基于损失分布法的我国商业银行操作风险度量研究

发布时间：2018-03-01 16:33

本文关键词： 商业银行操作风险损失分布法风险资本蒙特卡洛模拟　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：操作风险是商业银行面临的主要风险之一,巴塞尔银行监管委员会将其与信用风险、市场风险并称为商业银行面临的三大风险,并且提出将操作风险纳入到最低资本监管要求。近年来,操作风险案件频发给商业银行带来巨大的经济和声誉损失,操作风险的计量和管理逐渐得到国内外银行界和监管机构的重视。对于商业银行来说,操作风险的度量是有效防范损失的重要前提。目前,对于操作风险的度量工作仍然处于探索阶段,《巴塞尔新资本协议》(Basel Ⅱ Accord)将操作风险资本的计量方法分为三类：基本指标法、标准法和高级计量法。同时鼓励国际活跃银行开发适合自身的高级计量法度量模型。我国商业银行操作风险计量工作的开展面临着一些困难,主要有损失数据库建设不完善,模型的应用性较低,缺乏规范化的操作风险事件处理流程等。本文选取高级计量法下的损失分布法作为我国商业银行操作风险的计量方法,这一方面是因为相对于基本指标法和标准法来说,高级计量法的风险敏感性更高,风险要求资本更少；另一方面对比于内部衡量法、记分卡法等其他高级计量法模型来说,运用损失分布法使商业银行考虑的损失数据更为全面,商业银行的自主性更高。本文按照以下结构进行展开：第一部分,绪论。详细论述了我国商业银行操作风险计量的研究背景和研究意义,简要概括了商业银行进行操作风险计量的国外研究现状和国内研究现状,并对国内外商业银行操作风险计量研究的特点进行了总结。第二部分,操作风险的特征及计量方法。首先介绍了操作风险的不同定义方法,并列举了英国银行家协会、巴塞尔银行监管委员会及银监会等主要金融机构对操作风险的定义。其次从损失规模、发生频率、业务性质和风险类型四方面对操作风险的分类做了简要描述。再次,按照巴塞尔委员会规定的计量方法对基本指标法、标准法和高级计量法的基本内容做了简要介绍。最后一节分析了每种方法的优缺点,并选取损失分布法作为本文度量操作风险的方法。第三部分,我国商业银行操作风险事件分布特征分析。该部分首先说明了本文选取操作风险事件的标准,包括时间、损失金额及风险分类三方面,并参照此标准选取了我国银行业从1994年到2012年19年间的共计369例操作风险事件。然后从时间分布和风险分布两个方面分析了我国商业银行操作风险事件的特征,并简要论述了其形成原因。第四部分,我国商业银行操作风险资本的损失分布模型计量。首先论述了损失分布模型的基本原理,然后对操作风险事件的发生频率和损失强度的常用分布做了介绍。本章最后一节运用损失分布法对我国商业银行操作风险损失数据进行实证分析,确定了基于不同置信水平下操作风险资本价值,并将结果与现阶段银监会公布的商业银行监管数据进行对比,并简要分析了产生差异的原因。第五部分,我国商业银行防范操作风险的建议。该部分对损失分布法在我国商业银行间的推广给出了相关的建议,并对我国商业银行操作风险管理提出了一些建议。
[Abstract]:Operational risk is one of the main risks faced by commercial banks, the Basel Committee on banking supervision and the credit risk, market risk and known as the three major risks faced by the commercial banks, and puts forward the operational risk into the minimum regulatory capital requirements. In recent years, the frequent cases of operational risk for commercial banks to bring huge economic and reputation losses. The measurement and management of operational risk gradually obtained the domestic and foreign banks and regulators pay more attention to. For commercial banks, operational risk measurement is an important prerequisite for effective prevention of loss. At present, the measurement operation risk is still in the exploration stage, "Basel NEW capital agreement > (Basel II Accord) measurement methods operation venture capital is divided into three categories: basic indicator approach, standardized approach and advanced measurement approach. At the same time to encourage international active banks development for advanced metering method itself The measurement model is faced with some difficulties in the measurement of operational risk in China's commercial banks, mainly due to the incomplete construction of the loss database, the low application of the model, and the lack of standardized operational risk event handling process.
This paper selects the loss distribution method under the advanced measurement approach as a measure method of operational risk of commercial banks in China, this is because the basic index method and standard method, risk sensitive AMA higher risk, requires less capital; on the other hand to compare the internal measurement approach, scorecard and other senior measurement model, the loss of data loss distribution method to commercial banks to consider more comprehensive, independent of commercial banks is higher.
This article is carried out according to the following structure:
The first part, the introduction discusses the operational risk measurement of commercial banks in our country the research background and significance, briefly summarized the operational risk measurement of commercial banks abroad and domestic research, and the domestic and foreign commercial banks operational risk measurement of the characteristics are summarized.
The second part, the characteristics and measurement of operational risk. It firstly introduces the different definitions of the operation risk, and lists the British bankers' Association, the Basel Committee on banking supervision and the CBRC and other major financial institutions on the definition of operational risk loss. Secondly from the scale, occurrence frequency, classification and nature of business risk type four aspects of operational risk a brief description. Thirdly, according to the measurement method by the Basel Committee on the basic content of the basic indicator approach, standardized approach and advanced measurement method are briefly introduced. The last section analyzes the advantages and disadvantages of each method, and the selection method of loss distribution method for the measurement of operational risk.
The third part, our country commercial bank operational risk events distribution analysis. The first part explains the selection of operational risk events, including the time, the amount of loss and the risk classification of three aspects, and the selection of China's banking industry from 1994 to 2012 19 years, a total of 369 cases of operational risk events and analysis with reference to this standard. The characteristics of China's commercial banks operational risk events from two aspects of time distribution and risk distribution, and briefly discusses the reasons for its formation.
The fourth part, the measurement of loss distribution model of operational risk capital of commercial banks in China. The paper discusses the basic principle of loss distribution model, then the operational risk events frequency and the loss of strength of normal distribution is introduced. The last section of this chapter, the empirical analysis of operational risk loss data of Chinese Commercial Bank loss distribution method to determine the operational risk capital value under different confidence level based on the comparison of the results with the data of commercial bank supervision at the present stage of China Banking Regulatory Commission released, and a brief analysis of the reasons for the differences.
The fifth part, suggestions for China's commercial banks to prevent operational risks. This part gives some suggestions on the promotion of loss distribution in China's commercial banks, and puts forward some suggestions for operational risk management of Chinese commercial banks.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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