Research On The Economic Capital Measurement About The Operational Risk Of Chinese Commercial Banks

Security and stability of commercial banks could have a profound impact on the development of economic and stability of a country. Under the new normal circumstances of our country's economic, commercial banks also experience a new normal. There are lots of challenges to the commercial banks, such as Rate Marketization, Internet Financial and so on. What's more, as operational risk loss events happen frequently in recent years as a result of, China Banking Regulatory Commission issued a series of guidance. This means that allocate economic capital of operational risk for Chinese commercial banks has become an urgent problem.This paper collected lots of thesis about operational risk management and summarize its current research status and development trends related to the operational risk measurement models. This article writes from the "top down" and "bottom-up" two angles, using the basic indicator approach model, CAPM-NP model and POT-TVaR model three models to measure operational risk economic capital. The main conclusions are as follows:(1) The basic indicator approach model use a unified index to measure different banks, which has a different risk characteristics and risk management, so the risk capital of large-scale commercial banks would be more than small ones.But in fact, the large-scale commercial banks should be good at risk management, which does not reflect the actual situation adequately.(2) The economic capital value calculated by the CAPM-NP model is smaller than the basic indicator approach model. It means that the CAPM-NP model is more-refined than the BIA model, thus these two models are all "top-down" model. What's more, although the CAPM-NP model uses only six explanatory variables, affect the reliability and accuracy of the final result. Due to the lack of China's commercial banks operational risk loss event data, empirical analysis used in this paper still has some significance for operational risk quantification and management of commercial banks.(3) The results calculated by POT-TVaR model means that:Firstly, the amount of sample data collected in this article is a large number relative to the research of recent years. In addition, this study adjusted the data with price index. Secondly, most paper only use mean excess function method or the Hill estimation method to the selection of threshold, the paper uses common values beyond excess function method, Hill estimation, kurtosis method, also chose Pickands estimation and parameter estimation method in addition. What's more, it uses KS test, parameter estimation test, diagnostic diagrams fitting the selected thresholds to test and select the optimal threshold. Thirdly, recently researched find that using the standard method to calculate the operational risk capital is 20% less than the basic indicator approach, using the AMA model is 40% less than the standard method. While in this paper, the results of POT-ES is calculated for 12.248 billion yuan,50.6% less than the Basic Indicator Approach, indicating that this method reflect the real situation of operational risk losses to some extent.