基于AHP-模糊综合评判的我国商业银行操作风险研究

发布时间：2018-04-04 03:08

本文选题：商业银行　切入点：操作风险　出处：《山东财经大学》2012年硕士论文

【摘要】：商业银行作为现代社会经济发展的金融枢纽，时刻面临着多种风险。长期以来，国内外学者将主要精力放在商业银行面临的信用风险和市场风险研究上，而忽视了操作风险的存在。然而，近年来各国商业银行操作风险案例频发，并且每一次案发都给银行带来巨额损失，有的甚至直接导致银行倒闭，人们逐渐将视野转向这一伴随银行诞生而出现的古老风险。巴塞尔新资本协议也已把操作风险列为商业银行三大风险之一，并要求对其计算监管资本，这标志着国际金融界对操作风险管理的研究进入了一个新阶段。与国外相比，我国商业银行操作风险研究起步较晚，尤其在操作风险度量方法方面，由于我国商业银行早期防范操作风险意识淡薄并且一直未建立操作风险损失数据库，导致我国商业银行至今未找到一种适合自身情况的有效度量操作风险的模型。因此，寻找一种有效评估、度量我国商业银行操作风险的模型就显得尤为重要。本文正是基于此目的进行了相关研究。具体来讲，本文分为六章，主要内容如下：第一章，结合国内外商业银行操作风险案例，，阐述了操作风险给商业银行带来的危害，说明了防范商业银行操作风险的重要性，进而总结了本文的研究背景和研究意义。在此基础上，分别从操作风险识别、操作风险度量和操作风险管理控制三方面，概括归纳了国内外商业银行操作风险研究现状。最后，给出了本文研究方法和创新。第二章，首先阐述了操作风险在国内外的发展历程，从中发现我国商业银行操作风险同国外相比具有一些自己的特点，这主要是与我国上世纪所经历的特殊经济发展阶段有关。其次，归纳了国际上较为通用的几种操作风险定义，并结合我国商业银行自身特点提出了适合我国商业银行的操作风险定义。再次，分析了我国商业银行操作风险的特点。最后，根据我国商业银行操作风险特点，从宏观和微观两方面分析了操作风险的形成原因。第三章，首先提出了商业银行操作风险的识别程序以及国际上常用的几种操作风险识别方法即自我评估法、关键风险指标法和德尔菲法。其次，阐述了国际上采用较多的几种商业银行操作风险评估方法，即美国COSO内部控制框架、巴塞尔委员会内部控制系统评估框架、英国综合准则报告和操作风险记分卡法。再次，分析了几种国际上公认的比较好的操作风险度量方法，即基本指标法、标准法和高级计量方法。最后，分析了我国商业银行操作风险实际情况和特点，指出了我国商业银行操作风险度量的局限性。第四章，结合我国商业银行实际情况以及我国商业银行操作风险特点，提出操作风险指标体系的构建原则，并根据此原则构建了我国商业银行操作风险评价指标体系。第五章，从模糊综合评价模型入手，阐明了该模型的基本思想和原理，给出了建模的基本步骤以及几种权重确定方法。其中，鉴于层次分析法（AHP）确定权重的准确性和合理性，提出用AHP来确定模型中的指标权重。最后，根据前面章节中建立的操作风险评价指标体系，选取我国一家股份制商业银行华夏银行作为评价对象，利用模糊综合评价模型对该商业银行操作风险进行检验，并对检验结果进行了分析。最后，结合操作风险评价指标分析了华夏银行操作风险的管理现状。第六章，主要从提升商业银行员工素质、完善操作风险流程控制、加强商业银行信息系统建设、加强商业银行操作风险外部监管、完善商业银行内部控制机制和合理分配商业银行资本等几个方面阐述了我国商业银行操作风险管理的一些对策。本文在借鉴了国内外操作风险研究的方法基础上对商业银行操作风险进行了探索性研究。希望通过本文的写作，对我国商业银行操作风险的评估、度量和管理控制提供一些借鉴意义。
[Abstract]:As a financial hub of modern social and economic development , commercial banks face a variety of risks . For a long time , scholars at home and abroad focus on the credit risk and market risk research facing commercial banks , and neglect the existence of operational risks . However , the Basel 2 capital agreement has listed the operation risk as one of the three risks of commercial banks and demanded the calculation of regulatory capital , which marks the international financial community ' s research into operation risk management into a new stage .

Compared with the foreign countries , the research on the operation risk of commercial banks in China started relatively late , especially in terms of operational risk measurement methods . As a result , China ' s commercial banks have not found a model suitable for their own situation . Therefore , it is very important to find a model which is suitable for the operation risk of commercial banks in our country .

Chapter one , combining the operation risk cases of commercial banks at home and abroad , expounds the harm caused by operation risk to commercial banks , explains the importance of preventing the operation risk of commercial banks , and summarizes the research background and research significance of this paper . On the basis of this , the present situation of operational risk of commercial banks in China and abroad is summarized from the aspects of operational risk identification , operational risk measurement and operation risk management control . Finally , the research methods and innovations of this paper are given .

The second chapter introduces the development course of operational risk in China and abroad , and finds out that the operational risk of commercial banks in China has some characteristics compared with those of foreign countries . This is mainly related to the special economic development stage experienced in the last century . Secondly , it summarizes the characteristics of the operation risk of commercial banks in China . Finally , according to the characteristics of the operation risk of commercial banks in China , the reasons of the operation risk are analyzed from both macro and micro aspects .

In chapter 3 , the recognition procedure of the operational risk of commercial banks and the methods of self - assessment , key risk index and Delphi method commonly used in international commercial banks are put forward . Secondly , the methods of evaluating the operational risk of commercial banks , namely , the basic index method , the standard method and the advanced metering method , are analyzed . Finally , the practical situation and characteristics of the operation risk of commercial banks in China are analyzed , and the limitations of the measurement of the operational risk of commercial banks in China are pointed out .

Chapter four , combining the actual situation of commercial banks in China and the characteristics of the operation risk of commercial banks in China , puts forward the construction principle of operating risk index system , and constructs the evaluation index system of operation risk of commercial banks according to this principle .

In chapter 5 , starting from the fuzzy comprehensive evaluation model , the basic ideas and principles of the model are clarified , the basic steps of modeling and the methods of determining weights are given .

The sixth chapter expounds the countermeasures of the risk management of commercial banks in China mainly from the aspects of improving the staff quality of the commercial banks , perfecting the operation risk process control , strengthening the construction of the commercial bank information system , strengthening the external supervision of the operation risk of the commercial banks , perfecting the internal control mechanism of the commercial banks and the rational distribution of the capital of the commercial banks .

This paper studies the operational risk of commercial banks on the basis of the methods of operational risk research at home and abroad . It is hoped that through the writing of this paper , we can provide some reference for the evaluation , measurement and management control of the operation risk of commercial banks in China .

【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2;F224

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