Stress Testing of Commercial Banks' Operational Risk Based on Top-Down Model
Bibliographic record
Abstract
Operational Risk management is the main part of risk management of modern commercial banks.With the development of banking,the operational risk factors will be more complicated and improvement the opera-tional risk management level has been a key problem for Chinese commercial banks.According to the environmentof China's banking,this paper adopts Top-down method to measure operational risk.Using the quarterly data fromthe first quarter in 2003 to the third quarter in 2009,the paper calculates the average ratio of operational risk expo-sure to stock return and counts it as the benchmark of stress test.Further,the paper takes the data of the fourthquarter in 2009 into the model and calculates the ratio of residual value to stock return.The result shows that ratioof residual value to stock return varies obviously from time to time and the banks in China have higher operationalrisk exposure than we expected before.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.000 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".