| Since the birth of financial institutions, commercial Banks which is the most important institution realizing rational allocation of financial resources could be able to exist and develop. The process of commercial bank operation and management is very complex, with all kinds of risks. Usually, bank’s main risks include credit risk, market risk, liquidity risk and operational risk. For a long time, financial community gave a lot of attentions and researchs for market risk and credit risk, but is insufficient understanding for the importance of operational risk. Since the1990s, the banks, for example bahrain bank and daiwa bank, has happened a series of major loss events, which makes banking supervision authorities and operators generally aware of importance of operational risk. Against the dangers of bank operation risk, in June2004, the Basel Committee on Banking Supervision, Basel Committee of Banking Supervision, the BCBS) released the new Basel agreement, namely the international agreement of capital measurement and capital standards:revised framework, and it include operation risk. Operation risk in this agreement have a more clear definition:refers to the failure or improper internal processes, people and systems or external events lead to the risk of loss (including legal risk, but not including the reputation risk and strategic risk). Although operational risk is included in the new Basel agreement, but operational risk measurement is different from credit risk and market risk, and, over a long period of time, was not given enough attention. In our country, research on operational risk is relatively later, lacking effective models and tools to measure operational risk, management was also unsatisfactory, and loss events of operational risk frequently happened, so, must analysis and research appropriately our country’s operation risk, in order to carry on the effective management.This article is divided into five parts, each part of the main content is as follows:The first part is the introduction, the introduction paper selected topic background and significance of commercial bank operational risk measurement of literature at home and abroad were reviewed, a brief introduction to the structure of the thesis and the research methods.The second part is expounded the definition of commercial bank operation risk present situation and genesis, characteristics and analysis. First define the connotation of operational risk, and then introduces several major characteristics of operational risk, mainly are artificially, organic, etc. Finally elaborated the our country commercial bank operation risk present situation and analyzes the status quo, the reasons are:at four o’clock on risk awareness is not enough, the bank internal control system is not sound, the bank of incentive mechanism is not reasonable and the method of risk management is too single.The third part is the overview of commercial bank operation risk of quantitative method. To shed light on the different methods at the same time, analyzes the advantages and disadvantages of different methods. Some typical operational risk measurement methods, including measuring method specified by the Basel committee (standard method, the basic indicator approach and advanced measurement), the comprehensive consideration of operational risk in our country present situation and the data environment, choose suitable for China’s commercial Banks’ operational risk measurement model.The fourth part is empirical part. In the description of the operational risk quantification method in the previous chapter, selected the suitable for our country commercial bank operational risk measurement model, revenue model. Selection of industrial and commercial bank of China and bank of China as the research object, analysis of state-owned commercial Banks operating risk. Model, be explained variables selected are a bank’s net income, after screening and draw lessons from forefathers’ research results, select the real GDP growth rate, the benchmark Shanghai composite index, average one-year loan interest rate such as explained variable, establish regression model, empirical analysis and research. Can be seen from the empirical results, both in terms of absolute relative operation risk, operation risk and operation risk are higher than the bank of China of industrial and commercial bank of China, this may be related to its business, network scale is more relevant.The fifth part is according to the results of the analysis, analysis the advantages and disadvantages of revenue model, and focused on the operational risks of Banks put forward some Suggestions and comments. Revenue model can to a certain extent, the operation risk of bank estimates, but explaining variable choice, model of operational risk measurement accuracy. In addition, the model of risk measurement, and can’t reflect the different divisions of the bank operation risk status, daily risk management for the departments of no real help. Suggestions to operation risk, is the attention to risk, on the basis of combining the Banks themselves, more loss of collecting and organizing data, analysis the reasons, strengthen risk management.Main achievements of this paper is to:this paper expounds on the commercial Banks operational risk measurement methods, and analyzes their advantages and limitations, and the feasibility of using in our country, select the suitable at this stage in our country commercial bank operation risk measure revenue model method; From the exterior factors that may affect the target variable oseries of explanatory variables, through trial and stepwise regression, finally choose the real GDP growth rate, the non-performing loan ratio of BL and the Shanghai composite Index, the three indicators as explained variable, and the size of two commercial Banks operational risk measure in detail, the conclusion is the operational risk is lower than the icbc bank of China, and to develop and perfect our country commercial bank operation risk measures put forward some Suggestions. |
