Research On Measurement About The Operational Risk Of China Commercial Bank Based On Nonparametric Approach

In recent years, with the frequent cases of operational risk, operation risk of commercial bank gradually caused much attention the banking industry and the academic circles. Current research on the theory of operational risk is still a relatively new field, measurement of operational risk has become the forefront and focus of operational risk research in the international. Operational risk is the risk that can not be avoided in the process of China’s commercial banking operations, and also is one of the main risks facing China’s banking industry, in this context, studying the measurement of China’s commercial banks operational risk has important practical significance.This paper mainly focuses on the research of operational risk and conducted a comprehensive introduction and analysis of operational risk in the framework of the New Basel Capital Accord. Firstly, this paper introduced the operating risk from the background and significance of research. Secondly this paper made a brief introduction to the theoretical knowledge of the operational risk, including the definition of operational risk, characteristics, classification, measurement methods and some difficulties may encounter in measurement. Next is the establishment of China’s commercial banks operational risk measurement model and calculate the operating risk of commercial banks on this basis, in the measurement of operational risk, this paper adopts the advanced measurement approach of loss distribution approach. The loss frequency distribution fitted with Poisson distribution, the loss amount distribution with maximum entropy method to solve. Maximum entropy method does not need to make assumptions about the probability distribution of the amount of loss, Maximum entropy method is the non-parametric method.Throughing the analysis of operational risk loss data, we can found that Guangdong is a high risk area of China’s commercial banks operational risk, loss frequency and loss of the amount are among the list. The state-owned bank operation risk status is not optimistic, its operational risk loss frequency accounted for 47.84%and its loss amount accounted for58.32%. The main categories of operational risk in China’s commercial banks is internal fraud and external fraud, the proportion is as high as90.30%.Therefore, this article does not think all operational risk events as a whole, but try to operational risk events into internal fraud, and external fraud and the other three categories. Three types of operational risk to be measured separately and in the final sum, the model tends to be more reasonable. And calculate the operating risk of commercial banks on this basis, then we can calculated that one year of China’s commercial banks operational risk economic capital is37.76billion yuan.