Empirical Study On Operational Risk In Commercial Banks Of China

As the New Basel Capital Accord brings the operational risk into the risk management framework for minimum capital supervision, international banks begin to focus on operational risk measurement and management. As operational risk incidents happened frequently in our country, operational risk increasingly becomes one of the main risks facing the banks. The requirement of improving the management technologies and methods become more pressing. Effective measurement of operational risk is the basic of operational risk management, but data deficiency becomes the most severity problem in operational risk measurement of our banks. Although the operational risk models develop very fast internationally, most models are strict with data, while our banks are short of data and most of the models can not be used for measuring operational risk of China's commercial banks. Under the background it has weighty significance to study the suitable operational risk measurement methods to our banks.In order to manage operational risk, we must recognize the extension and connotation of operational risk. It is quite disputable to define the connotation of operational risk management. The author mainly relies on New Basel Accord to define the definition, category and character of operational risk, which reflects the guiding suggestion and trend of international bank supervise.In this paper, we have collected 349 operational risk loss events exposed to the public from China's commercial banks, using suitable classification for China's national conditions, and analyzed the feature of the data and the description of the trend. Through the analysis we found that the loss events of China's commercial banks frequently happened, the losses were huge and harm was serious. Different ownership banks have different amount of operational risk loss events, banks in different areas have different amount of operational risk loss events. The most loss events happened was internal fraud in the China operations of all commercial banks.We also researched economic capital calculations of operational risk. We use algorithms based on a combination of VaR and POT extreme value theory, applying S-plus + Finmetrics software to do empirical analysis of operational risk. First we used QQ-plot and diagnosis to establish threshold value, and completed parameter estimation. Then we made comparison of VaR with the traditional method and sensitivity analysis. At last we extracted economic capital. Finally we proposed the establishment of operational risk loss database for China's commercial banks. Empirical research shows that the method is suitable to measure economic capital in China's commercial banks operating loss of data, in particular the situation of acute shortage of low-frequency high-risk data. At last, we put forward policy proposals.