Abstract
Management of operational risk is of prime importance in risk management 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 to measure operational risk. Loss data for commercial banks are used in an empirical analysis. Tests are carried out using a CVaR model to calculate VaR and CVaR at 95% and 99% confidence levels to assess expected and unexpected losses for operational risks.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.