我国金融机构操作风险的特征分析与防控——基于1987—2012年媒体公开报道事件数据
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摘要
操作风险涵盖的细分风险类别很广,其中就包含有会直接导致金融机构倒闭的低频高危型风险。因此,如何精确估算出金融机构为操作风险所应预留的经济资本额是学界和业界共同关注的问题。该问题的解决依赖于大量的内外部数据相结合,内部数据可由金融机构自我统计,但来自媒体公开报道的外部数据不足却一直是操作风险研究人员的一大困扰。为增加我国金融机构操作风险的外部数据样本,本文在总结操作风险特征的基础上规范了外部数据的搜集准则,并根据这套准则整理出了3336条发生于1987—2012年间的操作风险事件。利用该数据库,本文不仅分地区、分机构性质和机构级别测算了操作风险损失的次数和强度,还对中外操作风险损失各自的特征进行了比较。结果表明:我国金融机构的操作风险多发于经济发达地区、基层金融企业、管理相对薄弱的机构以及组织架构复杂的大型商业银行,对此需要加强防控。
Operational risk encompasses a variety of second—tier risk types, including the low—frequency high—severity type of fat tailed risk that would directly lead to the bankruptcy of financial institutions. As a result, how to accurately estimate the amount of economic capital required ex—ante for operational risk exposures has become a key question of both industry's and academic interests. The solution to this problem relies on the combination of large internal and external datasets. While internal data can be collected by financial institutions themselves,the external data from public media sources are limited due to many reasons, especially for Chinese financial institutions. To expand the sample size of external operational loss data, this paper has constructed a database with 3,336 observations over the period from 1987—2012.Using this database, our paper computes the average frequency and severity of Chinese operational losses for different geographical districts, firm types, and levels of branches. We further compare the Chinese dataset with global operational risk data. The findings are that operational losses in Chinese Financial institutions occurred more often in provinces with higher GDP per capita, firm branches of lower hierarchy and with weaker administration skills,and larger commercial banks with a higher degree of complexity in terms of organizational structure.
Operational risk encompasses a variety of second—tier risk types, including the low—frequency high—severity type of fat tailed risk that would directly lead to the bankruptcy of financial institutions. As a result, how to accurately estimate the amount of economic capital required ex—ante for operational risk exposures has become a key question of both industry's and academic interests. The solution to this problem relies on the combination of large internal and external datasets. While internal data can be collected by financial institutions themselves,the external data from public media sources are limited due to many reasons, especially for Chinese financial institutions. To expand the sample size of external operational loss data, this paper has constructed a database with 3,336 observations over the period from 1987—2012.Using this database, our paper computes the average frequency and severity of Chinese operational losses for different geographical districts, firm types, and levels of branches. We further compare the Chinese dataset with global operational risk data. The findings are that operational losses in Chinese Financial institutions occurred more often in provinces with higher GDP per capita, firm branches of lower hierarchy and with weaker administration skills,and larger commercial banks with a higher degree of complexity in terms of organizational structure.
引文
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[4]Anna S.Chernobai,Svetlozar T.Rachev,Frank J.Fabozzi,Operational Risk:A Guide to Basel II Capital Requirements,Models and Analysis[M].John Wiley&Sons,Inc.,2007.
[5]Michael Goddard.Learning from Leeson[J].Professional Investor,March Publishing,2007(4):22-25.
[6]Michael Power.The Invention of Operational Risk[R].Centre for Analysis of Risk and Regulation,London School of Economics and Political Science,2003.
[7]杜世清.商业银行操作风险管理实务[M].西南财经大学出版社,2011.
[8]巴曙松,朱元倩.巴塞尔资本协议III研究[M].中国金融出版社,2011.
[9]阎庆民.操作风险管理“中国化”探索:中国商业银行操作风险研究[M].中国经济出版社,2012:75-77,112-116.
[10]上海银行课题组.新资本协议下国内商业银行操作风险管理研究[J].《新金融》,交通银行股份有限公司,2007(12):22-30.
[11]张沙沙.我国商业银行操作风险问题浅谈[J].《商业文化》,中国商业文化研究会,2012(9):127-128.
[12]万言.浅谈商业银行操作风险及对策[J].《商业文化》,中国商业文化研究会,2011(3):170.
[13]中国银行业监督管理委员会.商业银行操作风险管理指引[OL],http://www.cbrc.gov.cn/,2007.
[14]苏小波.新资本协议“新”在哪里:银监会印发《中国银行业实施新资本协议指导意见》点评[R],中原证券,2007.
[15]张吉光.商业银行操作风险识别与管理[M].中国人民大学出版社,2005.