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operational risk assessment of third-party payment platforms:a case study of China

Financial Innovation 2022年第1期8卷 604-623页

作者： Yinhong Yao Jianping Li School of Management and Engineering Capital University of Economics and BusinessNo.121 Zhangjialukou RoadFengtai DistrictBeijing 10070China University of Chinese Academy of Sciences Beijing 100049China

operational risk events have severely impacted the development of third-party payment(TPP)platforms,and have even led to a discussion on the operational risk capital charge settlement by relevant international ***,prior studies have mostly focused on qualitative mechanism analysis,and have rarely examined quantitative risk assessment based on actual operational risk ***,this study attempts to assess the operational risk on TPP platforms in China by constructing a systematic framework incorporating database construction and risk ***,the operational risk database that covers 202 events between Q1,2014,and Q2,2020 is ***,specific causes are clarified,and the characteristics are analyzed from both the trend and loss severity ***,the piecewise-defined severity distribution based-Loss Distribution Approach(PSD-LDA)with double truncation is utilized to assess the operational *** main conclusions are drawn from the empirical ***,legal risk and external fraud risk are the two main causes of operational ***,the yearly Value at risk and Expected Shortfall are 724.46 million yuan and 1081.98 million yuan under the 99.9%significance level,*** results are beneficial for both TPP platform operators and regulators in managing and controlling operational risk.

关键词： Third-party payment(TPP) operational risk Loss distribution approach(LDA) Value at risk(VaR) Expected shortfall(ES)

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ASYMPTOTIC RESULTS FOR OVER-DISPERSED operational risk BY USING THE ASYMPTOTIC EXPANSION METHOD

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Journal of Systems Science & Complexity 2014年第3期27卷 524-536页

作者： LU Zhaoyang School of Science Engineering University of Chinese Armed Police Forces

In this paper, the author considers a new Loss-distribution-approach model, in which the over-dispersed operational risks are modeled by the compound negative binomial process. In the single dimensional case, asymptotic expansion for the quantile of compound negative binomial process is explored for computing the capital charge of a bank for operational risk. Moreover, when the dependence structure between different risk cells is modeled by the Frank copula, this approach is extended to the multi-dimensional setting. A practical example is given to demonstrate the effectiveness of approximation results.

关键词： Asymptotic expansion multivariate dependence operational risk over-dispersed valueat risk.

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operational risk Assessment:An ERM-POT Approach

Operational Risk Assessment:An ERM-POT Approach

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首届风险分析与危机反应国际学术研讨会

作者： LI Jianping~1 MENG Fanjun~2 GAO Lijun~3 ~1Institute of Policy & Management,Chinese Academy of Sciences,Beijing 100080,P.R.China ~2Economics school,Renmin University of China,Beijing 100872,P.R.China ~3 Management School,Shandong University of Finance,Jinan 250014,P.R.China

＜正＞Extreme value theory （EVT） has been proposed to the finance field more recently as a useful toolkit for analyzing the nonstandard （more precisely abnormal） data *** on the characteristic of operational losses of Chinese Commercial Banks, we presented an ERM-POT （Exponential Regression Model and the Peaks-Over-Threshold） method to measure the operational risk under the EVT framework As we know,it is important to choose the threshold in ***,selection of the threshold by Hill plot or mean excess function （MEF） may produce biased *** ERM-POT method can lead to bias-corrected estimators and techniques for optimal *** the ERM-POT,we select the optimal threshold,and then the value-at- risk （VaR） is obtained. The experiment results show the method is reasonable.

关键词： operational risk EVT POT ERM VaR

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A condition based power system operational risk assessment method

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Journal of Energy and Power Engineering 2009年第9期2卷 17-24,31页

作者： NING Liao-yi WU Wen-chuan ZHANG Bo-ming Department of Electrical Engineering Tsinghua UniversityBeijing 100084China

In this paper, some key problems about operational risk assessment are well analyzed. The time-varying and condition-based component outage model was proposed, which can reflect the changes of weather and other operation conditions. A rank enumeration based system state selection method was used to perform risk assessment. Then, the problem of operational risk index was also addressed. In the last part of paper, two groups of numeral tests were presented. The first one showed that the risk assessment results using component instantaneous unavailability, are quite different from the results using steady unavailability, and proves that component outage model with instantaneous unavailability should be used for operational risk assessment; The other one shows that the proposed time-varying component outage model can reflect the operation conditions＇ influences on the risk assessment results.

关键词： operational risk component instantaneous unavailability Markov process failure rate

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An Approach to Estimating operational risk in the Financial Industry

An Approach to Estimating Operational Risk in the Financial ...

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首届风险分析与危机反应国际学术研讨会

作者： Yundong Huang School of Foreign Languages Shanghai Jiao Tong University F0414102 Dongchuan Road 800 Shanghai 200240 China

＜正＞Analyzing operational risk in the financial industry,in this paper,we know that the risk is essentially *** current approach to estimating it, based on probability and statistics,is frustrating in practice where the assumptions and data would not satisfy the *** suggest a new approach to estimating the risk with uncertainties in phases,where the high uncertainty in a phase is to induce a high risk. The assumption for the new approach is that a company in the financial industry is able to control its action to avoid operational risk.

关键词： operational risk Basel Committee financial industry probability uncertainty

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Measure operational risk of Chinese Commercial Banks via Delta-POT Method

Measure Operational Risk of Chinese Commercial Banks via Del...

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首届风险分析与危机反应国际学术研讨会

作者： GAO Lijun~1 LI Jianping~2 WANG Shuping~3 MENG Fanjun~4 1 Management School, Shandong University of Finance, Jinan 250014, P.R.China 2 Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100080, P.R.China 3 The College of Economics and Business Administration, North China University of Technology, Beijing 100041, P.R.China 4 Economics school, Renmin University of China, Beijing 100872, P.R. China

＜正＞The operational risk management of Chinese commercial banks is preliminary and the sample of data loss is *** use Delta-POT method,a method overcoming the deficiency of operational data loss and dividing operational risks into expected loss and unexpected loss,to estimate the Chinese commercial operational *** simulate the supervised capital and the result is reasonable and *** also estimate internal capital collocation of different business lines, and the result is that commercial banking is the most significant one and needs *** spurs banks to improve operational data capture and operational risk management.

关键词： operational risk extreme value theory Delta-POT method capital collation

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Bound Dynamic Bayesian Network Classifierfor Enterprise operational risk Evaluation

Bound Dynamic Bayesian Network Classifierfor Enterprise Oper...

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2010 Chinese Control and Decision Conference

作者： Wang Shuang-Cheng~(1,2),Xu Guang-Lin~1,Shao Jun~3 1 School of Mathematics & Information,Shanghai Lixin University of Commerce,Shanghai,201620,China 2 Opening Economy & Trade Research Center,Shanghai Lixin University of Commerce,Shanghai,201620,China 3 School of Accounting and Finance,Shanghai Lixin University of Commerce,Shanghai,201620,China

＜正＞The current risk evaluation method general presumes mutually independent indexes at the same level and realizes class evaluation by 1 weighing sum and interval division of the *** in reality the indexes on the same level are not mutually independent and the relation bet different indexes is not *** nodes ordering and local scoring,the thesis tries to set up the bound dynamic Bayesian network clas Enterprise operational risk evaluation on the basis on such classifier can effectively avoid the aforesaid problems and provide new thoughts and me for intelligent and scientific risk evaluation of enterprise operation.

关键词： Bound Dynamic Bayesian Network risk Evaluation operational risk Structure Learning

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Supervision and Prevention of operational risk in Front Desk Business of Commercial Banks

Supervision and Prevention of Operational Risk in Front Desk...

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第三届教学管理与课程建设学术会议

作者： Weiguang Chen 1 , Shuxiu Yu 2 1 .Department of Economics and Management, Hubei Univercity Of Automotive Technology, Shi Yan, China,442002 2 .Department of Economics and Management, Hubei Univercity Of Automotive Technology, Shi Yan, China,442002

operational risk is the main risk that may arise in the banking industry. In this paper, based on description of several misunderstandings in operational risk of Commercial banks were, risk status quo and existing problems of front desk business of commercial banks were analysed. From the practical perspective, some suggestions were put forward to strengthen construction of bank operational risk monitoring and prevention system, especially strengthening the front desk operational risk prevention to improve the risk management in commercial banks.

关键词： Commercial bank operational risk financial monitor risk prevention

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风险相关性下的信用风险、市场风险和操作风险集成度量

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统计与精算 2010年第3期 18-25页

作者：李建平丰吉闯宋浩蔡晨

商业银行各种风险之间相关性的存在，对其整体风险的度量产生重要影响。本文针对商业银行的信用风险、市场风险和操作风险这三类主要风险，在考虑相关性基础上给出了风险集成过程，通过copula函数和蒙特卡洛模拟方法计算了商业银行的整... 详细信息

商业银行各种风险之间相关性的存在，对其整体风险的度量产生重要影响。本文针对商业银行的信用风险、市场风险和操作风险这三类主要风险，在考虑相关性基础上给出了风险集成过程，通过copula函数和蒙特卡洛模拟方法计算了商业银行的整体风险，同时研究了风险分散化效应和在不同copula函数下整体风险的变化情况。最后以主流文献中的数据做了实证分析，结果显示本文提出方法能够很好地描述风险损失之间的相关性，同时在能够抵御相同风险的情况下考虑相关性下的在险值与简单相加得到的在险值相比要小，这能为银行业提高资金利用率提供了一定的理论和方法依据。

关键词：风险相关性风险集成信用风险市场风险操作风险 Copula risk correlation risk integration credit risk market risk operational risk Copula

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国有商业银行内部控制对操作风险防范的影响研究

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金融与保险 2010年第10期 30-36页

作者：刘良灿张同建

操作风险的防范是国有商业银行风险防范的核心内容之一。内部控制是操作风险防范的现实性机制，而国有商业银行内部控制要素的功能具有不均衡性。风险识别与评估、制度执行与信息沟通对人员操作风险与流程操作风险的防范存在现实性的激... 详细信息

操作风险的防范是国有商业银行风险防范的核心内容之一。内部控制是操作风险防范的现实性机制，而国有商业银行内部控制要素的功能具有不均衡性。风险识别与评估、制度执行与信息沟通对人员操作风险与流程操作风险的防范存在现实性的激励功能。基于国有商业银行的样本数据，经验性的研究发现：在操作风险防范过程中，制度执行的激励功能较强，信息沟通发挥了一定的作用，而风险识别与评估的功能较弱。

关键词：国有商业银行内部控制操作风险信息沟通 state-owned commercial banks internal control operational risk information communication

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