The Empirical Analysis Of Measurement On Operational Risk Of China’s Commercial Bank Based On Revenue Model

In the resent years, banking supervision authorities have gradually focused on other risksbesides the market risk and credit risk after a series of great loss happened on banks, whichcalled operational risk. In the New Basel Capital Accord, which was issued by BaselCommittee on Banking Supervision in June2004has brought this kind of risk into the riskmanagement framework and even requires commercial banks taking the operational risk intoaccount when calculating and configurating the economic capital. However, due to theresearch for operational risk is started too late in China, and compared with the market riskand credit risk which has a mature management system, the management of operational risknow is still in the preliminary exploration stage in china, and has not formed a perfectmanagement system, various extent models or some tools which can monitor operational riskis relatively backward, the management level of operational risk is the relatively low, themeasurement technology is not mature, all of these lead to the operational risk loss eventsoccured frequently. Accurate measurement of operational risk is one of the prerequisites ofeffective management and guard against operational risks. So seeking effective measuremethods to quantify operational risk and reducing the loss of operational risk has weightyoperation significance to Chinese commercial banks.Firstly, this paper introduces the definitions, the characteristies and the classification ofoperational risk, then the paper analyzes the status quo of the management of operational riskfor China’s commercial banks, and further explore the reasons for operational risk on thisbasis. In chapter3, this article introduces some operational risk measurement which has putforward by The new Basel capital accord, and fanally chooses Revenue Model that is most fitfor china’s banking, throughing comparatively the different measurement methods andcombining with the practical realities of the measurement and management for operationalrisk in our country, and ultimately selected the revenue model as the basis of measurement. Inthe fourth chapter, the paper selected six listed commercial banks that is fairly representativeof all banks of china as the research object, combined with the income data and somemacroeconomic data which was organized and collected from publicly available information,using the selected revenue model for regression analysis, and fanally according to the regression results to measure the absolute value which was faced by banks. In order toaccurately measured the relative value of operational risk for each commercial bank, thearticle introduces a coefficient of variation to calculated the relative value for six commercialbanks and comparatively the calculated results. Combining the actual operating conditions ofall at the same time, and all the various financial report to be released the measurements forthe validation. The result shows that the model can measure the status of the operational riskfor china’s commercial banks with a certain extent. At last, the paper summed up somecountermeasures and suggestions about the measurement of operational risk in china, whichwere based on the conclusions of the fourth chapter of empirical analysis and the test results.