Research On Commercial Bank's Operational Risk Measurement And Prevention

Recently, loss events caused by operational risk surged, which make people realized the importance of operational risk management in risk management. Operational risk is another important risk after market risk and credit risk. In the new basle capital accord published in June 2004 basle committee brought operational risk into the risk management framework and enhanced the demand of its management. The research on market risk and credit risk management is much earlier than operational risk management and their management technology is very mature. However, the importance of operational risk is still not recognized and its management lever is in the primary stage. Its qualitative assessment and quantitative measurement method is under exploring, which is also the core of this dissertation.This dissertation focuses on the operational risk challenge and the inadequate of home and abroad research. First of all the dissertation analyses the existence operational risk measurement methods, especially those methods in the new basle capital accord. Secondly, on the basis of above analysis, the dissertation identifies the risk points, types (taking retail bank department as example) and characters of operational risk by flow analysis and recognizes the controllable operational risk and uncontrollable operational risk by amended risk indicators method on the base of LDCE of twenty-seven banks in 2004, meanwhile, analyses the generating factors of the controllable operational risk. Then the dissertation establishes the dynamic uncontrollable operational risk measurement model on the base of developing extreme value, expected shortfall and semi-parametric regression which take the non-stationary and trend of loss data into account due to the effect of data inadequate, economic period and so on. The model also has been tested by practical Chinese bank loss data from 1999 to 2005 collected by internet and medium. The result shows that the model captures the traits of operational risk. At last, the dissertation proposes the prevention strategies which include two parts: control the controllable operational risk generating factors; offer the risk hedging and transfer tools.The innovations of this dissertation behave in following two aspects:①Comparing withMarkey risk and credit risk, people know little about operational risk. So this dissertation analyses and generalizes its characteristics which deepen people, s understanding and cognition.②The author combines the flow analysis with amended risk indicators method to identify the controllable operational risk and uncontrollable operational risk and assess the generating factors of the controllable operational risk. Meanwhile, the dissertation extends the extreme value method which is well demonstrated in operational risk measurement to measure the uncontrollable operational risk.