我国商业银行操作风险计量方法实证分析

发布时间：2019-02-17 15:17

【摘要】：20世纪以来,世界范围内国际活跃商业银行操作风险事件频频发生,而且带来的损失额往往比较巨大。本文以巴塞尔新协议的分类方法为基础,结合当前我国银行业务发展的实际情况,选取有代表性的先进银行,对操作风险计量方法进行实证分析,为我国商业银行选择操作风险计量方法提供参考,实证结果表明:我国商业银行可优先采用损失分布法进行操作风险计量;在确定使用损失分布法时可以考虑使用柯尔莫哥洛夫检验法检验样本符合何种分布;在确定符合何种分布时,可优先考虑是否符合广义帕累托分布。本文认为,我国银行应充分认识操作风险的危害性,增强防范意识;建立分工明确、责任清晰的分工制度;重视数据的积累和整理工作;建立适当的操作风险监测指标。
[Abstract]:Since the 20th century, the operational risk events of international active commercial banks have occurred frequently in the world, and the losses caused by them are often huge. Based on the classification method of the new Basel Accord and the actual situation of the development of banking business in our country, this paper selects the representative advanced banks to carry on the empirical analysis to the operational risk measurement method. The empirical results show that China's commercial banks can adopt the loss distribution method to measure the operational risk. In determining the loss distribution method, we may consider using the Kolmogorov test method to test the distribution of the sample, and in determining the distribution, we can consider whether it accords with the generalized Pareto distribution or not. This paper holds that the banks of our country should fully understand the harmfulness of operational risk, strengthen their awareness of prevention, establish a system of division of labor and clear division of responsibilities, attach importance to the accumulation and collation of data, and establish appropriate operational risk monitoring indicators.
【作者单位】：上海财经大学;
【基金】：国家自然科学基金项目(编号:70903046)、(编号:71073101) 上海市晨光计划项目(编号:2008CG42)的系列成果
【分类号】：F832.2

【相似文献】