Review on Treatment Methods for Heterogeneity of External Data in Operational Risk Measurement

DOI

10.2991/icmcm-16.2016.106How to use a DOI?

Keywords

Operational Risk; Measurement; External Data; Heterogeneity

Abstract

With implement the bottom-up approach to measure operational risk of commercial banks, external loss data must be incorporated to supplement insufficient of internal loss data. But the main limitation of utilizing external data is the apparent heterogeneity in the data. To improve the accuracy of measurement results, it's necessary to find out optimal ways to pool internal and external data. This paper reviews literatures regarding the methods to deal with the external data, and puts forward problems for further research: data collection standard into the database, incorporation standard of external data, and how to combined scenario analysis and business environment and internal control factors

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Kun Song
AU  - Xiaoqian Liu
PY  - 2016/12
DA  - 2016/12
TI  - Review on Treatment Methods for Heterogeneity of External Data in Operational Risk Measurement
BT  - Proceedings of the 2016 7th International Conference on Mechatronics, Control and Materials (ICMCM 2016)
PB  - Atlantis Press
SP  - 551
EP  - 554
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmcm-16.2016.106
DO  - 10.2991/icmcm-16.2016.106
ID  - Song2016/12
ER  -