Research On The Commerical Bank Operational Risk Based On Extreme Value Theory

Xun zi said:"tree by the straight line, gold is shelly, it." Two thousand years ago, the Confucian school of Xun zi expounds the wood line, saw, ax all need to play by the rules, reasonable compliances. Today, the news media constantly expose many banking institutions appear serious incidents show that the operation risks have become one of the important risks of banking institutions in our country in addition to the credit risks, market risks and Liquidity risks.From the late2010of Qilu bank case,the operational risk of commercial banks in China emerge in an endless stream. At the beginning of2011,Poyang County Finance Bureau funds illegally transferred getting national attention.Not long ago,a branch president of Yantai Bank absconded with a huge amount of money, various kinds of operational risk cases had brought huge losses to the commercial bank.For three consecutive years a large number of practical cases of operational risks show that in our country banking industry is facing huge challenges that operational risks bring.In this paper, A commercial bank shall have the provisions for operational risk capital is extremely urgent, Based on previous research analysis of operational risk, from the definition and forms of operational risk, Further deep of operational risk, According to the detailed analysis of the causes of occurrence of root, And in the light of the causes of operational risk, to make some Operational risk to prevent the recommendation.Moreover, we employ the lost data derives from operational risk events occurred during almost the past10years in Chinese commercial banks to present a risk capital framework which is based upon the analyses of background of development level and rule of the commercial bank operational risk. Besides, we build the POT model to measure the operational risks so that we can yield sufficient capital provision against these risks and give a threshold for the identification of the extreme losses being characterized as operational from the regulators’ viewpoint. At last, we offer some effective suggestions on how to manage the operational risk.