發(fā)布時間：2018-03-01 16:33

  本文關(guān)鍵詞： 商業(yè)銀行 操作風(fēng)險 損失分布法 風(fēng)險資本 蒙特卡洛模擬　出處：《東北財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：操作風(fēng)險是商業(yè)銀行面臨的主要風(fēng)險之一,巴塞爾銀行監(jiān)管委員會將其與信用風(fēng)險、市場風(fēng)險并稱為商業(yè)銀行面臨的三大風(fēng)險,并且提出將操作風(fēng)險納入到最低資本監(jiān)管要求。近年來,操作風(fēng)險案件頻發(fā)給商業(yè)銀行帶來巨大的經(jīng)濟(jì)和聲譽(yù)損失,操作風(fēng)險的計量和管理逐漸得到國內(nèi)外銀行界和監(jiān)管機(jī)構(gòu)的重視。對于商業(yè)銀行來說,操作風(fēng)險的度量是有效防范損失的重要前提。目前,對于操作風(fēng)險的度量工作仍然處于探索階段,《巴塞爾新資本協(xié)議》(Basel Ⅱ Accord)將操作風(fēng)險資本的計量方法分為三類：基本指標(biāo)法、標(biāo)準(zhǔn)法和高級計量法。同時鼓勵國際活躍銀行開發(fā)適合自身的高級計量法度量模型。我國商業(yè)銀行操作風(fēng)險計量工作的開展面臨著一些困難,主要有損失數(shù)據(jù)庫建設(shè)不完善,模型的應(yīng)用性較低,缺乏規(guī)范化的操作風(fēng)險事件處理流程等。 本文選取高級計量法下的損失分布法作為我國商業(yè)銀行操作風(fēng)險的計量方法,這一方面是因?yàn)橄鄬τ诨局笜?biāo)法和標(biāo)準(zhǔn)法來說,高級計量法的風(fēng)險敏感性更高,風(fēng)險要求資本更少；另一方面對比于內(nèi)部衡量法、記分卡法等其他高級計量法模型來說,運(yùn)用損失分布法使商業(yè)銀行考慮的損失數(shù)據(jù)更為全面,商業(yè)銀行的自主性更高。 本文按照以下結(jié)構(gòu)進(jìn)行展開： 第一部分,緒論。詳細(xì)論述了我國商業(yè)銀行操作風(fēng)險計量的研究背景和研究意義,簡要概括了商業(yè)銀行進(jìn)行操作風(fēng)險計量的國外研究現(xiàn)狀和國內(nèi)研究現(xiàn)狀,并對國內(nèi)外商業(yè)銀行操作風(fēng)險計量研究的特點(diǎn)進(jìn)行了總結(jié)。 第二部分,操作風(fēng)險的特征及計量方法。首先介紹了操作風(fēng)險的不同定義方法,并列舉了英國銀行家協(xié)會、巴塞爾銀行監(jiān)管委員會及銀監(jiān)會等主要金融機(jī)構(gòu)對操作風(fēng)險的定義。其次從損失規(guī)模、發(fā)生頻率、業(yè)務(wù)性質(zhì)和風(fēng)險類型四方面對操作風(fēng)險的分類做了簡要描述。再次,按照巴塞爾委員會規(guī)定的計量方法對基本指標(biāo)法、標(biāo)準(zhǔn)法和高級計量法的基本內(nèi)容做了簡要介紹。最后一節(jié)分析了每種方法的優(yōu)缺點(diǎn),并選取損失分布法作為本文度量操作風(fēng)險的方法。 第三部分,我國商業(yè)銀行操作風(fēng)險事件分布特征分析。該部分首先說明了本文選取操作風(fēng)險事件的標(biāo)準(zhǔn),包括時間、損失金額及風(fēng)險分類三方面,并參照此標(biāo)準(zhǔn)選取了我國銀行業(yè)從1994年到2012年19年間的共計369例操作風(fēng)險事件。然后從時間分布和風(fēng)險分布兩個方面分析了我國商業(yè)銀行操作風(fēng)險事件的特征,并簡要論述了其形成原因。 第四部分,我國商業(yè)銀行操作風(fēng)險資本的損失分布模型計量。首先論述了損失分布模型的基本原理,然后對操作風(fēng)險事件的發(fā)生頻率和損失強(qiáng)度的常用分布做了介紹。本章最后一節(jié)運(yùn)用損失分布法對我國商業(yè)銀行操作風(fēng)險損失數(shù)據(jù)進(jìn)行實(shí)證分析,確定了基于不同置信水平下操作風(fēng)險資本價值,并將結(jié)果與現(xiàn)階段銀監(jiān)會公布的商業(yè)銀行監(jiān)管數(shù)據(jù)進(jìn)行對比,并簡要分析了產(chǎn)生差異的原因。 第五部分,我國商業(yè)銀行防范操作風(fēng)險的建議。該部分對損失分布法在我國商業(yè)銀行間的推廣給出了相關(guān)的建議,并對我國商業(yè)銀行操作風(fēng)險管理提出了一些建議。
[Abstract]:Operational risk is one of the main risks faced by commercial banks, the Basel Committee on banking supervision and the credit risk, market risk and known as the three major risks faced by the commercial banks, and puts forward the operational risk into the minimum regulatory capital requirements. In recent years, the frequent cases of operational risk for commercial banks to bring huge economic and reputation losses. The measurement and management of operational risk gradually obtained the domestic and foreign banks and regulators pay more attention to. For commercial banks, operational risk measurement is an important prerequisite for effective prevention of loss. At present, the measurement operation risk is still in the exploration stage, "Basel NEW capital agreement > (Basel II Accord) measurement methods operation venture capital is divided into three categories: basic indicator approach, standardized approach and advanced measurement approach. At the same time to encourage international active banks development for advanced metering method itself The measurement model is faced with some difficulties in the measurement of operational risk in China's commercial banks, mainly due to the incomplete construction of the loss database, the low application of the model, and the lack of standardized operational risk event handling process.
This paper selects the loss distribution method under the advanced measurement approach as a measure method of operational risk of commercial banks in China, this is because the basic index method and standard method, risk sensitive AMA higher risk, requires less capital; on the other hand to compare the internal measurement approach, scorecard and other senior measurement model, the loss of data loss distribution method to commercial banks to consider more comprehensive, independent of commercial banks is higher.
This article is carried out according to the following structure:
The first part, the introduction discusses the operational risk measurement of commercial banks in our country the research background and significance, briefly summarized the operational risk measurement of commercial banks abroad and domestic research, and the domestic and foreign commercial banks operational risk measurement of the characteristics are summarized.
The second part, the characteristics and measurement of operational risk. It firstly introduces the different definitions of the operation risk, and lists the British bankers' Association, the Basel Committee on banking supervision and the CBRC and other major financial institutions on the definition of operational risk loss. Secondly from the scale, occurrence frequency, classification and nature of business risk type four aspects of operational risk a brief description. Thirdly, according to the measurement method by the Basel Committee on the basic content of the basic indicator approach, standardized approach and advanced measurement method are briefly introduced. The last section analyzes the advantages and disadvantages of each method, and the selection method of loss distribution method for the measurement of operational risk.
The third part, our country commercial bank operational risk events distribution analysis. The first part explains the selection of operational risk events, including the time, the amount of loss and the risk classification of three aspects, and the selection of China's banking industry from 1994 to 2012 19 years, a total of 369 cases of operational risk events and analysis with reference to this standard. The characteristics of China's commercial banks operational risk events from two aspects of time distribution and risk distribution, and briefly discusses the reasons for its formation.
The fourth part, the measurement of loss distribution model of operational risk capital of commercial banks in China. The paper discusses the basic principle of loss distribution model, then the operational risk events frequency and the loss of strength of normal distribution is introduced. The last section of this chapter, the empirical analysis of operational risk loss data of Chinese Commercial Bank loss distribution method to determine the operational risk capital value under different confidence level based on the comparison of the results with the data of commercial bank supervision at the present stage of China Banking Regulatory Commission released, and a brief analysis of the reasons for the differences.
The fifth part, suggestions for China's commercial banks to prevent operational risks. This part gives some suggestions on the promotion of loss distribution in China's commercial banks, and puts forward some suggestions for operational risk management of Chinese commercial banks.

【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33

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