A Model For Measuring The Operational Risk Of Commercial Banks Based On NK Model

Being one of the oldest risks among all the risks a commercial bank faces,operational risk has existed ever since the emergence of the commercial banks.However,compared with credit risk and market risk,operational risk did not receive enough attention from the commercial banks as well as regulatory authorities in the long run.Since the 1990s,with the fast development of financial innovation,especially the innovation of derivatives,the risks that the commercial banks face during daily operation are becoming more and more seriously.TKHBasHOCRmmittHHOauncKHd "TKH1 Hw BasHOAccRrd" in JunH2004,in wKicKtKrHH optional ways of calculating operational risk was given.The methods offered were ranked by complexities.Y et,the core of these three methods is the same:calculate the individual operational risk of each business line and then add them together by different weights. However,practically,the operation processes usually have connections with one another.A failure happened to one process would eventually lead to negative effects to other processes that have correlations with it.Therefore,how to take correlations into consideration during the measurement of operational risk is essential.In the first chapter,we make a simple introduction of the history of Basel Accord,after that,we introduce operational risk in detail.The Research about operational risk done so far domestic and abroad is listed in the second chapter.Chapter three talks about the idea of the NK model,which is very famous in complex system study.Additionally,we list the applications of NK model in both biogenetic and financial studies.Chapter four is developed in three parts:in the first part,we make a clear introduction of the KuehnJNeu model.In the second part,we develop our own model based on NK model,mart three is the result of MonteJCarlo Simulation.By means of Simulation,we come up with the following conclusions:the system of a commercial bank would be very stable when there was less correlations between operation processes;while the number of correlations grows,the stability declines,t hen the number of correlations gets close to the number of the entire processes,the system would become extremely unstable and crush easily,t hen the number of correlation is small and the extent of the correlations is intense,big amounts of failures might happen,but the number of failures will decline quickly without making bad effects to the whole system.In the end,we provided several advices for commercial banks on how to diminish operational risk while building their system based on our model.