中国商业银行操作风险计量及其应用研究
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摘要
银行是人类经济活动的产物,在其产生、发展的过程中,人们对其运作规律的认识也在不断提高,二十世纪八十年代以前,人们普遍认为商业银行面临的主要风险是信用风险和市场风险,各国商业银行和监管机构均投入了大量的人力、物力和财力研究这两种风险,相继开发出较为成熟的风险分析与计量模型。近年来有一类银行风险引起了人们的广泛关注,它不同于以往的两类风险,它发生概率比较低,但是一旦发生往往造成巨大的经济损失,由于这类风险绝大多数是和银行人员的日常操作相联系的,人们给这类风险起名叫做操作风险。1999年6月,在新巴塞尔协议(巴塞尔协议II)初稿中,操作风险第一次被正式提出,并与信用风险、市场风险一起纳入到资本充足率的计算框架,2004年6月正式协议颁发,并于2006年底在全球生效实施。
操作风险是全球银行业最近才正式提出的风险,国际银行业对它的研究刚刚起步,由于操作风险的产生具有内生性、多样性和复杂性,信用风险和市场风险的模型与方法不能照搬使用。操作风险是一类需要研究人员主观判断的风险,而主观判断则由于不同国家之间文化体系、价值理念甚至语言表述等原因而有所差异。因此对它的研究更多地体现为,在尊重新巴塞尔协议原则之下结合各国经济特点和银行运行规律的个性化模型选择。
作者自母校重庆大学毕业以来便一直在银行系统工作,对操作风险有切身的体会和感触,也亲身经历了一些操作风险的案例,对操作风险的产生机理、计量方法和防范措施产生了浓厚的兴趣。作者读博士研究生期间,恰逢新巴塞尔协议初稿提出并经过若干次讨论、修改,直至最终定稿。作者将我国操作风险的研究列为自己的博士论文研究方向,从新巴塞尔协议的原则出发,探讨了我国商业银行操作风险的起因、特点和分类,努力寻找适合于我国商业银行操作风险的计量方法。通过比较研究,作者提出综合损失分步法是我国目前最适合的计量方法,随后用通过艰苦努力搜集到的数据,计量我国单个商业银行操作风险,进行了实证研究,最后提出了我国防范操作风险的对策建议。读博士研究生期间取得的研究成果,有一篇论文在一级期刊上发表,有三篇在核心期刊上发表,还有一些论文在其他期刊上发表。
本研究选题紧扣时代特色,具有较强的理论意义和现实意义,研究取得的创新点概括如下:一、根据新巴塞尔协议的要求,对我国商业银行操作风险的特征进行了分析、归纳,从模型的可操作性、适应性及数据获得的难易程度等方面深入研究了目前计量操作风险的方法,根据目前我国商业银行管理的现状和未来的改革方向,提出在当前情况下适应我国商业银行操作风险计量的最直接、最行之有效的方法应当是综合损失分布法,即损失分步法和与之相配合的蒙特卡洛模拟。
二、对于操作风险计量中可能出现的相关性和数据不足问题进行了研究。对于操作风险数据相关性问题,分析了LDA模型的基本假定,计算了相关性的大小范围,提出用Copula函数来度量多项操作风险累计损失分布的相关性;对于数据不足问题,尝试用保险领域的信度理论来混合操作风险损失频度数据。
三、用综合损失分步法进行实证研究,结合蒙特卡洛模拟和VAR技术,在国内第一次对单个商业银行的操作风险进行计量和资本配置。实证研究用161个采集到的原始数据(整理后为365个),数据的采集范围为1990年-2005年,将蒙特卡洛模拟进行了10万次。本研究从数据搜集、数据特征分析、模型建立、蒙特卡洛模拟的过程、VAR方法应用、资本配置等过程,完整地进行了一次实证计算,第一次计算出单个商业银行应当为操作风险配置的资本数量是107亿元人民币(置信度99.9%)。
As banking industry is production of human being’s economic activities:eoples have been paying more and more attention to it as time going. Before 21st century, it is well known that credit risk and market risk are the main risk and both banks and supervision organizations have invested a great deal of man powers and money in developing analysis and econometrics models. Recently, another type of risk draws attention of the industry and such risk is very different from the two old types as its probability is lower but will result in great economic loss once take place. And peoples named it as operation risk because almost all such risks are mainly caused by daily operation of peoples within banking industry. In June 1999, in the first draft of BASEL Accord(Basel II),together with credit risk and market risk, operation risk has been calculated into the framework of capital adequacy. In the updated version of Basel Accord published in June 2004, the operation risk of banking industry has been formally put in the structure of risk capital calculation and supervision. This version will be implemented globally by 2006.
As operation risk becomes drawing attentions of banking industry recently,banks have just started to calculate the operation risk adequately. Almost at the same beginning, domestic banks have begun to explore relevant method of such calculations. According to BASEL Accord, only calculation adequately of the operation risk can help allocate appropriate risk capital for operation risk and can secure high ratings from international rating agencies to participate global banking competition.
This study begins with opinions of the updated BASEL Accord, discusses causes, characters and types, explores methods of risk measurements applied to domestic commercial banks, and calculates operation risk of individual commercial bank according to data collected. Such study is very updated and is of both theoretical and practical. The innovative points resulted from such study are as follows:
I. According to requirements of BASEL Accord, it analyzes and summarizes the characters of operation risk of domestic commercial banks, and studies deeply on measurement approaches of operation risk on the basis of practice and application of models and difficulty in collecting data. It points out that the most direct and effective approach for domestic banks to calculate operation risk is general loss distribution approach, which is an integration of loss steps and relative Monte Carlo Method,in accordance with current management level and direction of reform of domestic commercial banks.
II. It also studies the relativity and potential insufficiency produced in calculation of operation risk. Regarding the relativity of data of operation risk, it analyzes the basic supposition of LDA Model, calculates the range of relativity and concludes to use Copula index to measure the relativity of loss distribution of multiple operation risks. For insufficiency of data, it tries to mix the frequency data of operation risk by applying the reliability theory of insurance industry.
III. For the first time in China, it measures operation risk of individual commercial bank and allocates capital, with empirical study by applying general loss distribution approach with Monte Carlo Method and VAR Technology. In 1990-2005, it collected 161 original data (reaching 365 after making them in order) and calculated 100,000 times using Monte Carlo Method. This study completed an empirical calculation and concludes for the first time in China that the capital allocated for operation risk of individual commercial bank is RMB10.7 billion by applying the process of data collection, analysis of characters of data; establish the model and simulation of Monte Carlo Method.
操作风险是全球银行业最近才正式提出的风险,国际银行业对它的研究刚刚起步,由于操作风险的产生具有内生性、多样性和复杂性,信用风险和市场风险的模型与方法不能照搬使用。操作风险是一类需要研究人员主观判断的风险,而主观判断则由于不同国家之间文化体系、价值理念甚至语言表述等原因而有所差异。因此对它的研究更多地体现为,在尊重新巴塞尔协议原则之下结合各国经济特点和银行运行规律的个性化模型选择。
作者自母校重庆大学毕业以来便一直在银行系统工作,对操作风险有切身的体会和感触,也亲身经历了一些操作风险的案例,对操作风险的产生机理、计量方法和防范措施产生了浓厚的兴趣。作者读博士研究生期间,恰逢新巴塞尔协议初稿提出并经过若干次讨论、修改,直至最终定稿。作者将我国操作风险的研究列为自己的博士论文研究方向,从新巴塞尔协议的原则出发,探讨了我国商业银行操作风险的起因、特点和分类,努力寻找适合于我国商业银行操作风险的计量方法。通过比较研究,作者提出综合损失分步法是我国目前最适合的计量方法,随后用通过艰苦努力搜集到的数据,计量我国单个商业银行操作风险,进行了实证研究,最后提出了我国防范操作风险的对策建议。读博士研究生期间取得的研究成果,有一篇论文在一级期刊上发表,有三篇在核心期刊上发表,还有一些论文在其他期刊上发表。
本研究选题紧扣时代特色,具有较强的理论意义和现实意义,研究取得的创新点概括如下:一、根据新巴塞尔协议的要求,对我国商业银行操作风险的特征进行了分析、归纳,从模型的可操作性、适应性及数据获得的难易程度等方面深入研究了目前计量操作风险的方法,根据目前我国商业银行管理的现状和未来的改革方向,提出在当前情况下适应我国商业银行操作风险计量的最直接、最行之有效的方法应当是综合损失分布法,即损失分步法和与之相配合的蒙特卡洛模拟。
二、对于操作风险计量中可能出现的相关性和数据不足问题进行了研究。对于操作风险数据相关性问题,分析了LDA模型的基本假定,计算了相关性的大小范围,提出用Copula函数来度量多项操作风险累计损失分布的相关性;对于数据不足问题,尝试用保险领域的信度理论来混合操作风险损失频度数据。
三、用综合损失分步法进行实证研究,结合蒙特卡洛模拟和VAR技术,在国内第一次对单个商业银行的操作风险进行计量和资本配置。实证研究用161个采集到的原始数据(整理后为365个),数据的采集范围为1990年-2005年,将蒙特卡洛模拟进行了10万次。本研究从数据搜集、数据特征分析、模型建立、蒙特卡洛模拟的过程、VAR方法应用、资本配置等过程,完整地进行了一次实证计算,第一次计算出单个商业银行应当为操作风险配置的资本数量是107亿元人民币(置信度99.9%)。
As banking industry is production of human being’s economic activities:eoples have been paying more and more attention to it as time going. Before 21st century, it is well known that credit risk and market risk are the main risk and both banks and supervision organizations have invested a great deal of man powers and money in developing analysis and econometrics models. Recently, another type of risk draws attention of the industry and such risk is very different from the two old types as its probability is lower but will result in great economic loss once take place. And peoples named it as operation risk because almost all such risks are mainly caused by daily operation of peoples within banking industry. In June 1999, in the first draft of BASEL Accord(Basel II),together with credit risk and market risk, operation risk has been calculated into the framework of capital adequacy. In the updated version of Basel Accord published in June 2004, the operation risk of banking industry has been formally put in the structure of risk capital calculation and supervision. This version will be implemented globally by 2006.
As operation risk becomes drawing attentions of banking industry recently,banks have just started to calculate the operation risk adequately. Almost at the same beginning, domestic banks have begun to explore relevant method of such calculations. According to BASEL Accord, only calculation adequately of the operation risk can help allocate appropriate risk capital for operation risk and can secure high ratings from international rating agencies to participate global banking competition.
This study begins with opinions of the updated BASEL Accord, discusses causes, characters and types, explores methods of risk measurements applied to domestic commercial banks, and calculates operation risk of individual commercial bank according to data collected. Such study is very updated and is of both theoretical and practical. The innovative points resulted from such study are as follows:
I. According to requirements of BASEL Accord, it analyzes and summarizes the characters of operation risk of domestic commercial banks, and studies deeply on measurement approaches of operation risk on the basis of practice and application of models and difficulty in collecting data. It points out that the most direct and effective approach for domestic banks to calculate operation risk is general loss distribution approach, which is an integration of loss steps and relative Monte Carlo Method,in accordance with current management level and direction of reform of domestic commercial banks.
II. It also studies the relativity and potential insufficiency produced in calculation of operation risk. Regarding the relativity of data of operation risk, it analyzes the basic supposition of LDA Model, calculates the range of relativity and concludes to use Copula index to measure the relativity of loss distribution of multiple operation risks. For insufficiency of data, it tries to mix the frequency data of operation risk by applying the reliability theory of insurance industry.
III. For the first time in China, it measures operation risk of individual commercial bank and allocates capital, with empirical study by applying general loss distribution approach with Monte Carlo Method and VAR Technology. In 1990-2005, it collected 161 original data (reaching 365 after making them in order) and calculated 100,000 times using Monte Carlo Method. This study completed an empirical calculation and concludes for the first time in China that the capital allocated for operation risk of individual commercial bank is RMB10.7 billion by applying the process of data collection, analysis of characters of data; establish the model and simulation of Monte Carlo Method.
引文
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