CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory
نویسندگان
چکیده
Management of operational risk is of prime importance in riskmanagement for commercial banks, and many theoretical and practical studies of operational risk management have been carried out. Conditional value-at-risk (CVaR) models based on the peak value method of extreme value theory are used here tomeasure operational risk. Loss data for commercial banks are used in an empirical analysis. Tests are carried out using a CVaR model to calculateVaR andCVaRat 95% and99% confidence levels to assess expected andunexpected losses for operational risks. © 2012 Elsevier Ltd. All rights reserved.
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ورودعنوان ژورنال:
- Mathematical and Computer Modelling
دوره 58 شماره
صفحات -
تاریخ انتشار 2013