Research On The Measurement About Operational Risk Of China’s Commercial Banks

Financial regulation relaxation and the diversification of financial products and services due to financial globalization, and the coming of big data era and the mature of network application, makes the inner-bank activities also increasingly rich. The extreme risk loss events arising by risk exposure of these banks such as Bahrain Bank and Societe Generale Bank sounded the alarm once again of financial risk management to international banking industry and regulatory authorities undoubtedly. Using appropriate and reasonable risk measurement methods of operational risk is the premise to proper and effective financial risk management. However, due to the fact of lacking data and the "fat tail" characteristic of operational risk, there is no unified standard of reasonable measures.In this paper, on the basis of specific research significance, and through the relevant literature review in China and abroad, we point out the research direction of this article. Then through the introduction of commercial bank operational risk and measuring methods, we compared the advantages and disadvantages of various measurement methods, analyzed the applicability and the optimal method selection of five senior measurement methods in China. Construct commercial bank operational risk measurement model based on POT Model and Partial Realiability Factor Model, carried out the emprical analyze of China’s commercial banks based on the two models and has drawn the corresponding conclusions.Specifically, this paper selected the 1997-2012,246 operational risk loss cases within 15 years of China’s commercial banks as samples, using POT Model of EVT Method to esimate under the 99.9%(set by the Basel Committee) confidence level the interior data VaR(a) and outside data VaR(β) of Big Four Banks, Joint-Stock Banks and Credit Cooperatives and Local Banks, and combining with the Part Reliability Factors Model of non-life insurance actuarial to mixing VaR(α) and VaR(β), and finally get the risk capital. According to the previous average withdrawing capital of 237.6 billion yuan, in this paper, the method can save about 200 billion yuan of capital for Banks, creating nearly 6.5 billion yuan of net interest income.