基于巴塞尔协议Ⅲ视角的商业银行操作风险管理研究

发布时间：2018-03-10 09:11

本文选题：商业银行　切入点：操作风险　出处：《福建农林大学》2013年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来，商业银行资产规模和业务范围的不断扩大，金融创新的加速和IT技术的更新换代，商业银行出现了越来越多的操作风险事件，操作风险的损失正日益增加。尤其是2008年全球金融危机中，实施《巴塞尔新资本协议》的银行表现不尽如人意，因操作风险引起的银行大案要案频频发生。为提高商业银行抵御金融风险的能力、更好地应对未来可能发生的金融危机、创建一个稳定的金融体系，巴塞尔委员会在2010年12月正式公布《巴塞尔协议Ⅲ》作为金融危机后加强银行风险管理的改革方案。该协议的实施将对我国的银行业带来严峻考验。尤其是在我国现阶段银行业并未真正建立起以资本和风险管理为核心的长效机制，普遍存在着效率低下、粗放式信贷管理模式等薄弱环节。值得关注的是商业银行操作风险事件频繁发生，所造成的损失更是触目惊心。但是直到2012年6月公布的《商业银行资本管理办法（试行）》才第一次针对性地指明了操作风险的资本要求，并指出需适宜提高操作风险资本要求，保证审慎监管资本要求。操作风险成为现阶段我国银行业风险管理最为薄弱的领域。因此，针对操作风险进行全面系统地研究有助力于提高我国商业银行的操作风险管理水平。本文从上述大背景出发，，首先从国内外商业银行操作风险的研究进行综合系统地分析，在此基础上对操作风险的定义、分类和《巴塞尔协议Ⅲ》下操作风险管理的规定进行综合整理；分别从操作风险的时间、类型、业务线和损失额等分布情况对我国商业银行现状进行探讨，并得出相关影响因素；对操作风险量化方法进行适用性分析，得出操作风险量化方法的应用选择，在此基础上，通过搜集到的数据利用基本指标法和基于面板数据的收入模型法对我国8家上市商业银行操作风险进行实证研究，得出约1.06%的净利润波动由操作风险引起的，为我国银行监管和银行内控决策提供了参考依据；对国外两家商业银行的操作风险进行案例研究，得出对我国商业银行适用的经验；最后，对提高我国商业银行操作风险管理的对策进行研究，提出了以下几项措施：建立良好的操作风险文化、加强内部控制体系的建设、健全操作风险管理框架、加大对控制操作风险方面的投入和完善银行业监管制度，为能够有效防范商业银行操作风险提供了依据。
[Abstract]:Since 1990s, with the continuous expansion of commercial bank assets and business scope, the acceleration of financial innovation and the upgrading of IT technology, more and more operational risk events have emerged in commercial banks. The loss of operational risk is increasing, especially in the global financial crisis of 2008, when the banks implementing the Basel New Capital Accord did not perform very well. In order to improve the ability of commercial banks to resist financial risks, to better cope with possible future financial crises, and to create a stable financial system, On December 2010, the Basel Committee officially announced Basel III as a reform plan to strengthen the risk management of banks after the financial crisis. The implementation of this agreement will bring a severe test to the banking industry of our country, especially in China. At this stage, China's banking industry has not really established a long-term mechanism with capital and risk management as the core. There are many weak links such as low efficiency, extensive credit management mode and so on. It is worth paying attention to the frequent occurrence of operational risk events in commercial banks. However, it was not until June 2012 that the measures on Capital Management of Commercial Banks (for trial implementation) specifically pointed out the capital requirements for operational risks, and pointed out that it was necessary to raise the capital requirements of operational risks. To ensure prudent supervision of capital requirements, operational risk has become the weakest area of banking risk management in China at present. Therefore, a comprehensive and systematic study on operational risk can help improve the level of operational risk management of commercial banks in China. Based on the above background, this paper firstly makes a comprehensive and systematic analysis of the operational risk of commercial banks at home and abroad, and then defines the operational risk. The classification and the regulations of operational risk management under Basel III are comprehensively arranged, and the present situation of commercial banks in China is discussed from the time, type, line of business and the amount of loss of operational risk, respectively. Based on the analysis of the applicability of the operational risk quantification method, the selection of the operational risk quantification method is obtained. By using the basic index method and the income model method based on panel data, the operational risk of 8 listed commercial banks in China is empirically studied. It is concluded that about 1.06% of the net profit fluctuation is caused by the operational risk. It provides a reference for the banking supervision and internal control decision of our country; carries on the case study to the foreign two commercial banks' operation risk, obtains the suitable experience to our country's commercial bank; finally, This paper studies the countermeasures to improve the operational risk management of commercial banks in China, and puts forward the following measures: to establish a good culture of operational risk, to strengthen the construction of internal control system, and to perfect the framework of operational risk management. Increasing investment in controlling operational risk and perfecting banking supervision system provide basis for effective prevention of operational risk of commercial banks.
【学位授予单位】：福建农林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

【参考文献】