A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === Because of the fast-developing of finance environment recently, the importance of risk management in banking business has been heightened. This article takes several commercial banks in Taiwan during the period from 1995 to 2009 as example, analyses the tails’ c...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40226989103920675150 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === Because of the fast-developing of finance environment recently, the importance of risk management in banking business has been heightened. This article takes several commercial banks in Taiwan during the period from 1995 to 2009 as example, analyses the tails’ characteristics of operational risk loss event. It measures the fat-tail loss by the POT model of EVT. We further use GARCH-EVT model to capture time varying feature of data, so that we can better understand the characteristic of operational risk.
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