Research On The Operational Risk Measurement And Management Of Commercial Bank In CHINA

Since 1990's, as serious loss incidents in operational risk frequently happened at home and abroad., operational risk is brought into the risk management framework for the first time in the New Basel Capital Accord that The Basel Committee promulgated in 2001,becoming the three chief serious risk get along with credit risk and market risk that banks faced today .Thereby ,how to measure and manage operational risk attract widely attention in the whole banking .But what kind of methods can be used to measure operational risk? How the applicability in our country? What is the apocalypse from these serious operational risk loss incidents? Basing the aims above, the article carries on deep research on the measurement and management of operational risk.The paper employs the method of combination of qualitative and quantitative analysis. Basing on the research of scholars at home and abroad ,linking The New Basel Capital Accord, systematically and entirely analyses the advantage and disadvantage of operational risk measurement methods and the applicability in our country., which is the qualitative part of the article. By establishing income model and choosing fit influential factors, we positively analyze the operational risk of the joint-stock and state-owned commercial banks in our country, meanwhile, compare with the advance foreign bank. This is the quantitative part of the article. At last, bring forward some suggestions for operational risk control and management. The paper divides the two parts into five chapters and the main content of each chapter is as follows:The first chapter is introduction. This part introduces the meaning of the selected topic, concludes the relevant researches on the definition and selection of the operational risk measurement models ,meanwhile, introduces the framework and creative points of the article.The second chapter are the relevant theories of the measurement of operational risk , which include some methods from The New Basel Capital Accord and some models from other scholars. The third chapter and the forth chapter were the key parts. The third chapter was the empirical research on the operational risk of our country. In the positive research, the paper adopts income model that is most fit for our banking .In the sample part, taking examples for five internal joint-stock commercial banks which are the pioneers coming into market in our country. In the influencing factors part, adopting credit risk factors and market risk factors. Income model characteristic requires that the influencing factor choice definitely should be sufficiency , but in research in the past, papers usually considering the market risk factor only ,but ignoring the credit risk factor impaction on the income fluctuation have affected the accuracy of the estimating results. Aims to solve this problem , this article have adopt credit risks factor at first time, considering non-performing loan rates is the most penetrating data of reaction customers' breach of faith, has adopt the non-performing loan rates as the credit risks factors. Considering the credit risks effect and choosing non-performing loan ratio as the credit risk factors are the first creative point in this article. After analysis the empirical research result, the paper tests the feasibility of the result linking to the managing conditions and financial reports of the five banks. Finally , through comparing and analyzing SPDB and BC, turn up some problems of operational risk exposure in our state-owned commercial banks.The forth chapter was the international comparison of the operational risk. Considering the differences of management situation between foreign banks and local banks ,and the difficulty to searching for loss data, in this part, the article adopts basic indicator approach(BIA) .Firstly, tests the feasibility of BIA for operational risk comparison among banks through comparing the results from the income model above and the BIA .Then choosing SPDB which has the best operational risk result based on the conclusions of the third chapter, to compare with Sviskaenska Enskilda Baken(SEB),aiming for finding the advanced methods in operational risk management from foreign bank and convenient for the suggestion bring forward in the next chapter. Considering the past research analysis comparing with abroad bank on operation risk mostly depend on characters or bank financial statement data (capital adequacy ratio ,.non-performing loan rates etc)for the simple describing ,seldom carrying out empirical analysis ,this paper using BIA for operational risk estimating results to penetrating contrast with aboard banks, therefore using BIA for international comparison is another creative point in this article.The fifth chapter are some suggestions of the management of operational risk in our country, based on the qualitative and quantitative analysis above.