The Study Of Operational Risk Measurement Model Selection In Chinese Commercial Banks

With the bankruptcy of Barings Bank, the Basel Committee will be operational risk as a risk management focus put on the agenda, and in 2004 promulgated the New Basel Capital Accord explicitly requested commercial banks to prepare operational risk capital, but also put forward the relevant quantitative measure of model risk. Taking a panoramic view of the domestic banking industry, operational risk arising from the increasingly serious losses, while operational risk measurement model and its research is still in its early stages. Accordingly, the operator conducts a study of risk measurement under the present circumstances of great significance.The paper first presents an overview of operational risk and operational risk measure of the definition of article and then summed up the operational risk measurement methods of the evolution of development and on the basis of the different focus. Operational risk measurement model can be roughly divided into top-down model and the self-on the model under two categories, two categories at the same time a comparative analysis of the model. Then introduce the Basel Committee proposed three evolutionary metrics model: the basic indicator method, the standard method, advanced measurement approach, and make a comparative analysis. Because of the loss data of a true commercial bank difficult to collect and the corresponding lack of historical data, selecting data requirements for a more lenient measure of top-down model analysis. On this basis, select a basic indicator of law, income model and the securities metric model of the three-factor model were calculated to operate Chinese commercial banks venture capital, determine the income model for Chinese commercial banks operational risk at this stage of the basic measurement model. Finally, on the basic of income model's feasibility, adjusting the model and getting its formula income and related factors. On this basis, proposing countermeasures recommendations for the operating risk measure.