China's Commercial Banks Operational Risk Capital Measurement Issues Discussed

Operational risk is one of the most important risks the banks face, bank corruption because of operational risk occurred again and again; some of them are very serious. As an international banking Regulatory Commission, the Basel banking Regulatory Commission has realized the importance of operational risk to banks, it initially took the operational risk into consideration when setting the minimum capital requirement.Many well-known foreign banks had put forward their own capital measurement ways. China Banking Regulatory Commission put great emphasis on the management of operational risk and set down practical regulations, which played a positive role in improving banks' operational risk management capability.To improve banks' capital measurement capability in China, the second chapter of this dissertation analyzed the characteristic of banks' operational risk in China and studied the three capital measurement ways. Then it analyzed applicability of the three ways to banks characterized by different risk management capability.The third chapter analyzed how the main foreign economies' banking Regulatory Commissions supervise banks' operational risk management, these economies include Britain, Spain,Hong Kong,Holland and Australia. It also picks up representative banks to analyze their operational risk management ways, such as operational risk evaluation and its process. The dissertation holds that the new protocol brings with it a tremendous reform to these banks, whose management structure, risk management system, operational process,information system and data base were renovated fundamentally. The reform is very useful for our country's reference.After analyzing the applicability of Loss Distribution Approaches, the fourth chapter advanced that this empirical way was proven to more applicable to analyze our banks' operational risk management. The method use banks' historical data to simulate their risks, based on the math principle and a given believe level, the result showed that its veracity was better than other ways. By collecting and analyzing the data of banks' loss caused by operational risk in Shanghai in the last three years', this chapter analyzed the distributing characteristic of the data according to the Loss Distribution Approaches. The distribution analysis ways we chose include exponent school,logarithm norm school,norm school and weibull school. When imitating the total risk, we take the Monte Carlo imitation way to get the VAR value under a given believe level, then it compared the empirical result with other two put forward by the new protocol.The forth chapter hold that we should set higher requirements for banks' operational risk management, however, our country's banks' operational risk management is still far away from our requirement, there are many factors restricting the application of operational risk measurement technique and the veracity of its result. So the dissertation gave out some suggestions about how to improve our banks' operational risk management ways after analyzing the above factors our banks face.From the aspect of improving our banks' operational risk quantification management method, the dissertation put forward detail suggestions about our banks' management structure,risk management system,operational process,information system and data base.