Title: Stress Testing of Commercial Banks' Operational Risk Based on Top-Down Model
Abstract: Operational Risk management is the main part of risk management of modern commercial banks.With the development of banking,the operational risk factors will be more complicated and improvement the opera-tional risk management level has been a key problem for Chinese commercial banks.According to the environmentof China's banking,this paper adopts Top-down method to measure operational risk.Using the quarterly data fromthe first quarter in 2003 to the third quarter in 2009,the paper calculates the average ratio of operational risk expo-sure to stock return and counts it as the benchmark of stress test.Further,the paper takes the data of the fourthquarter in 2009 into the model and calculates the ratio of residual value to stock return.The result shows that ratioof residual value to stock return varies obviously from time to time and the banks in China have higher operationalrisk exposure than we expected before.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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