关键词: 内部欺诈, 操作风险在险风险值, 全Paretian分布模型

Abstract: Internal fraud risk is a significant risk source for the banking industry in China. Using the loss data of internal fraud of Chinese commercial banks, we present a segmented distribution model through the choice of exact threshold. We use the Box-Cox change for the data less than the threshold, and a full Paretian distribution for the data greater than the threshold. Then we use the Bayesian methods to estimate the parameters of the full Paretian distribution. The object of this work is to present a full Paretian model for measuring the operational risk of a bank. The model is used to estimate the value-at-risk, economic capital and probable maximum loss. At last, proposals for Chinese commercial banks are given to avoid operational risks.

Key words: internal fraud, operational risk VaR, full paretian distribution