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	Calculation of operational loss distribution via Bayesian MCMC algorithm: Evidence from China's commercial banks
	Fei, Jin ; Wu, Jun ; Liu, Qiren ; Wu J(吴俊)
	2011
关键词	Algorithms Bayesian networks Commerce Inference engines Markov processes Risk perception
英文摘要	Conference Name:2011 International Conference on Business Computing and Global Informatization, BCGIn 2011. Conference Address: Shanghai, China. Time:July 29, 2011 - July 31, 2011.; This paper reviews the operational risk data of China's commercial banks from 1994 to 2008, and studies its type of distribution. In order to precisely capture the profile of the operational loss and event distribution of China's commercial banks, we select the operational risk loss distribution type with the Bayesian inference and test the GEV distribution on AIC and BIC standard. As closed-form solutions are not available for the operational risk distributions, we turn to the Bayesian MCMC algorithm for robust test on the selection. The result shows that with the increase of the iterations, the variance of estimated parameters becomes smaller, so we conclude that the operational risk loss distribution for China's commercial banks meets the Generalized Extreme Value (GEV) distribution. ? 2011 IEEE.
语种	英语
出处	http://dx.doi.org/10.1109/BCGIn.2011.22
出版者	IEEE Computer Society
内容类型	其他
源URL	[http://dspace.xmu.edu.cn/handle/2288/85664]
专题	经济学院－会议论文
推荐引用方式 GB/T 7714	Fei, Jin,Wu, Jun,Liu, Qiren,et al. Calculation of operational loss distribution via Bayesian MCMC algorithm: Evidence from China's commercial banks. 2011-01-01.

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