我国商业银行操作风险的度量及控制研究

发布时间：2018-08-28 07:10

【摘要】：操作风险是伴随着商业银行与生俱来的风险,但我国银行业从理论和实践中都对此比较陌生。长期以来,我国银行业对操作风险认识、管理和控制还处在较低的水平上。2005年,银监会制订下发了《关于加大防范操作风险工作力度的通知》,我国商业银行才‘逐步重视对操作风险的管理。论文通过对操作风险的发生机制、识别、度量及控制方面的研究,有助于社会各界加深对商业银行操作风险的认识,为我国商业银行从体制和技术层面全方位地实施操作风险管理提供了有益的帮助。实证部分为银行相关利益者借助公开渠道获得的数据快速计算操作风险值提供了基本方法和衡量标准,这对我国商业银行确定适度的资本金、健全的操作风险管理体制和开发更先进的管理系统具有非常重要的现实意义。论文对操作风险的研究,采用规范分析和实证分析相结合的方法,主要研究以下四个方面：(1)操作风险的发生机制。运用心理学相关理论、博弈论模型重点讨论了操作风险发生过程中“人”的动机；(2)操作风险的识别。阐述了操作风险的识别标准和关键风险指标法；(3)操作风险的度量。具体介绍了基本指标法(Basic indicator approach)、标准法(Standardized approach)、高级计量法(advanced measurement approach)和其他一些操作风险度量模型；(4)操作风险的控制。论文阐述了控制的目的性、保险和外包技术在实际控制中的应用。得出以下结论：(1)操作风险管理应引起商业银行的足够重视；(2)商业银行治理操作风险应该多管齐下,单从某一方面治理只能是徒劳。
[Abstract]:Operational risk is the inherent risk of commercial banks, but the banking industry in our country is relatively unfamiliar in theory and practice. For a long time, China's banking industry is still at a low level in terms of understanding, management and control of operational risks. The CBRC has issued the notice on strengthening the Prevention of operational risks, and the commercial banks in China have gradually attached importance to the management of operational risks. Through the research on the occurrence mechanism, identification, measurement and control of operational risk, this paper is helpful to deepen the understanding of operational risk in commercial banks. It provides beneficial help for Chinese commercial banks to carry out operation risk management from the system and technology level. The empirical part provides a basic method and measurement standard for the bank stakeholders to quickly calculate the operating risk value through the data obtained through the open channels, which determines the appropriate capital for the commercial banks in our country. It is very important to perfect the operational risk management system and develop more advanced management system. This paper mainly studies the following four aspects: (1) the occurrence mechanism of operational risk by the combination of normative analysis and empirical analysis. Based on the theory of psychology, the game theory model focuses on the motivation of "human" in the process of operating risk. (2) the identification of operational risk. The identification criteria of operational risk and the key risk index method are expounded. (3) the measurement of operational risk. The basic index method (Basic indicator approach), standard method (Standardized approach), advanced measurement method (advanced measurement approach) and some other operational risk measurement models are introduced. (4) operational risk control. The purpose of control and the application of insurance and outsourcing technology in practical control are expounded. The conclusions are as follows: (1) operational risk management should be paid enough attention to by commercial banks; (2) the management of operational risks of commercial banks should be multi-pronged, and it is futile to govern from one aspect alone.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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