商业银行操作风险度量研究
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摘要
金融行业的高速发展和银行经营环境发生的重大改变催生了大量具有广泛影响的操作风险。近年来,国际金融业发生了一系列严重的极端损失事件,使得司空见惯的操作风险逐渐引起了监管部门和全行业的高度重视。目前,如何有效度量银行业的操作风险已成为当前风险管理领域研究的热点和最具挑战性的难点所在。
操作风险的起因、来源和表现都十分复杂,因此深入理解操作风险是对其进行度量的前提。本文全面、系统地分析了国际银行业与监管当局多年来对操作风险进行探索的成果,理清了巴塞尔委员会制定的监管框架对度量操作风险产生的关键影响。
现有的操作风险度量方法可以分为自上而下和自下而上两类。两类方法各有优劣,适用范围各不相同。目前的研究主要集中在基于组合理论的自下而上的方法上。其中,具有代表性的方法包括损失分布法、极值理论法和贝叶斯网络等。监管当局的激励使得这个研究领域蓬勃发展。
操作风险损失数据的匮乏是度量操作风险的最大障碍。这个问题对低频高损的重大损失事件更加突出。作为国内银行业典型的操作风险类型,恰当度量内部欺诈风险已成为我国银行目前最迫切需要解决的问题之一。本文的研究借助POT模型的性质对内部欺诈的损失强度和损失频率进行直接估计,解决了用小样本进行损失分布拟合的难题。在数据稀缺的情况下为保证参数估计的质量,引入了贝叶斯MCMC的估计方法。研究表明该方法比极大似然估计稳定性好,准确性高。对实际收集的内部欺诈数据研究分析发现,我国银行的内部欺诈风险严重性远远高于国际银行业。在七种操作风险类型中,内部欺诈居于非常重要的地位,其造成的损失相当严重。我国银行为抵御内部欺诈风险不得不持有巨额风险资本,从而降低了竞争优势。
鉴于自上而下方法的重要性和目前此类方法中存在明显的缺陷,论文构建了一个基于上市银行股票收益的自上而下模型对上市银行的总体操作风险进行了度量。该模型得到的度量结果不但覆盖了银行面临的全部操作风险范畴,并且是可观测的。这一方法不仅可用于校正高级度量法的估计结果,也可以对巴塞尔协议中的自上而下方法(如基本指标法)进行评估。利用我国五家上市银行2000年到2006年面板收益数据,我们对这些银行的操作风险进行了评估,发现了在我国上市银行的股票收益中操作风险所占的平均比率①,结果显示我国上市银行中存在大量未经管理的操作风险。这些操作风险对应的经济资本与用基本指标法计算的操作风险经济资本大致相当,说明按照巴塞尔新资本协议规定的基本指标法来确定风险资本基本能够满足抵御操作风险的要求。
论文还对银行内部操作风险记分卡的建立和实施进行了研究。记分卡法结合了历史损失数据信息与定性分析,使操作风险资本的估计更完善合理。在内部记分卡系统建立后,银行能够增强捕捉潜在风险状况的能力,改善各业务类型中的风险控制环境,并提供一种前瞻性的风险资本计算方式。
Rapid development in financial industry and significant changes in business environments have led a great deal of operational risks. Although financial institutions, especially banks, operates in such an environment full of increasing operational risks; its importance has not been fully recognized by bankers and regulators until a series of severe and fatal operational loss events in international financial industry since 1990s. At present, how to effectively measure operational risk is the focus and challenge for all practitioners and researchers.
It is crucial to understand the causes, sources and consequences of operational risk, as a better understanding of operational risk helps us to measure it more accurately. In this paper, I review the research works of prior literatures and analyse the regulatory framework for operational risk proposed by the Basel committee of Banking Supervision. These important principles greatly impact the measurement of operational risk in practice.
In current literatures, there are two methodologies in measuring operational risk, top-down and bottom-up. They are applied under different circumstances. A lot of bottom-up approaches have been developed, including internal measurement approaches, loss distribution approaches, scorecard approaches, extreme value models, Bayesian network and so on. This field is evolving rapidly.
The scarce of operational loss data made us difficult to study the nature of operational risk, especially for those low frequency/high severity events, such as internal fraud. Internal fraud has brought many disastrous losses to the banking industry in China. For the first time, this dissertation evaluates the internal fraud risk and the corresponding economic capital for Chinese banks. The POT (peaks over threshold) model is employed to estimate the severity and the frequency of internal fraud loss, and the parameters required by POT are estimated by using a Bayesian MCMC method which overcomes the problems caused by insufficiency of loss data. My study reveals that the internal fraud risk, as one of the seven loss types of operational risk present in the new Basel Accord, is the major element of operational risk for banking industry in China.
I also establish an operational risk evaluation model, using top-down approach, to measure comprehensive operational risk of listed banks in China. Using a quarterly panel data of equity returns over the period 2000-2006, the model returns a“residual”operational risk measure for (five) Chinese listed banks. The above method avoids the data problems with bottom-up approach, and it can be a supplement for advanced approach for estimating economic capital purposes. We find the ratio of operational risk to total equity for listed banks in China①. The risk level, after transformed into the corresponding economic capital, is consistent with the outcome of Basic Indicator Approach in the new Basel Accord. This also suggests that the Basic Indicator Approach be a suitable operational risk capital estimation approach for banks in China.
Furthermore, this paper shows how to establish and implement the scorecard system /approach as a mean to measure operational risk in a bank. The advantage of scorecard approach is that it measures operational risk by taking quantitative and qualitative data into account. Once an internal scorecard system is established, potential risk profiles can be captured more efficiently and effectively. This approach also provides a foreword-looking estimation for required operational risk capital.
操作风险的起因、来源和表现都十分复杂,因此深入理解操作风险是对其进行度量的前提。本文全面、系统地分析了国际银行业与监管当局多年来对操作风险进行探索的成果,理清了巴塞尔委员会制定的监管框架对度量操作风险产生的关键影响。
现有的操作风险度量方法可以分为自上而下和自下而上两类。两类方法各有优劣,适用范围各不相同。目前的研究主要集中在基于组合理论的自下而上的方法上。其中,具有代表性的方法包括损失分布法、极值理论法和贝叶斯网络等。监管当局的激励使得这个研究领域蓬勃发展。
操作风险损失数据的匮乏是度量操作风险的最大障碍。这个问题对低频高损的重大损失事件更加突出。作为国内银行业典型的操作风险类型,恰当度量内部欺诈风险已成为我国银行目前最迫切需要解决的问题之一。本文的研究借助POT模型的性质对内部欺诈的损失强度和损失频率进行直接估计,解决了用小样本进行损失分布拟合的难题。在数据稀缺的情况下为保证参数估计的质量,引入了贝叶斯MCMC的估计方法。研究表明该方法比极大似然估计稳定性好,准确性高。对实际收集的内部欺诈数据研究分析发现,我国银行的内部欺诈风险严重性远远高于国际银行业。在七种操作风险类型中,内部欺诈居于非常重要的地位,其造成的损失相当严重。我国银行为抵御内部欺诈风险不得不持有巨额风险资本,从而降低了竞争优势。
鉴于自上而下方法的重要性和目前此类方法中存在明显的缺陷,论文构建了一个基于上市银行股票收益的自上而下模型对上市银行的总体操作风险进行了度量。该模型得到的度量结果不但覆盖了银行面临的全部操作风险范畴,并且是可观测的。这一方法不仅可用于校正高级度量法的估计结果,也可以对巴塞尔协议中的自上而下方法(如基本指标法)进行评估。利用我国五家上市银行2000年到2006年面板收益数据,我们对这些银行的操作风险进行了评估,发现了在我国上市银行的股票收益中操作风险所占的平均比率①,结果显示我国上市银行中存在大量未经管理的操作风险。这些操作风险对应的经济资本与用基本指标法计算的操作风险经济资本大致相当,说明按照巴塞尔新资本协议规定的基本指标法来确定风险资本基本能够满足抵御操作风险的要求。
论文还对银行内部操作风险记分卡的建立和实施进行了研究。记分卡法结合了历史损失数据信息与定性分析,使操作风险资本的估计更完善合理。在内部记分卡系统建立后,银行能够增强捕捉潜在风险状况的能力,改善各业务类型中的风险控制环境,并提供一种前瞻性的风险资本计算方式。
Rapid development in financial industry and significant changes in business environments have led a great deal of operational risks. Although financial institutions, especially banks, operates in such an environment full of increasing operational risks; its importance has not been fully recognized by bankers and regulators until a series of severe and fatal operational loss events in international financial industry since 1990s. At present, how to effectively measure operational risk is the focus and challenge for all practitioners and researchers.
It is crucial to understand the causes, sources and consequences of operational risk, as a better understanding of operational risk helps us to measure it more accurately. In this paper, I review the research works of prior literatures and analyse the regulatory framework for operational risk proposed by the Basel committee of Banking Supervision. These important principles greatly impact the measurement of operational risk in practice.
In current literatures, there are two methodologies in measuring operational risk, top-down and bottom-up. They are applied under different circumstances. A lot of bottom-up approaches have been developed, including internal measurement approaches, loss distribution approaches, scorecard approaches, extreme value models, Bayesian network and so on. This field is evolving rapidly.
The scarce of operational loss data made us difficult to study the nature of operational risk, especially for those low frequency/high severity events, such as internal fraud. Internal fraud has brought many disastrous losses to the banking industry in China. For the first time, this dissertation evaluates the internal fraud risk and the corresponding economic capital for Chinese banks. The POT (peaks over threshold) model is employed to estimate the severity and the frequency of internal fraud loss, and the parameters required by POT are estimated by using a Bayesian MCMC method which overcomes the problems caused by insufficiency of loss data. My study reveals that the internal fraud risk, as one of the seven loss types of operational risk present in the new Basel Accord, is the major element of operational risk for banking industry in China.
I also establish an operational risk evaluation model, using top-down approach, to measure comprehensive operational risk of listed banks in China. Using a quarterly panel data of equity returns over the period 2000-2006, the model returns a“residual”operational risk measure for (five) Chinese listed banks. The above method avoids the data problems with bottom-up approach, and it can be a supplement for advanced approach for estimating economic capital purposes. We find the ratio of operational risk to total equity for listed banks in China①. The risk level, after transformed into the corresponding economic capital, is consistent with the outcome of Basic Indicator Approach in the new Basel Accord. This also suggests that the Basic Indicator Approach be a suitable operational risk capital estimation approach for banks in China.
Furthermore, this paper shows how to establish and implement the scorecard system /approach as a mean to measure operational risk in a bank. The advantage of scorecard approach is that it measures operational risk by taking quantitative and qualitative data into account. Once an internal scorecard system is established, potential risk profiles can be captured more efficiently and effectively. This approach also provides a foreword-looking estimation for required operational risk capital.
引文
① 刘明康: 大型商业银行 2010 年实施巴塞尔新资本协议,新华网,2006-9-5
① 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,系统工程,2004,22(5):44-48
①《刘明康谈银行业三大风险 案件 80%缘于职务犯罪》,新华网,2005-6-13。
②《国有银行案件频发 外资入股定价打上五重折扣》,新华网,2005-9-8。
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①《刘明康谈银行业三大风险 案件 80%缘于职务犯罪》,新华网,2005-6-13。
②《国有银行案件频发 外资入股定价打上五重折扣》,新华网,2005-9-8。
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