Estimating Operational Risk of China's Commercial Bank Based on LDA

摘要

Loss Distribution Approach (LDA) is one of Advanced Measurement Approaches (AMA) for estimating operational risk. The approach first estimated the distribution of operational risk loss frequency and the distribution of loss size. Then we got the distribution of annual operational risk loss by using Monte Carlo simulation. At last we calculated the operational risk capital via the annual loss distribution. Lack of operational risk loss data for single Chinese commercial bank, this article viewed all the commercial banks of our country as a whole, and estimated operational risk of Chinaȁ9;s commercial banks by using LDA, then calculated the operational risk capital.