The Research On Loss Distribution Approach In Operation Risks Measurement Of China's Commercial Bank

New Basel Capital Accord, issued by Basel Committee on June 26th, 2004, which brings operational risk into measurement framework and the capital supervising framework. In China, most Chinese commercial banks didn't pay much attention to operational risk management until the early of 2005 when many large financial scandals were reported. Their focus on credit risk management and lack of scientific operational risk management are the main reasons for those cases. In order to reduce such cases and improve the competitiveness of Chinese commercial banks, they should take operational risk as an important risk type. They have to make great efforts to find the most suitable method to manage operational risk.Operational risk econometric model has become the main topic being studied by the bank industry. There are The Basic Indicator Approach (BIA), The Standardized Approach (SA), Internal Measurement Approach (IMA), Loss Distribution Approach (LDA), Extreme Value Theory (EVT), Scorecard Cards Approaches(SCA) as a method of risk measurement models can be operated to provide a operational risk management of commercial banks. In summing up the discussion of the advantages and disadvantages existing in the measurement methods on the basis of hypotheses analysis, covering the risk area, with the integration of the market risk, credit risk controls and economic capital of commercial banks, LDA model is the best options of all the model by which commercial banks can control the minimum level of risk level and economic capital; And the LDA model in the analysis of a succession process based on their adherence to realistic operational risk from the frequency of the loss distribution, the severity of the loss distribution, the risk profile index of the LDA models to explore different applications to be operated in real analysis, pointing out the method of the accumulation and integration of internal and external historical data, a serious bottleneck for the LDA model, and to form a more complete LDA model in the last.In conclusion, this dissertation is a fundamental study of the operational risks of Chinese commercial bank. I make an attempt to explore and analyze our country commercial banks'operational risk management. As the data of operational risks loss of Chinese commercial banks is almost a blank, and we are facing a peak of risk exposure, it is too early doing have an ideal overall data analysis. Our empirical analysis is a breakthrough but still not full-fledged. All these leave room for further research and analysis.