The Measurement of Operational Risk Based on CVaR: a Decision Engineering Technique

摘要

In recent years, operational risks in Decision Engineering attract so much attention from the bank industry that Basel Committee includes it in the risk capital and considers it as a part of inspection criteria. According to its own traits, Conditional-Value-at-Risk model based on Peak Value Method of Extreme Value Theory is employed in the measurement of operational risks. Based on these results, strategies such as the provision of risk reserves, the allocation of economic capital, insurance and outsourcing are adopted in the control and management of operational risks.