【摘要】：自從巴塞爾新資本協(xié)議把操作風(fēng)險(xiǎn)納入計(jì)提資本金中后，操作風(fēng)險(xiǎn)的測(cè)量與管理引起國際銀行界的重新重視，因此，國內(nèi)外學(xué)者開始從操作風(fēng)險(xiǎn)的度量模型及操作風(fēng)險(xiǎn)的管理等方面進(jìn)行研究。在我國，近年來商業(yè)銀行操作損失事件頻頻發(fā)生，損失金額巨大，如何有效的預(yù)防和管理操作風(fēng)險(xiǎn)日益成為我國商業(yè)銀行面臨的主要課題之一，而操作風(fēng)險(xiǎn)的準(zhǔn)確度量是有效管理操作風(fēng)險(xiǎn)的前提條件，因此，正確合理的對(duì)我國商業(yè)銀行操作風(fēng)險(xiǎn)的研究以及測(cè)量，不僅可以指導(dǎo)我國商業(yè)銀行合理提取資本金，而且可以為銀行監(jiān)管人員管理操作風(fēng)險(xiǎn)時(shí)提供有價(jià)值的政策參考，最終提高我國商業(yè)銀行的抗風(fēng)險(xiǎn)能力和綜合競(jìng)爭力。本文結(jié)合國內(nèi)商業(yè)銀行發(fā)展實(shí)際情況主要從四個(gè)方面對(duì)我國商業(yè)銀行操作風(fēng)險(xiǎn)進(jìn)行研究： 首先，利用收集的數(shù)據(jù)統(tǒng)計(jì)分析國際及國內(nèi)商業(yè)銀行操作風(fēng)險(xiǎn)形成機(jī)理及發(fā)展現(xiàn)狀。發(fā)現(xiàn)國內(nèi)操作風(fēng)險(xiǎn)有如下特征：導(dǎo)致商業(yè)銀行操作風(fēng)險(xiǎn)產(chǎn)生的首要特征是人致型，具體行為包括內(nèi)部欺詐和內(nèi)外勾結(jié)欺詐的欺詐行為、違規(guī)操作和金融腐敗；商業(yè)銀行業(yè)務(wù)中的操作風(fēng)險(xiǎn)事件發(fā)生頻率和損失額均是最高的；損失事件發(fā)生主要集中在全國股份制銀行和國有四大銀行。 其次，結(jié)合我國商業(yè)銀行操作風(fēng)險(xiǎn)的發(fā)展現(xiàn)狀，對(duì)我國商業(yè)銀行操作風(fēng)險(xiǎn)測(cè)量方法進(jìn)行數(shù)理分析，同時(shí)對(duì)目前文獻(xiàn)中存在的操作風(fēng)險(xiǎn)測(cè)量法進(jìn)行分析比較，表明極值理論法的合理性，并設(shè)定損失頻率服從泊松分布，損失金額服從廣義帕累托分布。 再次，建立我國商業(yè)銀行操作風(fēng)險(xiǎn)的測(cè)量模型。根據(jù)收集的相關(guān)數(shù)據(jù)建立我國商業(yè)銀行操作風(fēng)險(xiǎn)合適的損失額分布模型，并測(cè)量風(fēng)險(xiǎn)。利用矩估計(jì)法估計(jì)出損失頻率模型；利用平均余值圖確定閾值，估計(jì)出廣義帕累托分布模型參數(shù)，最后分別計(jì)算出一年時(shí)間里，在99.9%置信水平下，操作風(fēng)險(xiǎn)的最大損失額為1.5810萬億元，在此基礎(chǔ)上計(jì)算得到非預(yù)期的最大損失額為2.5萬億元。 最后，根據(jù)操作風(fēng)險(xiǎn)的測(cè)量結(jié)果直接提取操作風(fēng)險(xiǎn)的最大損失額為資本金的最小值。在一年時(shí)間里，保證99.9%抵御非預(yù)期的操作風(fēng)險(xiǎn)所需的最小資本金為2.5萬億元。 基于上述研究，本論文提出如下相應(yīng)建議：（1）做好關(guān)于人為因素的內(nèi)部管理政策。（2）加強(qiáng)銀行內(nèi)部管理制度建設(shè)，完善業(yè)務(wù)流程操作。（3）加強(qiáng)外部監(jiān)管，加快國有商業(yè)銀行體制改革。（4）補(bǔ)足銀行資本金，，探索操作風(fēng)險(xiǎn)保險(xiǎn)。（5）完善信息披露，積累數(shù)據(jù)，研發(fā)模型。（6）完善計(jì)算機(jī)網(wǎng)絡(luò)系統(tǒng)功能。
[Abstract]:Since the Basel New Capital Accord incorporated operational risk into the capital, the measurement and management of operational risk has attracted renewed attention from the international banking community. Scholars at home and abroad began to study the measurement model of operational risk and management of operational risk. In China, the operational losses of commercial banks have occurred frequently in recent years, and the amount of losses is huge. How to effectively prevent and manage operational risks has become one of the main issues facing commercial banks in China. The accuracy of operational risk is the prerequisite for effective management of operational risk. Therefore, the correct and reasonable study and measurement of operational risk of commercial banks in China can not only guide Chinese commercial banks to reasonably withdraw capital. Moreover, it can provide valuable policy reference for bank supervisors to manage operational risks, and finally improve the ability of resisting risks and comprehensive competitiveness of commercial banks in China. In this paper, the operational risks of commercial banks in China are studied from four aspects according to the actual situation of the development of domestic commercial banks: first of all, Based on the collected data, the formation mechanism and development status of operational risk in international and domestic commercial banks are analyzed. It is found that domestic operational risk has the following characteristics: the primary characteristic of commercial bank operational risk is human nature, the concrete behavior includes fraud of internal fraud and collusion of internal and external fraud, illegal operation and financial corruption; The frequency of operational risk events and the amount of losses are the highest in the commercial bank business, and the loss events mainly occur in the joint-stock banks and the four state-owned banks. Secondly, according to the development of the operational risk of commercial banks in China, the paper makes a mathematical analysis of the operational risk measurement methods of commercial banks in China, and analyzes and compares the existing operational risk measurement methods in the current literature. It is shown that the extreme value theory is reasonable, and the loss frequency is set from Poisson distribution and the loss sum from the generalized Pareto distribution. Thirdly, the measurement model of operational risk of commercial banks in China is established. According to the relevant data collected, the appropriate loss distribution model of operational risk of commercial banks in China is established, and the risk is measured. The loss frequency model is estimated by the moment estimation method, the threshold value is determined by the average residual value graph, the parameters of the generalized Pareto distribution model are estimated, and the parameters of the generalized Pareto distribution model are calculated respectively in one year, at 99.9% confidence level. The maximum loss amount of operational risk is 1.581 trillion yuan, and the unexpected maximum loss amount is 2.5 trillion yuan. Finally, the maximum loss of operational risk is the minimum value of capital according to the measured results of operational risk. In one year, the minimum capital required to insure 99.9% against unexpected operational risks was 2.5 trillion yuan. Based on the above research, this paper puts forward the following corresponding suggestions: (1) to do a good job of internal management policies on human factors; (2) to strengthen the construction of internal management system of banks, and to perfect the operation of business processes; (3) to strengthen external supervision. Accelerate the reform of state-owned commercial bank system. (4) make up the bank capital, explore operational risk insurance. (5) perfect information disclosure, accumulate data, research and develop model. (6) perfect the function of computer network system.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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