An Empirical Study On The Operational Risk Of Commercial Bank

"The New Basel Capital Accord" considers the capital requirements, supervisory review and market discipline as the three pillars for the stable operation of commercial banks. The minimum capital requirement was included in the calculation of operational risk exposure for the first time. Foreign commercial banks according to their size and risk management capacity, has begun to take the method of the Basel Capital Accord to identify operational risk and monitor by control measures.Academia and the commercial banks in China began the research of operation risk be later, the accumulation of the internal data is not complete. However, the occurrence of a series of major financial cases, sounded the alarm in China's banking industry. The theoretical analysis, research and monitoring control measure of the operational risk become the key to reduce the occurrence of major financial cases. In March 2005, the China Banking Regulatory Commission released the specification of prevention of operational risk, beginning the prelude to the operational risk management in China.Based on the research and quantitative analysis, combined the actual situation in our country this paper made a redefinition of the scope of operational risk, analyzed the characteristics of the occurrence of operational risk, the major operational risk that Chinese commercial banks faced, the management deficiencies for operational risk of China's banking industry.In accordance with the Basel Committee's methods of classification, this paper analyzed the main methods of measuring operational risk, including the Basic Indicator Approach, Standardized Approach and Advanced Measurement Approaches, in AMA also introduced the internal measurement approach, the loss distribution method, extreme value method and scorecard method. Through the comprehensive analysis of the advantages and disadvantages of these measurement methods, combined with the actual situation of China's commercial banks, proposed revenue model method to measure operational risk for China's commercial banks. Select the net profit (NP), real GDP growth, the banking climate index (BCI), the net interest margin (NIM), loan to deposit ratio (LDR), non-performing loan ratio, the statutory deposit reserve ratio quarterly data of the 14 listed commercial banks, using panel data regression analysis get the ratio the operational risk capital to total capital for China's listed, and provide a theoretical basis for the risk reserve.Based on theoretical analysis and empirical inquiry, this paper proposed the advice of improving the level of operational risk management measures of Chinese commercial banks. The internal control systems and external oversight are the more problem that China's commercial banks need to solve.The innovation of this paper is to use the 14 listed banks'quarterly panel data to study the operational risk, the design of the model, the data selection methods, the data analysis are innovative to some extent.