發(fā)布時間：2018-04-19 21:38

  本文選題：經營環(huán)境和內控因素 + 銀行��； 參考：《華東師范大學》2015年碩士論文

【摘要】：近年來,西方銀行對操作風險管理的重視程度日益提高,巴塞爾委員會作為銀行風險管理標準的引領者,提出了一系列的管理思路和配套方法。2004年起中國監(jiān)管當局為適應中國金融改革的需要,適時引入巴塞爾協(xié)議,要求我國商業(yè)銀行基于資本約束的考慮提升銀行管理水平。我國商業(yè)銀行以監(jiān)管導向為目標,在操作風險經濟資本計量上,逐步從基本法進階到標準法,并正在向高級法靠攏。業(yè)務經營環(huán)境和內部控制因素(BEICFs)是管理和計量操作風險的手段,也是新資本協(xié)議要求實施高級計量法的銀行計算最低資本要求時必須使用的四種數據之一,具有調節(jié)、分配經濟資本計量值的功能,在經濟資本管理活動中具有非常重要的作用。筆者作為一名多年從事內控合規(guī)的銀行基層管理人員,根據自身在實踐中積累的經驗,從商業(yè)銀行內控及操作風險實踐出發(fā),對照以巴塞爾新資本協(xié)議和監(jiān)管要求在中國銀行的操作風險管理領域開展情況,采用實例分析的方法,就BEICFs在操作風險經濟資本調節(jié)、分配方面的作用和實施策咯進行研究,實現了操作風險管理結果的量化統(tǒng)計和分配,為高級法AMA在我國商業(yè)銀行的實施應用提供有益建議。全文共分為五個部分：第一部分為導論,闡述商業(yè)銀行操作風險管理發(fā)展的整體背景,并總結相關學者在此領域的的研究和評述,最后描述了本文框架、特點和不足。第二部分首先介紹三種操作風險資本計量方法,重點比較高級法下幾種計量模式,隨后介紹業(yè)務經營環(huán)境與內部控制因素(BEICFs)的概念和作用,對銀行操作風險經濟資本的意義,以及BEICFs在業(yè)界的使用情況。第三部分介紹Z銀行操作風險經濟資本管理的模式,指出其中的不足,隨后指出BEICFs工具的有益作用,能夠解決Z銀行存在的問題。第四部針對Z銀行在操作風險管理中存在的不足,依照巴塞爾新資本協(xié)議要求,提出BEICFs的解決方案。第五部分使用Z銀行2014年的實際數據,檢驗BEICFs方案的有效性,展示BEICFs打分卡體系與實際風險的較高匹配度,以及在改進操作風險經濟資本管理的有益作用。
[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.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.33

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本文編號：1774816