我国商业银行操作风险测量及其应用

发布时间：2018-09-01 17:47

【摘要】：自从巴塞尔新资本协议把操作风险纳入计提资本金中后，操作风险的测量与管理引起国际银行界的重新重视，因此，国内外学者开始从操作风险的度量模型及操作风险的管理等方面进行研究。在我国，近年来商业银行操作损失事件频频发生，损失金额巨大，如何有效的预防和管理操作风险日益成为我国商业银行面临的主要课题之一，而操作风险的准确度量是有效管理操作风险的前提条件，因此，正确合理的对我国商业银行操作风险的研究以及测量，不仅可以指导我国商业银行合理提取资本金，而且可以为银行监管人员管理操作风险时提供有价值的政策参考，最终提高我国商业银行的抗风险能力和综合竞争力。本文结合国内商业银行发展实际情况主要从四个方面对我国商业银行操作风险进行研究：首先，利用收集的数据统计分析国际及国内商业银行操作风险形成机理及发展现状。发现国内操作风险有如下特征：导致商业银行操作风险产生的首要特征是人致型，具体行为包括内部欺诈和内外勾结欺诈的欺诈行为、违规操作和金融腐败；商业银行业务中的操作风险事件发生频率和损失额均是最高的；损失事件发生主要集中在全国股份制银行和国有四大银行。其次，结合我国商业银行操作风险的发展现状，对我国商业银行操作风险测量方法进行数理分析，同时对目前文献中存在的操作风险测量法进行分析比较，表明极值理论法的合理性，并设定损失频率服从泊松分布，损失金额服从广义帕累托分布。再次，建立我国商业银行操作风险的测量模型。根据收集的相关数据建立我国商业银行操作风险合适的损失额分布模型，并测量风险。利用矩估计法估计出损失频率模型；利用平均余值图确定阈值，估计出广义帕累托分布模型参数，最后分别计算出一年时间里，在99.9%置信水平下，操作风险的最大损失额为1.5810万亿元，在此基础上计算得到非预期的最大损失额为2.5万亿元。最后，根据操作风险的测量结果直接提取操作风险的最大损失额为资本金的最小值。在一年时间里，保证99.9%抵御非预期的操作风险所需的最小资本金为2.5万亿元。基于上述研究，本论文提出如下相应建议：（1）做好关于人为因素的内部管理政策。（2）加强银行内部管理制度建设，完善业务流程操作。（3）加强外部监管，加快国有商业银行体制改革。（4）补足银行资本金，，探索操作风险保险。（5）完善信息披露，积累数据，研发模型。（6）完善计算机网络系统功能。
[Abstract]:Since the Basel New Capital Accord incorporated operational risk into the capital, the measurement and management of operational risk has attracted renewed attention from the international banking community. Scholars at home and abroad began to study the measurement model of operational risk and management of operational risk. In China, the operational losses of commercial banks have occurred frequently in recent years, and the amount of losses is huge. How to effectively prevent and manage operational risks has become one of the main issues facing commercial banks in China. The accuracy of operational risk is the prerequisite for effective management of operational risk. Therefore, the correct and reasonable study and measurement of operational risk of commercial banks in China can not only guide Chinese commercial banks to reasonably withdraw capital. Moreover, it can provide valuable policy reference for bank supervisors to manage operational risks, and finally improve the ability of resisting risks and comprehensive competitiveness of commercial banks in China. In this paper, the operational risks of commercial banks in China are studied from four aspects according to the actual situation of the development of domestic commercial banks: first of all, Based on the collected data, the formation mechanism and development status of operational risk in international and domestic commercial banks are analyzed. It is found that domestic operational risk has the following characteristics: the primary characteristic of commercial bank operational risk is human nature, the concrete behavior includes fraud of internal fraud and collusion of internal and external fraud, illegal operation and financial corruption; The frequency of operational risk events and the amount of losses are the highest in the commercial bank business, and the loss events mainly occur in the joint-stock banks and the four state-owned banks. Secondly, according to the development of the operational risk of commercial banks in China, the paper makes a mathematical analysis of the operational risk measurement methods of commercial banks in China, and analyzes and compares the existing operational risk measurement methods in the current literature. It is shown that the extreme value theory is reasonable, and the loss frequency is set from Poisson distribution and the loss sum from the generalized Pareto distribution. Thirdly, the measurement model of operational risk of commercial banks in China is established. According to the relevant data collected, the appropriate loss distribution model of operational risk of commercial banks in China is established, and the risk is measured. The loss frequency model is estimated by the moment estimation method, the threshold value is determined by the average residual value graph, the parameters of the generalized Pareto distribution model are estimated, and the parameters of the generalized Pareto distribution model are calculated respectively in one year, at 99.9% confidence level. The maximum loss amount of operational risk is 1.581 trillion yuan, and the unexpected maximum loss amount is 2.5 trillion yuan. Finally, the maximum loss of operational risk is the minimum value of capital according to the measured results of operational risk. In one year, the minimum capital required to insure 99.9% against unexpected operational risks was 2.5 trillion yuan. Based on the above research, this paper puts forward the following corresponding suggestions: (1) to do a good job of internal management policies on human factors; (2) to strengthen the construction of internal management system of banks, and to perfect the operation of business processes; (3) to strengthen external supervision. Accelerate the reform of state-owned commercial bank system. (4) make up the bank capital, explore operational risk insurance. (5) perfect information disclosure, accumulate data, research and develop model. (6) perfect the function of computer network system.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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