Title :
Evaluating the Operational Risk of Chinese Personal E-Banking
Author :
Gao, Lijun ; Guo, Yanli
Author_Institution :
Manage. Sch., Shandong Univ. of Finance, Jinan, China
Abstract :
E-banking has become an important innovation to bank industry. Although it has some peculiar advantages, its risk seems more complexity and aggressiveness for its inherent nature. For Chinese e-banking, the most important risk is operational risk, which hinders the development and expansion of Chinese E-banking. Among the Chinese E-banking businesses, the losses of personal e-banking happen more frequently and badly affect the development of e-banking, so we study the operational risk of personal e-banking. We analyze the situation of operational risk of Chinese personal e-banking, and with the small loss data sample, use the peak-over-threshold method to evaluate the severity of the losses, the frequency of the excesses losses and expected shortfall under different confidence, simulate the annual operational loss of Chinese personal e-banking. The results seem credibility and reasonability with the tail test on excesses. The method gives a reference to answer the question that how much the operational risk of Chinese personal e-banking is.
Keywords :
Internet; Pareto distribution; bank data processing; risk analysis; Chinese personal e-banking; annual operational loss; bank industry; expected shortfall; generalized Pareto distribution; operational risk; p confidence; peak over threshold method; Banking; Indexes; Internet; Loss measurement; Risk management; Security; e-banking; expected shortfall; operational risk; peak-over threshold;
Conference_Titel :
E-Business and E-Government (ICEE), 2010 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-0-7695-3997-3
DOI :
10.1109/ICEE.2010.155