CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory

Management of operational risk is of prime importance in risk management for commercial banks, and many theoretical and practical studies of operational risk management have been carried out. Conditional value-at-risk (CVaR) models based on the peak value method of extreme value theory are used here to measure operational risk. Loss data for commercial banks are used in an empirical analysis. Tests are carried out using a CVaR model to calculate VaR and CVaR at 95% and 99% confidence levels to assess expected and unexpected losses for operational risks.