Lu, Zhaoyang - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 4, pp. 604-616
In this paper, we explore the loss data collection exercise for operational risk in Chinese commercial banks from 1999 to first half of 2006. Firstly, the above data are bootstrapped to analyze the capital allocation for a medium-scaled commercial bank in China. Secondly, for every selected...