NF银行广西分行操作风险问题研究

发布时间：2018-02-16 04:43

本文关键词： 银行操作风险收入模型风险度量　出处：《广西大学》2013年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,全球多家银行出现操作风险引发的损失事件,引起了银行业和研究学者的重视,2004年巴塞尔银行监管委员会将操作风险纳入全面风险控制体系,要求银行对操作风险连同信用风险和市场风险一起计算风险资本需求。本文首先综述了银行操作风险及度量方法研究,以实证分析的研究方法对NF银行广西分行操作风险程度进行度量。主要目的是通过度量NF银行广西分行的操作风险数值,分析NF银行广西分行操作风险的现状,找出风险产生的原因,并提出有效控制NF银行广西分行操作风险的对策和建议。本文首先概括介绍了操作风险定义和分类,巴塞尔委员会和中国银行业监督委员会关于操作风险管理的要求,并着重介绍了操作风险度量的各种模型。由于NF银行尚未建立操作风险损失数据库,操作风险本身又难以度量,他行数据也难以搜集到真实的损失数据。所以,本文选择自上而下模式中的基本指标法和收入模型法,总结国内外学者的研究经验,选取影响银行利润相关性较高并且可以利用公开途径获得数据的参数,对NF银行广西分行的操作风险进行了度量的实证分析。最后文章在度量的实证分析后对NF银行广西分行的操作风险管理提出了措施和建议。本文介绍和阐述了目前银行操作风险定性管理和定量的度量方法,重点介绍了高级计量方法,并按照收入模型要求计算操作风险资本,对于NF银行广西分行的操作风险管理具有一定的实用价值。
[Abstract]:Since 1990s, many banks around the world have suffered losses caused by operational risk, which has attracted the attention of banks and researchers. In 2004, the Basel Committee on Banking Supervision brought operational risk into the overall risk control system. Banks are required to calculate the demand for venture capital together with credit risk and market risk. The main purpose of this paper is to measure the operational risk of NF Bank Guangxi Branch by measuring the operating risk value of NF Bank Guangxi Branch, and to analyze the present situation of the operational risk of NF Bank Guangxi Branch. Find out the causes of the risk, and put forward the effective control of NF bank Guangxi Branch operational risk countermeasures and suggestions. First, this paper introduces the definition and classification of operational risk, The requirements of the Basel Committee and the China Banking Supervisory Committee on operational risk management are introduced, and various models of operational risk measurement are emphatically introduced. The operational risk itself is difficult to measure, and it is difficult to collect real loss data from other data. Therefore, this paper chooses the basic index method and the income model method in the top-down model to sum up the research experience of domestic and foreign scholars. Select the parameters that affect the profit correlation of the bank and can obtain the data through the open channel. This paper makes an empirical analysis on the operational risk measurement of NF Bank Guangxi Branch. Finally, after the empirical analysis of the measurement, the paper puts forward some measures and suggestions for the operational risk management of NF Bank Guangxi Branch. Qualitative and quantitative measures of operational risk in former banks, This paper mainly introduces the advanced measurement method, and calculates the operating risk capital according to the income model requirement, which has certain practical value for the operation risk management of NF Bank Guangxi Branch.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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