我国商业银行操作风险计量研究
发布时间：2018-11-27 15:38
【摘要】：随着全球经济加速融合、金融创新日趋活跃、信息科技不断变革,操作风险在近年来屡屡成为全球银行业的“明星人物”,操作风险管理受到了空前重视。当前,中国银行业的操作风险管理尚处于起步阶段,与巴塞尔新资本协议要求和国际先进做法相比仍存在较大差距。针对这一现状,如何通过计量与管理的有机结合来寻求中国商业银行操作风险管理的“最佳实践”,就成为了本文尝试研究和解决的关键问题。 本文共分五个章节。第一章系统阐述了操作风险的研究背景,对操作风险的描述性定义和分类型定义进行了梳理,介绍了巴塞尔新资本协议对操作风险管理的定性和计量要求以及后续研讨,并在对国内外操作风险研究现状进行文献综述基础上,对操作风险的概念和定义特征进行了全面阐述。 第二章主要对国内银行业操作风险管理现状进行了分析,对国内银行业操作风险事件进行了整理分析,指出国内银行业操作风险管理的瓶颈,进一步论述了国内银行业内部控制管理和操作风险管理的衔接和互动,国内银行业推进操作风险管理的难点所在。 第三章通过对国外活跃银行和国内银行业操作风险实践的差异比较,并以上海为例,从单体机构操作风险管理水平的横向比较分析以及操作风险管理体系环节分析等入手,指出国内银行业操作风险的时代和体制特征,通过国内外银行业操作风险管理的对比研究,得出国内银行业操作风险管理的症结所在。 第四章着重对银行业操作风险资本计量进行了实证研究,在对巴塞尔新资本协议提出的操作风险计量方法进行分析基础上,本章节结合国内银行业操作风险资本计量实践,提出国内银行业实施高级计量法应采取三步走的总体路径,第一步实施内部度量法；第二步实施损失分布法；第三步实施极值理论法,这既是国内银行业操作风险资本计量的现实之举,也是理论与实践紧密结合的可操作途径。 第五章主要通过历史数据,对三步走的资本计量方法进行实证分析和拟合检验,对高级计量法建模中可能遇到的数据和模型挑战进行了分析并提出相应对策,在大量损失数据的基础上,通过建模分析,对内部度量法和损失分布法进行探索性的实证演示,得出三步走的路径具有实践可行性。本章同时指出,计量方法固然重要,尚需相配套的管理措施作为手段,共同提高操作风险资本计量的管理环境机制。
[Abstract]:With the acceleration of global economic integration, financial innovation is becoming more and more active, information technology is constantly changing, operational risk has repeatedly become a "star" of global banking in recent years, and operational risk management has received unprecedented attention. At present, the operational risk management of China's banking industry is still in its infancy, and there is still a big gap compared with the requirements of the Basel New Capital Accord and the international advanced practices. In view of this situation, how to seek the "best practice" of operational risk management of Chinese commercial banks through the organic combination of measurement and management has become the key problem to be studied and solved in this paper. This paper is divided into five chapters. The first chapter systematically expounds the background of operational risk research, combs the descriptive definition and classification definition of operational risk, introduces the qualitative and quantitative requirements of the Basel New Capital Accord on operational risk management, and further studies. Based on the literature review of operational risk research at home and abroad, the concept and definition characteristics of operational risk are expounded. The second chapter mainly analyzes the current situation of domestic banking operational risk management, analyzes the domestic banking operational risk events, and points out the bottleneck of domestic banking operational risk management. The paper further discusses the connection and interaction between internal control management and operational risk management in domestic banking industry, and the difficulties in promoting operational risk management in domestic banking industry. The third chapter compares the practice of operational risk between foreign active banks and domestic banks, and takes Shanghai as an example, starting with the horizontal comparative analysis of operational risk management level of individual institutions and the analysis of operational risk management system. This paper points out the times and institutional characteristics of domestic banking operational risk, and through the comparative study of domestic and foreign banking operational risk management, obtains the crux of domestic banking operational risk management. The fourth chapter focuses on the empirical study on the measurement of operational risk capital in banking industry. Based on the analysis of the operational risk measurement method proposed by the Basel New Capital Accord, this chapter combines the practice of operational risk capital measurement in domestic banking industry. The paper points out that the domestic banking industry should take the overall path of three steps to implement the advanced metrology law, and the first step is to implement the internal measurement method. The second step is to carry out the loss distribution method, and the third step is to implement the extreme value theory, which is not only a practical measure of domestic banking operation risk capital, but also an operational approach that combines theory with practice. The fifth chapter mainly through the historical data, carries on the empirical analysis and the fitting test to the three-step capital measurement method, has carried on the analysis to the data and the model challenge which may meet in the advanced metrology modeling, and has proposed the corresponding countermeasure. On the basis of a large amount of loss data, through modeling and analysis, the internal measurement method and the loss distribution method are demonstrated empirically, and it is concluded that the three-step path is practical and feasible. At the same time, this chapter points out that the measurement method is important, but it is necessary to improve the management environment mechanism of the operational risk capital measurement by using the corresponding management measures as the means.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2
本文编号：2361313
[Abstract]:With the acceleration of global economic integration, financial innovation is becoming more and more active, information technology is constantly changing, operational risk has repeatedly become a "star" of global banking in recent years, and operational risk management has received unprecedented attention. At present, the operational risk management of China's banking industry is still in its infancy, and there is still a big gap compared with the requirements of the Basel New Capital Accord and the international advanced practices. In view of this situation, how to seek the "best practice" of operational risk management of Chinese commercial banks through the organic combination of measurement and management has become the key problem to be studied and solved in this paper. This paper is divided into five chapters. The first chapter systematically expounds the background of operational risk research, combs the descriptive definition and classification definition of operational risk, introduces the qualitative and quantitative requirements of the Basel New Capital Accord on operational risk management, and further studies. Based on the literature review of operational risk research at home and abroad, the concept and definition characteristics of operational risk are expounded. The second chapter mainly analyzes the current situation of domestic banking operational risk management, analyzes the domestic banking operational risk events, and points out the bottleneck of domestic banking operational risk management. The paper further discusses the connection and interaction between internal control management and operational risk management in domestic banking industry, and the difficulties in promoting operational risk management in domestic banking industry. The third chapter compares the practice of operational risk between foreign active banks and domestic banks, and takes Shanghai as an example, starting with the horizontal comparative analysis of operational risk management level of individual institutions and the analysis of operational risk management system. This paper points out the times and institutional characteristics of domestic banking operational risk, and through the comparative study of domestic and foreign banking operational risk management, obtains the crux of domestic banking operational risk management. The fourth chapter focuses on the empirical study on the measurement of operational risk capital in banking industry. Based on the analysis of the operational risk measurement method proposed by the Basel New Capital Accord, this chapter combines the practice of operational risk capital measurement in domestic banking industry. The paper points out that the domestic banking industry should take the overall path of three steps to implement the advanced metrology law, and the first step is to implement the internal measurement method. The second step is to carry out the loss distribution method, and the third step is to implement the extreme value theory, which is not only a practical measure of domestic banking operation risk capital, but also an operational approach that combines theory with practice. The fifth chapter mainly through the historical data, carries on the empirical analysis and the fitting test to the three-step capital measurement method, has carried on the analysis to the data and the model challenge which may meet in the advanced metrology modeling, and has proposed the corresponding countermeasure. On the basis of a large amount of loss data, through modeling and analysis, the internal measurement method and the loss distribution method are demonstrated empirically, and it is concluded that the three-step path is practical and feasible. At the same time, this chapter points out that the measurement method is important, but it is necessary to improve the management environment mechanism of the operational risk capital measurement by using the corresponding management measures as the means.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2
【参考文献】
相关期刊论文 前3条
1 李志辉;范洪波;;商业银行操作风险损失数据分析[J];国际金融研究;2005年12期
2 武剑;;经济资本配置与操作风险管理[J];海南金融;2007年03期
3 阎庆民;蔡红艳;;商业银行操作风险管理框架评价研究[J];金融研究;2006年06期
，本文编号：2361313
本文链接：https://www.wllwen.com/guanlilunwen/bankxd/2361313.html
