我国商业银行操作风险度量方法研究
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摘要
风险管理是商业银行经营发展过程中一个永恒不变的主题,对操作风险的有效度量不仅可以提高商业银行的核心竞争力,而且对商业银行加强全面风险管理、防范风险损失、创建和提升品牌、维护金融业的健康发展都具有非常重要的意义。2004年6月颁布的《巴塞尔新资本协议》首次将操作风险与市场风险、信用风险并列为当今金融机构所面临的三大风险,并要求将操作风险作为独立的范畴纳入到银行风险管理框架中,要求各金融机构为操作风险配置相应的资本金。2005年3月银监会发布了《中国银行业监督管理委员会关于加大防范操作风险工作力度的通知》,正式拉开了我国强化商业银行操作风险监管力度的序幕。2007年6月银监会又发布了《商业银行操作风险管理指引》,对银行的风险管理提出进一步要求,鼓励各银行建立与各行实际经营水平相适应的风险管理体系,操作风险的度量与管理成为各银行稳健经营中的关键点。2008年法国兴业银行的交易员违规操作造成巨额操作风险损失事件,再次引起了人们对操作风险管理的重视,2008年9月为规范商业银行操作风险监管资本计量,银监会颁布《商业银行操作风险监管资本计量指引》,该指引对控制商业银行操作风险将会起到非常重要的作用。
本文以商业银行操作风险度量方法为主要研究对象,重点放在适合我国商业银行的操作风险度量模型的建立和实证研究上。首先介绍了国内外商业银行操作风险度量方法应用实践,根据我国现阶段商业银行操作风险的现实条件,提出适合我国商业银行实际的操作风险度量方法,本文选取BIA法和收入模型对我国五家上市商业银行进行了操作风险度量的实证分析,说明了在我国操作风险损失数据普遍缺乏的情况下,这两种度量方法都有其一定的实用性,但收入模型的度量效果优于BIA法；最后提出我国商业银行操作风险度量方法应用的对策建议。
The risk management is an eternal topic in the commercial bank's developing process, effective operational risk measurement plays an important significance, which not only can enhance the core competitiveness of commercial bank,but also can strengthen the competitive risk management,guard the bank's loses,promotive the brand and make the finance industry health. Basel Committee on Banking Supervision (BCBS) has issued its new international capital accord in June,2004, in which operational risk was juxtaposed with market risk and credit risk as a whole in the first time, which have become three major risks of today's financial institutions, the operational risk management and regulation principles have emerged, and the economic capital of operational risk was requested. In March 2005, China Banking Regulatory Commission (CBRC) promulgated the notice which strengthen the work of antioperational risk and pulled open the new stage of operational risk's supervising and managing officially. CBRC in June 2007 issued a "commercial bank operational risk management guidelines," which made a further request for the risk management of banks, encouraged the banks to establish the risk management system which is suitable for the actual operating level, operational risk measurement and management became the key points of the sound operation of the banks. In 2008 the traders of Societe Generale operating irregularities caused huge operational risk loss events, which raises the importance of risk management operations. In order to regulate commercial bank operational risk regulatory capital measures, the CBRC promulgated the "commercial bank operational risk regulatory capital measurement guidelines," in September 2008, which will play a very important role in controlling the operation of the risk of commercial banks.
This paper takes the commercial bank's operational risk measurement methods as the main study object, with a focus on China's commercial banks for operational risk measurement model and empirical research. First of all, the paper introduces the application practice of operational risk measurement methods of domestic and foreign commercial banks, then according to the reality conditions of the operational risk of China's commercial banks at this stage, proposes the actual operational risk measurement methods which is suitable for China's commercial banks. Considering the lack of data, we choose basic indicator approach and income model to give the empirical analysis of operational risk in China's commercial banks. The results shows that the capital requirement based by basic indicator approach is very large and two methods has their own certain applicability, but the effect of income model is superior to BIA.Finally, the paper proposes the countermeasures and suggestions of the operational risk measurement methods application of China's commercial banks.
本文以商业银行操作风险度量方法为主要研究对象,重点放在适合我国商业银行的操作风险度量模型的建立和实证研究上。首先介绍了国内外商业银行操作风险度量方法应用实践,根据我国现阶段商业银行操作风险的现实条件,提出适合我国商业银行实际的操作风险度量方法,本文选取BIA法和收入模型对我国五家上市商业银行进行了操作风险度量的实证分析,说明了在我国操作风险损失数据普遍缺乏的情况下,这两种度量方法都有其一定的实用性,但收入模型的度量效果优于BIA法；最后提出我国商业银行操作风险度量方法应用的对策建议。
The risk management is an eternal topic in the commercial bank's developing process, effective operational risk measurement plays an important significance, which not only can enhance the core competitiveness of commercial bank,but also can strengthen the competitive risk management,guard the bank's loses,promotive the brand and make the finance industry health. Basel Committee on Banking Supervision (BCBS) has issued its new international capital accord in June,2004, in which operational risk was juxtaposed with market risk and credit risk as a whole in the first time, which have become three major risks of today's financial institutions, the operational risk management and regulation principles have emerged, and the economic capital of operational risk was requested. In March 2005, China Banking Regulatory Commission (CBRC) promulgated the notice which strengthen the work of antioperational risk and pulled open the new stage of operational risk's supervising and managing officially. CBRC in June 2007 issued a "commercial bank operational risk management guidelines," which made a further request for the risk management of banks, encouraged the banks to establish the risk management system which is suitable for the actual operating level, operational risk measurement and management became the key points of the sound operation of the banks. In 2008 the traders of Societe Generale operating irregularities caused huge operational risk loss events, which raises the importance of risk management operations. In order to regulate commercial bank operational risk regulatory capital measures, the CBRC promulgated the "commercial bank operational risk regulatory capital measurement guidelines," in September 2008, which will play a very important role in controlling the operation of the risk of commercial banks.
This paper takes the commercial bank's operational risk measurement methods as the main study object, with a focus on China's commercial banks for operational risk measurement model and empirical research. First of all, the paper introduces the application practice of operational risk measurement methods of domestic and foreign commercial banks, then according to the reality conditions of the operational risk of China's commercial banks at this stage, proposes the actual operational risk measurement methods which is suitable for China's commercial banks. Considering the lack of data, we choose basic indicator approach and income model to give the empirical analysis of operational risk in China's commercial banks. The results shows that the capital requirement based by basic indicator approach is very large and two methods has their own certain applicability, but the effect of income model is superior to BIA.Finally, the paper proposes the countermeasures and suggestions of the operational risk measurement methods application of China's commercial banks.
引文
1. Duncan Wilson. VaR in operation [J],Risk,1995,8(2):24-25.
2. Cruz, M., R.Coleman, G. Salkin. Modeling and Measuring Operational Risk[J], Journal of Risk,1998,(1):22-44.
3. Basel Committee on Banking Supervision. Working Paper on the Regulatory Treatment of Operational Risk, http://www.bis.org,2001.
4. Basel Committee on Banking Supervision. Sound Practices for the management and supervision of operational risk, http//:www.bis.org,2002.
5. Basel Committee on Banking Supervision. International Convergence of Capital Measurement and Capital Standards:A Revised Framework,http://www.bis.org,2004.
6. Michel Crouhy, Dan Galai and Robert Mark. Risk Management [M], McGrawHill, 2000,396-399.
7. Philippe Jorion. Value at Risk:The New Benchmark for Managing Financial Risk[M],McGrawHill,2001,23-45.
8. Michael Power. The invention of operation risk [D],The University of New South Wales,2003,(2):3-4.
9. Reimer Kuhn, Peter Neu. Functional correlation approach to operational risk in banking organizations [J], Physica A,2003,322(5).
10. Jack L King. Operational Risk:EVT Models[Z],American Risk and Insurance Association,2003,(3):2-5.
11. Mark Lawrence.The LD Abased Advanced Measurement for Operational Risk Current and InProgress Practice [Z],RMG Conference,2003,(3):6-12.
12. Moscadelli M. The modeling of operational risk:experience with the analysis of the data collected by the Basel Committee, Bank of Italy, Working Paper Series, Number 517,2004.
13. Robert Hbner等编,李雪莲、万志宏等译.金融机构操作风险新论[M],南开大学出版社,2005.
14.卡罗尔·亚历山大.商业银行操作风险[M],中国金融出版社,2005.
15. Chapelle,A., Y.Crama, G.Hubner, J.P.Peters. Measuring and Managing Operational Risk in the Financial Sector:An Integrated Framework, http://papers.ssrn.com/so13,2005,2.
16. Hubner, J.P.Peters., S.Plunus. Measuring Operational Risk in Financial Institutions: Contribution of credit risk Modeling, http://papers.ssrn.com/sol3,2005,3.
17.陈学华,杨辉耀,黄向阳.POT模型在商业银行操作风险度量中的应用[J],管理科学,2003,(1)：49-52.
18.田玲,蔡秋杰.中国商业银行操作风险度量模型的选择与应用[J],中国软科学,2003,(8)：38-42.
19.周效东,汤书昆.金融风险新领域：操作风险度量与管理研究[J],中国软科学2003,(12)：38-42.
20.樊欣,杨晓光.从媒体报道看我国商业银行操作风险状况[J],管理评论,2003,15(11)：43-47.
21.樊欣,杨晓光.操作风险度量：国内两家股份制商业银行的实证分析[J],系统工程,2004,(5)：44-48.
22.张新杨.我国商业银行的操作风险研究[D],苏州大学,2004.
23.樊欣,杨晓光.我国银行业操作风险的蒙特卡罗模拟估计[J],系统工程理论与实践,2005,(5)：12-18.
24.金建国,于立勇.新巴塞尔协议下的操作风险与我国银行业的应对策略[J],商业研究,2005,(21)：161-164.
25.高丽君,李建平,陈建明,王书平.一种新的商业银行操作风险计算方法：OpRisk[J],中国管理科学,2005,(10)：185-188.
26.张晓朴,罗迅,林凌.操作风险损失分类的原理与方法探讨[J],银行家,2006,(4)：122-125.
27.陈文.国外商业银行操作风险的度量与管理[J],统计与决策,2006,(7)：129-130.
28.阎庆民,蔡红艳.商业银行操作风险管理框架评价研究[J],金融研究,2006,(6)：61-70.
29.潘建国,张维.商业银行操作风险管理研究述评[J],金融论坛,2006,(8)：59-63.
30.杨旭.多变量极值理论在银行操作风险度量中的运用[J],数学的实践与认识,2006,(12)：22-26.
31.周好文,杨旭等.银行操作风险度量的实证分析[J],统计研究,2006,(6)：47-51.
32.张学陶,童晶.商业银行操作风险的实证分析与风险资本计量[J],财经理论与实践,2006,(3)：33-37.
33.任有泉.中国商业银行操作风险管理研究[D],天津大学,2006.
34.张文,张屹山.应用极值理论度量商业银行操作风险的实证研究[J],南方金融,2007,(2)：12-14.
35.汪办兴.我国商业银行操作风险损失数据的统计分析与成因的国际比较[J],上海金融,2007,(3)：42-44.
36.薛敏.新巴塞尔协议对建立我国商业银行操作风险量化管理模型的启示[J],西南金融,2007,(6)：20-21.
37.沈怡.我国商业银行操作风险管理研究[D],东华大学,2007.
38.袁德磊,赵定涛.基于媒体报道的国内银行业操作风险损失分布研究[J], 国际金融研究,2007,(2)：22-29.
39.刘桂荣, 赵妍.基于收入模型的商业银行操作风险的实证分析[J], 经济学与经济管理,2007,(3)：54-58.
40.李发新.论我国商业银行操作风险的度量与管理[D],山东大学,2008.
41. Mirzai B. University of Cambridge UK,Operational Risk Quantification and Insurance. Capital Allocation for Operational Risk Conference, Federal Reserve Bank of Boston,2001, (11),56-61.
42.张吉光.商业银行操作风险识别与管理[M],北京：人民大学出版社,2005,7-9.
43. Vito A.D'Andrea. Operational Risk Management the Bank of New York,2004,226-230.
44. Carol Alexander. Operational Risk Regulation, Analysis and Management Financial Times Prentice Hall.Jun,2003,309-315.
45.巴塞尔银行监管委员会.巴塞尔银行监管委员会文献汇编.中国金融出版社,2002,165-187.
46.田玲,蔡秋杰.中国商业银行操作风险度量模型的选择与应用[J],中国软科学,2003,(8)：38-42
47.任有泉.中国商业银行操作风险管理研究[D],天津大学,2006.
48.刘凌飞.商业银行操作风险管理框架研究[D],厦门大学,2006.
49. FSA:Building a framework for operational risk management:the FSA'sobservations, [EB/01],July 2003,http://www.fsa.org.uk.
2. Cruz, M., R.Coleman, G. Salkin. Modeling and Measuring Operational Risk[J], Journal of Risk,1998,(1):22-44.
3. Basel Committee on Banking Supervision. Working Paper on the Regulatory Treatment of Operational Risk, http://www.bis.org,2001.
4. Basel Committee on Banking Supervision. Sound Practices for the management and supervision of operational risk, http//:www.bis.org,2002.
5. Basel Committee on Banking Supervision. International Convergence of Capital Measurement and Capital Standards:A Revised Framework,http://www.bis.org,2004.
6. Michel Crouhy, Dan Galai and Robert Mark. Risk Management [M], McGrawHill, 2000,396-399.
7. Philippe Jorion. Value at Risk:The New Benchmark for Managing Financial Risk[M],McGrawHill,2001,23-45.
8. Michael Power. The invention of operation risk [D],The University of New South Wales,2003,(2):3-4.
9. Reimer Kuhn, Peter Neu. Functional correlation approach to operational risk in banking organizations [J], Physica A,2003,322(5).
10. Jack L King. Operational Risk:EVT Models[Z],American Risk and Insurance Association,2003,(3):2-5.
11. Mark Lawrence.The LD Abased Advanced Measurement for Operational Risk Current and InProgress Practice [Z],RMG Conference,2003,(3):6-12.
12. Moscadelli M. The modeling of operational risk:experience with the analysis of the data collected by the Basel Committee, Bank of Italy, Working Paper Series, Number 517,2004.
13. Robert Hbner等编,李雪莲、万志宏等译.金融机构操作风险新论[M],南开大学出版社,2005.
14.卡罗尔·亚历山大.商业银行操作风险[M],中国金融出版社,2005.
15. Chapelle,A., Y.Crama, G.Hubner, J.P.Peters. Measuring and Managing Operational Risk in the Financial Sector:An Integrated Framework, http://papers.ssrn.com/so13,2005,2.
16. Hubner, J.P.Peters., S.Plunus. Measuring Operational Risk in Financial Institutions: Contribution of credit risk Modeling, http://papers.ssrn.com/sol3,2005,3.
17.陈学华,杨辉耀,黄向阳.POT模型在商业银行操作风险度量中的应用[J],管理科学,2003,(1)：49-52.
18.田玲,蔡秋杰.中国商业银行操作风险度量模型的选择与应用[J],中国软科学,2003,(8)：38-42.
19.周效东,汤书昆.金融风险新领域：操作风险度量与管理研究[J],中国软科学2003,(12)：38-42.
20.樊欣,杨晓光.从媒体报道看我国商业银行操作风险状况[J],管理评论,2003,15(11)：43-47.
21.樊欣,杨晓光.操作风险度量：国内两家股份制商业银行的实证分析[J],系统工程,2004,(5)：44-48.
22.张新杨.我国商业银行的操作风险研究[D],苏州大学,2004.
23.樊欣,杨晓光.我国银行业操作风险的蒙特卡罗模拟估计[J],系统工程理论与实践,2005,(5)：12-18.
24.金建国,于立勇.新巴塞尔协议下的操作风险与我国银行业的应对策略[J],商业研究,2005,(21)：161-164.
25.高丽君,李建平,陈建明,王书平.一种新的商业银行操作风险计算方法：OpRisk[J],中国管理科学,2005,(10)：185-188.
26.张晓朴,罗迅,林凌.操作风险损失分类的原理与方法探讨[J],银行家,2006,(4)：122-125.
27.陈文.国外商业银行操作风险的度量与管理[J],统计与决策,2006,(7)：129-130.
28.阎庆民,蔡红艳.商业银行操作风险管理框架评价研究[J],金融研究,2006,(6)：61-70.
29.潘建国,张维.商业银行操作风险管理研究述评[J],金融论坛,2006,(8)：59-63.
30.杨旭.多变量极值理论在银行操作风险度量中的运用[J],数学的实践与认识,2006,(12)：22-26.
31.周好文,杨旭等.银行操作风险度量的实证分析[J],统计研究,2006,(6)：47-51.
32.张学陶,童晶.商业银行操作风险的实证分析与风险资本计量[J],财经理论与实践,2006,(3)：33-37.
33.任有泉.中国商业银行操作风险管理研究[D],天津大学,2006.
34.张文,张屹山.应用极值理论度量商业银行操作风险的实证研究[J],南方金融,2007,(2)：12-14.
35.汪办兴.我国商业银行操作风险损失数据的统计分析与成因的国际比较[J],上海金融,2007,(3)：42-44.
36.薛敏.新巴塞尔协议对建立我国商业银行操作风险量化管理模型的启示[J],西南金融,2007,(6)：20-21.
37.沈怡.我国商业银行操作风险管理研究[D],东华大学,2007.
38.袁德磊,赵定涛.基于媒体报道的国内银行业操作风险损失分布研究[J], 国际金融研究,2007,(2)：22-29.
39.刘桂荣, 赵妍.基于收入模型的商业银行操作风险的实证分析[J], 经济学与经济管理,2007,(3)：54-58.
40.李发新.论我国商业银行操作风险的度量与管理[D],山东大学,2008.
41. Mirzai B. University of Cambridge UK,Operational Risk Quantification and Insurance. Capital Allocation for Operational Risk Conference, Federal Reserve Bank of Boston,2001, (11),56-61.
42.张吉光.商业银行操作风险识别与管理[M],北京：人民大学出版社,2005,7-9.
43. Vito A.D'Andrea. Operational Risk Management the Bank of New York,2004,226-230.
44. Carol Alexander. Operational Risk Regulation, Analysis and Management Financial Times Prentice Hall.Jun,2003,309-315.
45.巴塞尔银行监管委员会.巴塞尔银行监管委员会文献汇编.中国金融出版社,2002,165-187.
46.田玲,蔡秋杰.中国商业银行操作风险度量模型的选择与应用[J],中国软科学,2003,(8)：38-42
47.任有泉.中国商业银行操作风险管理研究[D],天津大学,2006.
48.刘凌飞.商业银行操作风险管理框架研究[D],厦门大学,2006.
49. FSA:Building a framework for operational risk management:the FSA'sobservations, [EB/01],July 2003,http://www.fsa.org.uk.