Research On Operational Risk Management Of Chinese Commercial Bank Based On HKKP-Copula Methods

In recent years, the endless global banking operational risk event aroused great importance for operational risk of commercial bank. At present, most of the commercial banks operational risk is still on the first stage of exploration, Operational risk management system of commercial bank is not yet mature, Banking supervision mechanism of measurement methods for operational risk capital of commercial banks has not yet reached agreement. Since the reform and opening up thirty years, although the external environment for China’s banking industry has been greatly improved, but there is still not a small gap compared with the international advanced level, especially in the aspect of commercial bank management has not yet been established to quantify operational risk measurement model suitable for China’s national conditions.Firstly, this paper introduces operational risk classification and summarized from the surface due to the complexity of the three aspects of the general characteristics of the operational risk.Secondly, this article selects212China’s commercial banks operational risk loss event from1994to2012for the scope of the study, summaries of the main features of China’s commercial banks operational risk and analyses factors about human, the external environment, and the system.Thirdly, the entire banking industry in China acting as the research object, internal fraud, external fraud in the event of two losses acting as the research object, this article based on the improved POT model calculates VaR respectively, compared with VaR when the two loss events related by reuse copula function, the results showed that:China’s commercial banks operational risk loss events, internal fraud than external fraud more fat tail characteristics; China’s commercial banks operational risk loss events of various types of correlation between the various departments, to strengthen the management of operational risk contact, the implementation of a combination of management of the sector regulation and cross-sectoral regulatory measures.Finally, according to the results of the analysis of the status quo of China’s commercial banks and empirical analysis, this paper proposed building a sound corporate governance structure of commercial banks, the establishment of the external regulatory laws and regulations, strengthen the training of supervisory staff, improve the operational risk database, increase supervision of internal and external communication efforts, appropriate use of the operating risk transfer tools and policy recommendations.