A Study on Operational Risk and Credit Portfolio Risk Estimation Using Data Analytics*

• DOI: 10.1111/deci.12473
• Publication Date: 2020-07-23T15:07:20Z
• Authors: Rongda Chen; Ze Wang; Liu Yang; Chi To Ng; T.C.E. Cheng
• Keywords: Credit Portfolio Risk; Decision Making; 0502 economics and business; 05 social sciences; Data Analytics; Operational Risk Management; Simulation

ABSTRACT In this article we consider operational risk and use data analytics to estimate the credit portfolio risk. Specifically, situations in which managers need make optimal decision on total provision for hedge against potential entire supply chain. We build a new structural model integrated with analyze joint default of portfolio. Our enables maker better assess chain, so that they could determine decisions risk, react timely manner economic environmental changes. propose an efficient simulation method probability factors having multivariate t ‐copula. Moreover, develop three‐step importance sampling (IS) ‐copula measurement achieve accurate estimation tail loss distribution. apply Levenberg–Marquardt algorithm mean‐shift vector systematic after measure change. Besides, empirically examine changes risks 60 listed Chinese firms different industries using our proposed method. The results show can help hedges