International Symposium on Information Engineering and Electronic Commerce, 3rd (IEEC 2011)
62 An Empirical Analysis on Measurement of Operational Risk Based on Income Model and Model of Basic Indicator Approach
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- Ris (Zotero)
- Reference Manager
Operational risk is one of the top three risks with which commercial banks are faced and the operational risk measurement is the core of operational risk management. This paper establishes an Income Model based on Top-down Approach to measure the operational risks of Pudong Development Bank and China Merchants Bank by using quarterly data ranging from the first quarter of 2002 to the second quarter of 2010. After comparing the outcome obtained from a model of Basic Indicator Approach, the conclusions are drawn that Income Model is much accurate than model of Basic Indicator Approach and the two banks' proportion of operational risk are accordant with acquirement of the international industry respectively. Besides, the management level of operational risk in China Merchants Bank is higher than that in Pudong Development Bank.