商业银行操作风险度量与预警研究

发布时间：2018-10-15 08:26

【摘要】：本文首先从操作风险管理框架的研究、操作风险度量的研究、操作风险预警的研究等三个方面对有关商业银行操作风险的国内外研究文献进行了综述。在对有关操作风险的基础理论研究的基础上，提出了本文作者对操作风险的定义和分类。其次，对商业银行操作风险的管理框架进行了研究，提出了包括五个子系统、十八个功能模块在内的商业银行操作风险管理框架。接下来，对商业银行操作风险度量进行了研究，构建了基于三家上市商业银行的财务指标和其他经济指标的面板数据收入模型并进行了实证分析。最后，对商业银行操作风险的预警进行了研究，，以外源性风险和内源性风险为关键风险指标点、以七类操作损失事件类型为关键风险诱因构建贝叶斯网络预警模型并进行了实证分析。
[Abstract]:In this paper, the operational risk management framework, operational risk measurement, operational risk early warning research on the operational risk of commercial banks at home and abroad are reviewed. Based on the study of the basic theory of operational risk, this paper puts forward the definition and classification of operational risk. Secondly, the management framework of operational risk of commercial banks is studied, and the operational risk management framework of commercial banks including five subsystems and eighteen functional modules is put forward. Then, the paper studies the operational risk measurement of commercial banks, constructs a panel data income model based on the financial indicators and other economic indicators of three listed commercial banks, and makes an empirical analysis. Finally, the early warning of operational risks of commercial banks is studied, taking exogenous and endogenous risks as the key risk indicators. Taking seven types of operational loss events as the key risk inducement, the Bayesian network early warning model is constructed and the empirical analysis is carried out.
【学位授予单位】：中国矿业大学(北京)
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.2

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