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Maximum entropy method (MEM) is the traditional approach to estimate interbank exposure matrix, which is the key to assess contagion effect in banking system. Recently, a new transfer entropy method (TEM) is proposed to estimate interbank exposure matrix. This paper employs the two approaches to estimate interbank exposure matrix of Chinese banking system, and then simulate the contagion process given...
This paper develops a methodology to aggregate the market, credit and operational risk and derive the economic capital. While the data is obtained by mapping the profit & loss items of income statement into risk types, the dependence structure between the risks is modeled through the combination of mutual information and copulas, which enables to capture both linear and non-linear dependence...
E-banking has become an important innovation to bank industry. Although it has some peculiar advantages, it also has some inevitable risks. For domestic e-banks, the most important risk is operational risk. We analyze the situation of operational risk of domestic e-banks, and with the small loss data sample, use the two-stage method to combine statistic methods and peak-over-threshold method to simulate...
In the Basel II Accord, banks are encouraged to use the Advanced Measurement Approach (AMA), which is suitable for banks to assess operational risk capital, but banks are required to demonstrate their ability to capture severe tail loss events. In this paper, based on the 860 operational risk loss data of Chinese commercial banks collected from public reports from 1995 to 2006, we found that the sample...
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