Empirical Research On Operational Risk Measurement Of Commercial Banks In China

With the deepening of the financial system reform and the continuous improvement of the financial market opening degree,the risks faced by commercial banks are increasing day by day.Operational risk has become the most common and easily occurring risk in bank management.In recent years,the contradiction between the rapid development of the banking industry and the backward level of operational risk management has also become increasingly prominent.The unsound internal control of commercial banks,the lagging construction of comprehensive risk management system and the lack of management means have become the triggers of a series of major operational risk events.Therefore,how to choose the scientific operational risk measurement method to quantify operational risk and reduce losses caused by operational risk has become a key issue for commercial banks in China.This article chooses income model as the model of empirical research.Select 8variable indicators that have an impact on operational risks,namely net profit,real GDP growth rate,Shanghai Composite Index,non-performing loan rate,business climate index,capital adequacy ratio,deposit-loan ratio and liquidity ratio.In the research object,15 representative listed banks in Shanghai Stock Exchange are selected and the annual data from 2008 to 2017 are collected for empirical research.According to the basic idea of income model,by using the correlation test,model setting test,unit root test and cointegration test,to verify the feasibility of the research.EViews software is used to make overall regression analysis on 15 listed banks,and robustness test is carried out.After variables are replaced,the overall regression analysis is repeated,which shows that the empirical results are robust.The 15 listed banks are further divided into three groups: state-owned commercial banks,joint-stock commercial banks and city commercial banks.The model and EViews software are used to carry out regression one by one.According to the overall regression analysis results and the comparison of grouping empirical results,the absolute value of operational risks of state-owned commercial banks is 3.23 times and8.33 times that of joint-stock commercial banks and city commercial banks,which reflects that the operational risks of overseas banks are higher than those of joint-stock commercial banks and city commercial banks.However,after the introduction of coefficient of variation,the relative and absolute values of operational risks of banks in each group have changed in order.The relative operational risk value of city commercial banks is higher than that of joint-stock commercial banks and higher than that of state-owned commercial banks,which indicates that city commercial banks are facing a very severe situation of operational risk control.Finally,comparing the measurement results of the income model with the operational risk values calculated by traditional methods such as the basic index method and the standard method,it is concluded that the basic index method and the standard methodwill overestimate the bank’s operational risk capital to some extent,while the estimation results of the income model method are more reasonable,not only saving the operational risk capital,but also the measurement results are more accurate.The research in this article can provide theoretical basis and reference for the quantitative management of operational risks of commercial banks in China.