective models for it, and the research on it is qualitative analysis home and abroad. In this paper, we try to do some research on the IT risk in respect of quantitative analysis, an IT Risk+model and a MC-EVT algorithm are proposed, and we also did some empirical research on them.The paper is organized as follows:In chapter1, we introduce the background and meaning of the thesis, a thorough review of research at both home and abroad and research methods of the thesis, which provide basis for the following.In chapter2, we introduce IT risk of commercial banks, VaR, kurtosis and skewness, which are the basis knowledge of the paper.In chapter3, we introduce the Monte Carlo simulation which is an effective method to solve the VaR, the Extreme Value Theory which can solve the quantile of the distribution with fat tail, and the stress test.In chapter4, according to the Credit Risk+model, we developed the IT Risk+model which is suitable for the simulation of IT risk. At the same time, we proposed a MC-EVT algorithm based on the Monte Carlo simulation, the Extreme Value Theory, and the stress test.In chapter5, empirical research on models and algorithm with the collected data are described.In chapter6, conclusions and outlook of the paper are presented.In appendix, we put some important MATLAB program codes which are used to solve the model in the paper.