Study On Identification And Quantification Of Operational Risk Of Chinese Commercial Banks

By the Basel Banking committee's estimation, loss caused by operational risk is only less than loss caused by credit risk. So in the New Basel Capital Accord issued on June.2004, the Basel Banking committee describes the definition of operational risk and puts forward the operational risk's systematic frame. That accord sets a clear capital demand to banks' operational risk and suggests commercial draw specific reserve money for operational risk independently. Besides, the accord asks the commercial banks to give a specific and strict supervision to the operational risk and expose operational risk's corresponding capital and its measuring techniques. But the theory study,application and rules and regulations of operational risk fall behind these respects of credit risk and market risk.Under this situation, we should strengthen the operational risk discrimination and measurement study and set a corresponding model by the operational risk loss data. Then we need calculate the specific reserve money drew by Chinese commercial bank for operational risk, in order to reduce the influence to commercial banks by the loss caused by operational risk.As the information exposure system is not very perfect and every commercial bank has the potential intention to hide the risk matters, we can find little open operational risk loss data of every commercial bank in public, which makes we are not easy to give a accurate analysis of the commercial banks' operational risk.In this paper, we collect 165 operational risk loss events of Chinese commercial banks from the web medium and analyze the state of Chinese commercial banks' operational risk explicitly. From the analysis, we deem our country's commercial banks operational risk events focus on the sales banking department and commercial banking business both in the respect of events number and capital number, and the types of operational risk are internal deceit and external deceit. Especially we need attach importance to the deceit of internal and external's collusion. In the processing of analysis, we can see the commercial banks operational risk events take on a serious thick tail phenomenon. In order to depict the thick tail characteristics and calculate its gradual distribution, we use POT method to study Chinese commercial banks' operational risk and estimate the specific reserve money drew by Chinese commercial bank for operational risk.