Research On The Operation Risk Of The Big-four State-control Banks Based On The Growth Option

Considering the Basel III, CBRC made the new standards for bankcapital and liquidity regulation, which improve Chinas commercialbanks, especially systemically important banks capital adequacy ratio,leverage ratio, loan loss provisions and other regulatory standards, thiswill help to increase the banks ability to withstand risks, and promote thebusiness transformation for banks. However, due to the new capitaladequacy ratio standard is much higher than the Basel III regulatoryindicators, is the Bank able to balance the risk management, inparticular the balance of costs and benefits of the operational riskmanagement?The paper is to explore the relationship between costs and benefitsof operational risk management from the point above. First, analyingthe nature and causes of operational risk loss events, According to thehistory of Western and Japanese commercial banks operational risk lossdata, combined with the status of the four listed commercial banksoperational risk events in China. And then to use the real option, theoption to expand model, from the operational risk management pointof view, analyzing the economic rationality of the provisions of CBRC onthe listed banking system capital adequacy ratio is much higher thanthe Basel II requirements. Details are as follows:The first chapter reviews the current research on operational riskboth for Basel Committee and academic area home and abroad. Alsogives the arrangements and innovative point of this article.Chapter two describes the definition of operational risk onqualitative aspects, from the business line, event type classification (theclassification is based on the Basel definition), and operational riskregulatory capital measurement methods, specially the AdvancedMeasurement Approach. The third chapter tells the differences among the BIS data, ORXdata and domestic data which are get from public media. Andconcludeing that it is the management methods that cause thedifferences above.Chapters Ⅳ and V are mainly the research on operational risksbased on growth option. They explain the economic reason by themeans of Black–Schools model.And makes the conclusion that thecommercial banks in china.Chapter Ⅵ summarizes the severe situation the BIG-FOUR face inthe competitive environment and the ways that they win on theoperational risk management.