经营环境和内控因素在Z银行操作风险管理中的运用研究

发布时间：2018-04-19 21:38

本文选题：经营环境和内控因素 + 银行　；参考：《华东师范大学》2015年硕士论文

【摘要】：近年来,西方银行对操作风险管理的重视程度日益提高,巴塞尔委员会作为银行风险管理标准的引领者,提出了一系列的管理思路和配套方法。2004年起中国监管当局为适应中国金融改革的需要,适时引入巴塞尔协议,要求我国商业银行基于资本约束的考虑提升银行管理水平。我国商业银行以监管导向为目标,在操作风险经济资本计量上,逐步从基本法进阶到标准法,并正在向高级法靠拢。业务经营环境和内部控制因素(BEICFs)是管理和计量操作风险的手段,也是新资本协议要求实施高级计量法的银行计算最低资本要求时必须使用的四种数据之一,具有调节、分配经济资本计量值的功能,在经济资本管理活动中具有非常重要的作用。笔者作为一名多年从事内控合规的银行基层管理人员,根据自身在实践中积累的经验,从商业银行内控及操作风险实践出发,对照以巴塞尔新资本协议和监管要求在中国银行的操作风险管理领域开展情况,采用实例分析的方法,就BEICFs在操作风险经济资本调节、分配方面的作用和实施策咯进行研究,实现了操作风险管理结果的量化统计和分配,为高级法AMA在我国商业银行的实施应用提供有益建议。全文共分为五个部分：第一部分为导论,阐述商业银行操作风险管理发展的整体背景,并总结相关学者在此领域的的研究和评述,最后描述了本文框架、特点和不足。第二部分首先介绍三种操作风险资本计量方法,重点比较高级法下几种计量模式,随后介绍业务经营环境与内部控制因素(BEICFs)的概念和作用,对银行操作风险经济资本的意义,以及BEICFs在业界的使用情况。第三部分介绍Z银行操作风险经济资本管理的模式,指出其中的不足,随后指出BEICFs工具的有益作用,能够解决Z银行存在的问题。第四部针对Z银行在操作风险管理中存在的不足,依照巴塞尔新资本协议要求,提出BEICFs的解决方案。第五部分使用Z银行2014年的实际数据,检验BEICFs方案的有效性,展示BEICFs打分卡体系与实际风险的较高匹配度,以及在改进操作风险经济资本管理的有益作用。
[Abstract]:In recent years, the western banks pay more and more attention to the operational risk management. The Basel Committee is the leader of the banking risk management standard. In order to meet the needs of China's financial reform, the Chinese regulatory authorities have introduced the Basel Accord at the right time since 2004, which requires Chinese commercial banks to improve the level of bank management based on the consideration of capital constraints. The commercial banks of our country take the supervision direction as the goal, step by step from the basic law to the standard law in the measurement of the operational risk economic capital, and are moving closer to the advanced law. The business environment and internal control factors (BEICFs) are a means of managing and measuring operational risks, as well as one of the four data that the new capital agreement requires banks to use to calculate the minimum capital requirements for the implementation of the Advanced Metrology Act. The function of allocating economic capital measurement value plays a very important role in economic capital management. As a junior bank manager who has been engaged in internal control compliance for many years, according to his own experience in practice, the author proceeds from the practice of internal control and operational risk in commercial banks. Compared with the new Basel Capital Accord and the regulatory requirements in the field of operational risk management of the Bank of China, using the method of case analysis, this paper studies the role and implementation of BEICFs in the economic capital regulation and allocation of operational risk. The quantitative statistics and distribution of operational risk management results are realized, and some useful suggestions are provided for the application of advanced AMA in commercial banks in China. The paper is divided into five parts: the first part is the introduction, which describes the overall background of the development of operational risk management in commercial banks, summarizes the research and comments of relevant scholars in this field, and finally describes the framework, characteristics and shortcomings of this paper. The second part first introduces three kinds of operational venture capital measurement methods, focusing on several measurement models under the advanced method, and then introduces the concept and function of business operation environment and internal control factors, and the significance to the bank operation risk economic capital. And the use of BEICFs in the industry. The third part introduces Z Bank's operation risk economic capital management mode, points out its deficiency, and then points out the beneficial role of BEICFs tool, which can solve the problems of Z Bank. In the fourth part, according to the requirements of New Basel Capital Accord, the solution of BEICFs is put forward in view of the deficiency of operational risk management in Z Bank. The fifth part uses the actual data of Z Bank in 2014 to test the validity of BEICFs scheme, to show the high matching degree between BEICFs scorecard system and actual risk, as well as the beneficial role in improving the economic capital management of operational risk.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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