An Improved Measurement Method of Operational Risk Based on Monte Carlo Simulation

被引：0

作者：

Mao, Yuxing ^{[1
]}

Zhang, Chenghong ^{[1
]}

Ling, Hong ^{[1
]}

机构：

[1] Fudan Univ, Sch Management, Shanghai 200433, Peoples R China

来源：

PROCEEDINGS OF 2013 6TH INTERNATIONAL CONFERENCE ON INFORMATION MANAGEMENT, INNOVATION MANAGEMENT AND INDUSTRIAL ENGINEERING (ICIII 2013) VOL 1 | 2013年

关键词：

operational risk; monte carlo simulation; loss distribution approach;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Operational risk measurement is one of the most important research areas of risk management in recent years. Compared with the traditional qualitative methods, quantitative measurement methods of operational risk will be more accuracy. In this paper, According to the Basel III advanced measurement approach, we generate the frequent and severity distribution from historic loss event data at first, then using Monte Carlo method to simulate the future loss distribution and computing the operational risk capital. Through the empirical experiments, the proposed method is better than the traditional methods

引用

页码：332 / 335

页数：4

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