Banknii Uil Ajillgaani Ersdeliin Risk Matritsiin Argaar Unelj San Baiguulah Bolomj U.khishigdari-san-2013

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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))

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.

:

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

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3

81,831,663 111,156,503 165,165,129 119,384,431 15% 17,907,664

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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55

,

1. .. 2011,

, -,

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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, , :


19. 2011, , :


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

Documents

Banknii Uil Ajillgaani Ersdeliin Risk Matritsiin Argaar Unelj San Baiguulah Bolomj U.khishigdari-san-2013