Research On Operational Risk Management Of China's Commercial Banks

Since the appearance of commercial banks,comparing with credit risk and market risk,operation risk had long been neglected.Until the 1990s,operation risk has been taken seriously by banks and regulators,and the related researches began.Based on such background and related researches,this paper compares various assessment method of operation risk and management processes.This paper analyses the operational risk management of China's commercial banks,based on the loss events in operational risk of commercial banks in china via media exposure data.The loss events in operational risk trended to rising in recent years,thus this paper analyzes the main reasons via trend of operational risk events,the types of risk events,the types of the risk events and the related banks level.Subsequently,this paper took the Agricultural Bank of China XX branch as a case to study the operational risk of commercial banks.Combining with China's macroeconomic trends,the development of financial markets and the operating conditions of Agricultural Bank of China,this paper analyzes the operational risk loss cases of XX branch from 2009 to 2016 by cluster method,and finds that because of the economic slowdown and monetary stimulus policy gradually withdrawn after 2011,XX branch operating risk increased,thus this paper names 2009-2010 as high growth and low loss period,names 2011-2016 as low growth and high loss period.Therefore,in this paper,the model is based on two different periods of loss events,comparing with different probability distributed function,Poisson distribution is used to describe the probability distribution of loss event and Weibull distribution is used to describe the loss intensity,which reflects the operational risk state of XX branch and the characteristics of "peak and thick tail".Then,this paper uses the Monte Carlo simulation to obtain the risk value(VaR)of XX branch operation risk.At the 95%significance level,the VaR value was 157.4330 in 2009-2010,while the VaR of 2011-2016 was 1684.8777,indicating that the operation risk of XX branch increased obviously.Finally,based on the case of the XX branch to operate the risk event,this paper puts forward the specific countermeasures to improve the operational risk management level from six aspects:operational risk management strategy,business process,employee factor,management technology,information technology and external events.