基于收入模型的我国商业银行操作风险研究

发布时间：2018-01-11 14:12

本文关键词：基于收入模型的我国商业银行操作风险研究　出处：《湘潭大学》2012年硕士论文　论文类型：学位论文

【摘要】：商业银行作为以货币为经营对象的特殊企业，加强风险管理对其具有极其重要的意义。商业银行各项风险中人们最先意识到的是信用风险，之后随着银行投资活动日趋频繁，投资盈亏直接影响到银行的生死存亡，市场风险引起了银行的警惕。操作风险是最古老的风险之一，伴随着银行业务的诞生而存在。但是长期以来操作风险并没有引起银行管理者的重视。直到20世纪末期，大量由操作风险引发的银行损失事件频频发生，在全球范围内给许多金融机构造成了严重的经济损失，金融机构以及相关学者才将目光转移到操作风险的研究上来。2004年6月，巴塞尔银行监督委员会发布了《巴塞尔新资本协议》，将操作风险纳入风险资本计提的计算和监管框架之中，这也标志着金融界对风险管理进入一个全面的新时期。我国对操作风险的研究时间尚短，在我国银行业的实践中，对操作风险认识明显落后于信用风险、市场风险等常见性风险。长期以来我国缺乏对操作风险的系统性分析，在对操作风险的度量上也缺少适合我国国情的度量模型。在这种现状下，寻求有效的操作风险度量方法，量化和管理操作风险，减少操作风险损失对我国商业银行具有重要的现实意义。首先对我国商业银行的操作风险现状进行阐述，概括出我国商业银行操作风险的特点，并指出其主要存在的问题。接下来分别对国际上常用的基本指标法、标准法和高级计量法进行了阐述，并对各种度量方法进行比较分析，从中选取出最适合现阶段我国商业银行使用的度量模型——收入模型。对以往学者使用收入模型的研究情况进行分析，发现以往的收入模型存在一定缺陷，在分析了收入模型的原理和假设后对收入模型进行了调整。在实证部分，利用调整后的收入模型对我国九家商业银行数据进行对比分析，在实证的基础上得出各家银行的绝对操作风险总值。由于绝对操作风险总值与银行净利润的方差息息相关，而各家银行净利润不同会造成银行净利润的方差存在差异，，所以如果仅仅采用绝对操作风险总值来衡量银行操作风险具有一定的片面性。故不仅利用绝对操作风险总值，还采用了相对操作风险总值指标——操作风险占比（v）来对我国商业银行的操作风险进行度量。最后，根据实证结果从操作风险管理和操作风险度量两个角度来对我国商业银行提出一些建议。
[Abstract]:As a special enterprise with money as its business object, it is of great significance to strengthen risk management for commercial banks. Credit risk is the first risk in commercial banks. After that, with the bank investment activities becoming more and more frequent, investment profit and loss directly affect the survival or death of the bank, market risk has aroused bank vigilance. Operational risk is one of the oldest risks. With the birth of banking business, however, the operational risk has not attracted the attention of bank managers for a long time. Until the end of 20th century, a large number of bank losses caused by operational risk occurred frequently. In the global scope to many financial institutions caused serious economic losses, financial institutions and related scholars turned their attention to the study of operational risk. June 2004. The Basel Committee on Banking Supervision has issued the Basel New Capital Accord, which brings operational risk into the calculation and regulatory framework of risk capital accounting. It also marks a comprehensive new era for risk management in the financial world. The research time of operational risk in our country is still short. In the practice of banking in our country, the understanding of operational risk is obviously lagging behind the credit risk. Market risk and other common risk. For a long time, our country lacks systematic analysis of operational risk, and also lacks a measurement model suitable for China's national conditions in the measurement of operational risk. It is of great practical significance for Chinese commercial banks to seek effective operational risk measurement, quantify and manage operational risk and reduce operational risk loss. First of all, the current situation of operational risk of commercial banks in China is expounded, the characteristics of operational risks of commercial banks in China are summarized, and the main problems are pointed out. Standard method and advanced metrology method are expounded, and various measurement methods are compared and analyzed. Select the most suitable for the present stage of our commercial banks to use the measurement model-income model. To previous scholars using the income model analysis, found that the previous income model has some defects. After analyzing the principle and hypothesis of the income model, we adjust the income model. In the empirical part, we use the adjusted income model to compare and analyze the data of nine commercial banks in China. On the basis of empirical analysis, the absolute operating risk value of each bank is obtained, because the absolute operating risk value is closely related to the variance of bank net profit. The variance of bank net profit will be different because of the difference of bank net profit. Therefore, if only the absolute operational risk gross value to measure the operational risk of banks has a certain one-sidedness, so not only use the absolute operating risk total value. We also use the index of relative operational risk, the proportion of operational risk, to measure the operational risk of commercial banks in China. Finally. According to the empirical results, this paper puts forward some suggestions to Chinese commercial banks from the aspects of operational risk management and operational risk measurement.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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