Comparative Study On Commercial Bank Operational Risk Measurement Methods

In accordance with the "New Basel Capital Accord", capital adequacy ratio of commercial banks must include commercial banks operational risk capital , therefore measurements of commercial banks operational risk are very important. At present, commercial banks operational risk measurement methods consist the primary measurement methods (the basic index method, standard method, CAPM model method), and advanced measurement methods, which include internal measurement method, the loss distribution method, scorecards method, extreme value method, Bayesian network method. There are so many operational risk measurement methods that the banks and regulators'selection of measurement methods is very important.This paper attempts to use the basic index method, standard method, the income method from CAPM model method, the loss distribution method from advanced measurement methods measure the same object (Taking the Industrial and Commercial Bank of China as example) for 4 empirical measurements. We do a comprehensive comparative study on these 4 kinds of measurement methods from empirical measurement results and theory. At the end, we sum up the 4 different measurement methods'characters, that will provide an important reference for the bank regulators and the banks internal operational risk management institution's options of measurement methods.This paper will commence the study from the following aspects: First, we give out the definition of operational risk and operational risk events definition in detail. Analysis single chinese commercial bank'(Taking the Industrial and Commercial Bank of China as example) operational risk business lines, type loss events, means of each business line and each type loss event, the regional distribution characters. Sum up the operational risk characters of single commercial bank in China, and do a simple analysis of the causes of the characters. Second, summarize the basic index method, the standard method (substitute of the standard method), income method and loss distribution method. Using the 4 methods measure the same object'(Taking the Industrial and Commercial Bank of China as example) operational risk. When using the income method from the CAPM method measure a single commercial bank'(Taking the industrial and Commercial Bank of China as example) operational risk, we use the financial statements to find out the detailed constitute of the commercial bank'net profit. we take the following five variables as the target variable net profit'(profit and loss statements) independent variables, the china GDP growth rate excluding price factor, one year deposit and loan interest rate disparity, bank bad loans rate, enterprise climate index (mainly reflect the enterprise deposit loan amount),annual average of every day closing Shanghai Stock Market integrate index (ICBC comes into the market on the Shanghai Stock Market).After doing regression step by step with Eviews5.0, parameter correlation test, T test, F test, correlation test, heteroskedasticity test, Chow test, educe the conclusion that the main deciding factors of bank net profit are bank bad loans rate, annual average of every day closing Shanghai Stock Market integrate index. Third, we make the 4 methods'theoretical comparison and empirical comparison. From the empirical Comparison, we know that the operational risk capitals measured by primary measurement methods are less than by advanced measurement methods, the operational risk capitals measured by simple models are less than by complex models. Fourth, make out comparison conclusions and bring forward the further study.Operational risk measurement is a complex area and a new subject, so there are many issues to resolve. We must continue to study operational risk measurement methods, explore fit China banking'operational risk measurement methods, in order to promote our commercial bank operational risk management, maintain the stability of our financial system.