A Modified Method of Measuring Operational Risk in Commercial Banks Based on Internal Control

被引：0

作者：

Li, Baobao ^{[1
]}

机构：

[1] Nanjing Univ Aeronaut & Astronaut, Coll Econ & Management, Nanjing, Jiangsu, Peoples R China

来源：

2015 2nd International Conference on Creative Education (ICCE 2015), Pt 1 | 2015年 / 10卷

关键词：

Operational risk; Risk measurement; Commercial banks; Modified method; Internal control;

D O I：

暂无

中图分类号：

G40 [教育学];

学科分类号：

040101 ; 120403 ;

摘要：

Operational risk covers all operations of commercial banks and spontaneously has a close relationship with internal control. The paper first analyzes the necessity and feasibility of modifying the measurement results of operational risk based on internal control. The paper uses Peak-over threshold (POT) model to measure operational risk, and then demonstrates a modified measurement method using the results of evaluating operational risk to modify the initial measurement results of POT model. The modified method embodies the effects of internal control, improves the accuracy and effectiveness of operational risk measurement and saves the economic capital for commercial banks, overcoming the drawbacks of simply relying on some mainstream measurement models.

引用

页码：484 / 491

页数：8