banknii uil ajillgaani ersdeliin risk matritsiin argaar unelj san baiguulah bolomj...
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Banknii uil ajillgaani ersdeliin risk matritsiin argaar unelj san baiguulah bolomj U.Khishigdari-san-TRANSCRIPT
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5 Jack L.King 2001 : EVT , . EVT . , .
1Alexander J.McNeil, (1999),Extreme value theory for risk managers
2Alexander J.McNeil & Thomas Saladin, (1997), The Peaks Over Threshold Method for Estimating High Quantiles of Loss Distribution
-
2013
6
3 Bocker, Kupelberg 2002 VAR . .
1 Antoine Frachot, Thierry
Roncalli Eric Salomon
2003 , LDA Loss Distribution Approach .
7 V. Chavez-Demoulen,
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2004 EVT , POT Peaks over threshold .
8 Reumer Kuhn, Peter Neu 2004 , . .
6 Nicolas Baud, Antoine
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All first Finincial 691 . House Finance 484
7Junji Hivatashi, Hiroshi Ashida (2002) Advancing operational risk management using Japanese banking 8 www..erisk.com http://www.erisk.com/Learning/CaseStudies
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Bank of New York 2001 9 11 140
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15Basel Committee on Banking Supervision Operational Risk 2001
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23
The Standardized Approach(TSA): 8
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2013
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Eviews (logit model) .
(Logit Model)-
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(1) (0) 174, 368
. .
Y = 1-@CLOGISTIC(-(C(1) + C(2)*A1 + C(3)*A4 + C(4)*B1 + C(5)*D1 + C(6)*D2 +
C(7)*D3 + C(8)*E2 + C(9)*E4 + C(10)*F2 + C(11)*G2 + C(12)*H1 + C(13)*I1 +
C(14)*I2 + C(15)*I3 + C(16)*I4))
:
Y = 1-@CLOGISTIC(-(-3.2 + 4.1*A1 + 2.9*A4 + 5.6*B1 - 3.7*D1 - 5.3*D2 + 6*D3 +
2*E2 + 1.2*E4 - 4*F2 - 6*G2 + 7.8*H1 - 10.8*I1 - 9.8*I2 - 9.7*I3 - 3.5*I4))
95%-
. 1 Eviews
, Prob 0.05-
.
McFadden R-squared 0.76 76%
.
:
-
2013
45
24.
Prob.
C -3.168003 0.0403
1 A1 4.066751 0.0008
5- A4 2.860247 0.0502
18-25 B1 5.611018 0.0001
D1 -3.719044 0.0087
D2 -5.322781 0.0020
D3 6.040453 0.0001
E2 1.975397 0.0276
E4 1.230459 0.2892
F2 -3.985476 0.0061
G2 -6.043941 0.0001
H1 7.757866 0.0000
50-80 I1 -10.76712 0.0000
80-100 I2 -9.755620 0.0000
100-120 I3 -9.654056 0.0000
120-140 I4 -3.524052 0.0118
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Residual Actual Fitted
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2013
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2009 .
2010 .
2011 .
3
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9,433,139 12,655,448 18,213,204 13,339,930 15% 2,000,989
188,892 171,063 12,346 124,100 15% 18,615
5,819,115 6,540,276 20,530,083 10,963,158 15% 1,644,473
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-
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( 1 % )
-
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55
,
1. .. 2011,
, -,
2. .. 2006, ,
3. .. 2009, ,
,
1. George H. Hempel, Dolald G. Simonson, 1999, Bank management,5th ed, John
Wiley & Sons. Inc, United States of America
2. Marcelo Cruz. 2004, Operational Risk Management, John Wiley & Sons. Inc,
Australia
3. Carol Alexander, 2003, Operational risk, Financial Times Prentice Hall, United
States of America
,
4. Alexander J.McNeil. 1999, Extreme value theory for risk managers
5. Alexander J.McNeil & Thomas Saladin. 1997, The Peaks Over Threshold
Method for Estimating High Quantiles of Loss Distribution
6. Junji Hivatashi, Hiroshi Ashida. 2002, Advancing operational risk management
using Japanese banking
7. Operational risk. 2004, International fraud
8. Paul Embrechts & Johanna Neslehova, Quantitative Method for operational
Risk
9. Jack L.King & Genoa limited. 2001, Operational risk: EVT Models
10. Silvan Ebother & Alexander McNeil. 2003, Operational Risk: A Practitioners
View
,
11. ., . (2010),
12. . (2011),
-
2013
56
13. . (2012),
14. Basel Committee on Banking Supervision Operational Risk 2001. : http://www.bis.org/publ/bcbsca07.pdf
15. 2012, : http://tugal.blog.gogo.mn/read/entry367549
16. 2006, . : http://www.mongolbank.mn/documents/regulation/bankersdel.pdf
17. 2009, , :
http://golomtbank.com/uploads/users/2-admin/Annual_Report2009_mon.pdf
18. 2010, , :
http://golomtbank.com/uploads/users/2-admin/Annual_Report2010_mon.pdf
19. 2011, , :
http://golomtbank.com/uploads/users/2-admin/Annual_Report2011_mon.pdf
-
2013
57
:
Dependent Variable: Y
Method: ML - Binary Logit (Quadratic hill climbing)
Date: 05/20/13 Time: 15:33
Sample: 1 348
Included observations: 348
Convergence achieved after 7 iterations
Covariance matrix computed using second derivatives
Variable Coefficient Std. Error z-Statistic Prob.
C -3.168003 1.544715 -2.050865 0.0403
A1 4.066751 1.217748 3.339567 0.0008
A4 2.860247 1.460656 1.958194 0.0502
B1 5.611018 1.474873 3.804409 0.0001
D1 -3.719044 1.417199 -2.624221 0.0087
D2 -5.322781 1.718827 -3.096753 0.0020
D3 6.040453 1.516855 3.982222 0.0001
E2 1.975397 0.896599 2.203211 0.0276
E4 1.230459 1.160851 1.059963 0.2892
F2 -3.985476 1.452025 -2.744770 0.0061
G2 -6.043941 1.532992 -3.942577 0.0001
H1 7.757866 1.631451 4.755193 0.0000
I1 -10.76712 1.973347 -5.456271 0.0000
I2 -9.755620 1.942728 -5.021609 0.0000
I3 -9.654056 2.182262 -4.423876 0.0000
I4 -3.524052 1.399073 -2.518848 0.0118
McFadden R-squared 0.764849 Mean dependent var 0.500000
S.D. dependent var 0.500720 S.E. of regression 0.214204
Akaike info criterion 0.417943 Sum squared resid 15.23325
Schwarz criterion 0.595056 Log likelihood -56.72205
Hannan-Quinn criter. 0.488455 Restr. log likelihood -241.2152
LR statistic 368.9863 Avg. log likelihood -0.162994
Prob(LR statistic) 0.000000
Obs with Dep=0 174 Total obs 348
Obs with Dep=1 174