Operational Risk Measurement and Stress Tests:An Empirical Study of Banking Industry in Taiwan

• Main Authors: Yi-Hong Chen, 陳奕宏
• Other Authors: Min-Sun Horng
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/67759422188427624805

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 103 === The purpose of this study was to investigate the operational risk loss estimation in Taiwan’s banking, including VaR and capital adequacy. Secondly, using the estimated banks’ operational risk loss data, this study examines a scenario analysis and stress testing. The results of scenario analysis and stress testing, can be provided to and clearly communicated and understood by senior managers, directors of Boards and other shareholders. Last, considering the relationship between stress testing results and individual firm characteristics, the study uses logistic regression to examine the significant impact factors of capital adequacy failure of operational risk.