我国商业银行操作风险管理研究
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摘要
新巴塞尔协议一大重要思想和创新就是确定了操作风险在商业银行的风险管理中的重要位置，目前国际上先进的商业银行都已经迅速跟进新巴塞尔协议，正如火如荼地开展对操作风险的管理和防范工作。我国已全面放开银行业，加速与国际接轨，但是操作风险管理一直是我国商业银行风险管理的软肋，如何治理好操作风险具有非常重要的意义。
要管理好操作风险首先要深入认识操作风险的外延和内涵，这是管理操作风险的基础。巴塞尔协议逻辑在演进中提出了操作风险，将其列为“三大风险”之一，“三大支柱”可视为操作风险的治理的最低要求和标准。对于操作风险内涵的界定，讨论激烈，百家争鸣。本文主要基于新巴塞尔协议对操作风险的定义、分类、特征等内涵做了界定。
我国的操作风险起步较晚，研究成果相对欠缺，但不能完全照搬国外发达国家的研究成果，一定要考虑到我国实情，走出具有我国特色的商业银行操作风险管理之路。我国商业银行历年的操作风险损失数据和案件反映了我国的现状：损失频繁、金额巨大、危害严重；其中欺诈占了最大比例。成因可归结为四点：产权制度缺陷和政府过度干预、缺乏健全的管理框架、定性管理技术手段单一、定量管理技术十分薄弱。
鉴于我国商业银行大部分已完成“股改”，体制问题到了初步缓解，本文根据成因分析得出的结论，主要从商业银行内部控制的角度出发，进行了对策设计和甄选。笔者借鉴了国际先进的管理理念，结合我国实际，构建了适合我国商业银行操作风险管理的总体框架，并对框架所包含的“七大组成要素”(战略和政策、组织结构、定性管理技术、定量管理技术、系统、保障体系和文化环境)逐一研究，找到解决对策。定性管理工具是框架落实的基础和深化，笔者设计了“风险管理目标与政策设定—风险评估—风险处置与持续改进-风险缓释—风险报告—信息交流与反馈”的操作风险管理流程及相应工具，如分类的决策树(Decision Tree)、关键控制准则(KCS)、关键控制自我评估(KCSA)、风险指标(KRIs)／计分卡方法(Scorecard Approaches)、风险报告概述(Reporting Minutes)。定量管理技术体现了稳健经营的理念，新巴塞尔协议中提出了基本指标法、标准法和高级衡量法这三种计量方法，虽然我国目前的管理水平只能勉强使用最简单的基本指标法，但是使用高级度量模型是今后发展的趋势。笔者通过对大量高级度量模型的比较和分析，根据我国操作风险低频高危事件占多、呈现“厚尾”分布的特性，筛选出了POT模型来度量我国商业银行操作风险，并对其应用做了研究。
本文的研究目的在于：通过基于新巴塞尔协议对操作风险的界定工作加深对我国商业银行操作风险的认识；通过我国商业银行操作风险的现状及成因分析看到我国的商业银行操作风险管理存在问题的症结；通过我国商业银行操作风险的对策设计和甄选有助于提高我国操作风险管理水平和技术。
值得一提的是本文有四大创新点。创新之一是引入博弈论的思维方法，建立了欺诈者和银行操作风险监管间的博弈模型，证实了加强我国商业银行内部监管力度可以有效减少欺诈爆发的概率。创新之二是本文以新巴塞尔协议、稳健经营、全面风险管理(ERM)框架为设计理念，参考了国际银行业先进管理的发展和实践，结合我国现实情况，设计出了一套适合我国商业银行操作风险管理的总体框架，并重点设计了流程和工具，体现了较强的可操作性和务实性。创新之三是本文并不是通过主观臆断来决定选用的度量模型，而对大量模型进行了客观的比较分析后，才筛选出了POT模型。并研究了在实际工作中如何用Matlab和S-PLUS等计算机软件来处理庞大的数据，即是理论先导又在实际应用有较强可操作性。创新之四是在整篇文章的研究过程中，运用了大量的结构模型，以图表的形式，清晰、直观、形象化地展示本文的研究成果，便于实际管理中的应用。
总之，尽管我国商业银行各有特色，业务也个不尽相同，但是明晰的战略，强执行力的组织结构、流畅简洁的流程、实用高效的工具、高效报告制度、快速的应变计划、合适的资本配置模型、先进的系统、多条防线的保障体系和良好的操作风险文化环境等是任何规模的银行有效管理操作风险的关键因素。
One of the most important thoughts and innovations of New Basel Accord is thatit confirms the significant position of Operational Risk (OR) in riskmanagement of commercial banks. Nowadays, the international commercialbanks have been quickly following the New Basel Accord to take part in themanagement and prevention of operational risk. Our country has opened up bankindustry to run after the international excellent banks. However the ORmanagement has always been the weak-point for Chinese commercial banks. It isvery important and meaningful to solve operational risk problem.
In order to manage operational risk, we must recognize the extension andconnotation of operational risk, which is the foundation work. Basel Accord putsforward operational risk during its logical development, and lists it as one of"Three Big Risks" in commercial banks. "The Three Pillars" are the lowestrequirements and standards for operational risk management. It is quitedisputable to define the connotation of operational risk management. The authormainly relies on New Basel Accord to define the definition, category andcharacter of operational risk, which reflects the guiding suggestion and trend ofinternational bank supervise.
Operational risk management starts late in China. There are lacks in research ofOR managment. However we can not use all research outcome of developedcountry. We must consider the real situation of our country and work out aChinese-characteristic way of OR management for Chinese commercial banks.Those historical OR events and losses show the status quo for Chinese banks thatloss amount is high and quite harmful. From the comparison, we can clearly seethe difference of Chinese commercial banks that a lot of OR loss events are arisenfrom Fraud. The root causes are wrong property-rights and too much interventionby the government, lack of intact management framework, simpleness inqualified management skills and weakness in quantified management skills.
As many Chinese commercial banks have reformed their property-rights, theauthor mainly focuses on the bank internal control to design and choose solutionfor Chinese commercial banks. With the combination of theory and practice, NewBasel Accord and the practice of international commercial banks, the idea ofsound operation principle and entire risk management and the Enterprised RiskManagmet(ERM) framework, the author proposes to set a sound and overallframework for OR management. The work can be divided into three major parts.The first part is the overall framework design for Chinese commercial bankswhich contains seven basic elements (strategy&policy, organizational chart,qualified management skills, quantified management skills, system, assuranceand culture environment). The second part is the design of process and its toolsfor OR management. The author designed the process ("risk strategy&policyset-risk assessment-risk treatment and continous improvement-riskreport-information exchage and feedback") and relative tools like Basel decisiontree, key control standard (KCS), key control self-assessment (KCSA), riskindicator (KRIs)/Scorecard Approaches, Reporting Minutes and so on.The thirdpart is filteration and application of the measurement model for Chinesecommercial banks. Basel committee has suggestted Basic Indicator Approach,Standardized Approach, Advanced Measurement Approach. Although Chinesecommercial banks can barely use the former two, the Advanced MeasurementApproach is our goal in long run. Because the OR loss in Chinese commercialbanks has a characteristic of High Frequency Low Impact showing a 'Fat-Taileddistribution', the POT model is recommended for capital allocation.
The research aims to enhance the recognization of Chinese commercial banks bydefine of OR based on New Basel Accord, to find the sticking point by analysisof the status quo. and root cause of Chinese commercial banks, and to upgrade thelevel of OR management in Chinese commercial banks by solution designed andchosen.
There are four innovation points in this paper. One innovation is that the authorsets the Game Theory Model between the Fraud and the commercial bank ORrisk management to analyze the internal cause of the situation from a theoretic view. The conclusion is that if Chinese commercial banks enhance the ORmanagement, a lot of OR issue can be avoid and it is a great importance forChinese commercial banks to set a sound OR management mechanism right nowThe second innovation is that the author designs an overall OR managementframework for Chinese commercial banks with reference of OR managementconcept conbining New Basel Accord, ERM and advanced OR managementdevelopment and practice. The author also focuses on the design of process andtools, which shows the maneuverability and practicality of this research.TheThird innovation is that the author picks out POT model by lots of objectcomparisons instead of subject decisions. The author also analyses how to usePOT model in computer software Matlab and S-Plus. This is the theoreticalinstruction. The forth innovation is that the author uses lots of stracture model intable or figure style to show the research outcome, which is more clearly, directlyand visiblebly.It is also convenient to use in real practice.
Although there are lots of differences among Chinese commercial banks, theclear strategy, strong execution-force organization, smooth process, practical andeffective tools, high-tech system, accessible reporting process, quick response toemergency, multi-way of assurance and adaptable capital allocation model is thebasic and leading way.
要管理好操作风险首先要深入认识操作风险的外延和内涵，这是管理操作风险的基础。巴塞尔协议逻辑在演进中提出了操作风险，将其列为“三大风险”之一，“三大支柱”可视为操作风险的治理的最低要求和标准。对于操作风险内涵的界定，讨论激烈，百家争鸣。本文主要基于新巴塞尔协议对操作风险的定义、分类、特征等内涵做了界定。
我国的操作风险起步较晚，研究成果相对欠缺，但不能完全照搬国外发达国家的研究成果，一定要考虑到我国实情，走出具有我国特色的商业银行操作风险管理之路。我国商业银行历年的操作风险损失数据和案件反映了我国的现状：损失频繁、金额巨大、危害严重；其中欺诈占了最大比例。成因可归结为四点：产权制度缺陷和政府过度干预、缺乏健全的管理框架、定性管理技术手段单一、定量管理技术十分薄弱。
鉴于我国商业银行大部分已完成“股改”，体制问题到了初步缓解，本文根据成因分析得出的结论，主要从商业银行内部控制的角度出发，进行了对策设计和甄选。笔者借鉴了国际先进的管理理念，结合我国实际，构建了适合我国商业银行操作风险管理的总体框架，并对框架所包含的“七大组成要素”(战略和政策、组织结构、定性管理技术、定量管理技术、系统、保障体系和文化环境)逐一研究，找到解决对策。定性管理工具是框架落实的基础和深化，笔者设计了“风险管理目标与政策设定—风险评估—风险处置与持续改进-风险缓释—风险报告—信息交流与反馈”的操作风险管理流程及相应工具，如分类的决策树(Decision Tree)、关键控制准则(KCS)、关键控制自我评估(KCSA)、风险指标(KRIs)／计分卡方法(Scorecard Approaches)、风险报告概述(Reporting Minutes)。定量管理技术体现了稳健经营的理念，新巴塞尔协议中提出了基本指标法、标准法和高级衡量法这三种计量方法，虽然我国目前的管理水平只能勉强使用最简单的基本指标法，但是使用高级度量模型是今后发展的趋势。笔者通过对大量高级度量模型的比较和分析，根据我国操作风险低频高危事件占多、呈现“厚尾”分布的特性，筛选出了POT模型来度量我国商业银行操作风险，并对其应用做了研究。
本文的研究目的在于：通过基于新巴塞尔协议对操作风险的界定工作加深对我国商业银行操作风险的认识；通过我国商业银行操作风险的现状及成因分析看到我国的商业银行操作风险管理存在问题的症结；通过我国商业银行操作风险的对策设计和甄选有助于提高我国操作风险管理水平和技术。
值得一提的是本文有四大创新点。创新之一是引入博弈论的思维方法，建立了欺诈者和银行操作风险监管间的博弈模型，证实了加强我国商业银行内部监管力度可以有效减少欺诈爆发的概率。创新之二是本文以新巴塞尔协议、稳健经营、全面风险管理(ERM)框架为设计理念，参考了国际银行业先进管理的发展和实践，结合我国现实情况，设计出了一套适合我国商业银行操作风险管理的总体框架，并重点设计了流程和工具，体现了较强的可操作性和务实性。创新之三是本文并不是通过主观臆断来决定选用的度量模型，而对大量模型进行了客观的比较分析后，才筛选出了POT模型。并研究了在实际工作中如何用Matlab和S-PLUS等计算机软件来处理庞大的数据，即是理论先导又在实际应用有较强可操作性。创新之四是在整篇文章的研究过程中，运用了大量的结构模型，以图表的形式，清晰、直观、形象化地展示本文的研究成果，便于实际管理中的应用。
总之，尽管我国商业银行各有特色，业务也个不尽相同，但是明晰的战略，强执行力的组织结构、流畅简洁的流程、实用高效的工具、高效报告制度、快速的应变计划、合适的资本配置模型、先进的系统、多条防线的保障体系和良好的操作风险文化环境等是任何规模的银行有效管理操作风险的关键因素。
One of the most important thoughts and innovations of New Basel Accord is thatit confirms the significant position of Operational Risk (OR) in riskmanagement of commercial banks. Nowadays, the international commercialbanks have been quickly following the New Basel Accord to take part in themanagement and prevention of operational risk. Our country has opened up bankindustry to run after the international excellent banks. However the ORmanagement has always been the weak-point for Chinese commercial banks. It isvery important and meaningful to solve operational risk problem.
In order to manage operational risk, we must recognize the extension andconnotation of operational risk, which is the foundation work. Basel Accord putsforward operational risk during its logical development, and lists it as one of"Three Big Risks" in commercial banks. "The Three Pillars" are the lowestrequirements and standards for operational risk management. It is quitedisputable to define the connotation of operational risk management. The authormainly relies on New Basel Accord to define the definition, category andcharacter of operational risk, which reflects the guiding suggestion and trend ofinternational bank supervise.
Operational risk management starts late in China. There are lacks in research ofOR managment. However we can not use all research outcome of developedcountry. We must consider the real situation of our country and work out aChinese-characteristic way of OR management for Chinese commercial banks.Those historical OR events and losses show the status quo for Chinese banks thatloss amount is high and quite harmful. From the comparison, we can clearly seethe difference of Chinese commercial banks that a lot of OR loss events are arisenfrom Fraud. The root causes are wrong property-rights and too much interventionby the government, lack of intact management framework, simpleness inqualified management skills and weakness in quantified management skills.
As many Chinese commercial banks have reformed their property-rights, theauthor mainly focuses on the bank internal control to design and choose solutionfor Chinese commercial banks. With the combination of theory and practice, NewBasel Accord and the practice of international commercial banks, the idea ofsound operation principle and entire risk management and the Enterprised RiskManagmet(ERM) framework, the author proposes to set a sound and overallframework for OR management. The work can be divided into three major parts.The first part is the overall framework design for Chinese commercial bankswhich contains seven basic elements (strategy&policy, organizational chart,qualified management skills, quantified management skills, system, assuranceand culture environment). The second part is the design of process and its toolsfor OR management. The author designed the process ("risk strategy&policyset-risk assessment-risk treatment and continous improvement-riskreport-information exchage and feedback") and relative tools like Basel decisiontree, key control standard (KCS), key control self-assessment (KCSA), riskindicator (KRIs)/Scorecard Approaches, Reporting Minutes and so on.The thirdpart is filteration and application of the measurement model for Chinesecommercial banks. Basel committee has suggestted Basic Indicator Approach,Standardized Approach, Advanced Measurement Approach. Although Chinesecommercial banks can barely use the former two, the Advanced MeasurementApproach is our goal in long run. Because the OR loss in Chinese commercialbanks has a characteristic of High Frequency Low Impact showing a 'Fat-Taileddistribution', the POT model is recommended for capital allocation.
The research aims to enhance the recognization of Chinese commercial banks bydefine of OR based on New Basel Accord, to find the sticking point by analysisof the status quo. and root cause of Chinese commercial banks, and to upgrade thelevel of OR management in Chinese commercial banks by solution designed andchosen.
There are four innovation points in this paper. One innovation is that the authorsets the Game Theory Model between the Fraud and the commercial bank ORrisk management to analyze the internal cause of the situation from a theoretic view. The conclusion is that if Chinese commercial banks enhance the ORmanagement, a lot of OR issue can be avoid and it is a great importance forChinese commercial banks to set a sound OR management mechanism right nowThe second innovation is that the author designs an overall OR managementframework for Chinese commercial banks with reference of OR managementconcept conbining New Basel Accord, ERM and advanced OR managementdevelopment and practice. The author also focuses on the design of process andtools, which shows the maneuverability and practicality of this research.TheThird innovation is that the author picks out POT model by lots of objectcomparisons instead of subject decisions. The author also analyses how to usePOT model in computer software Matlab and S-Plus. This is the theoreticalinstruction. The forth innovation is that the author uses lots of stracture model intable or figure style to show the research outcome, which is more clearly, directlyand visiblebly.It is also convenient to use in real practice.
Although there are lots of differences among Chinese commercial banks, theclear strategy, strong execution-force organization, smooth process, practical andeffective tools, high-tech system, accessible reporting process, quick response toemergency, multi-way of assurance and adaptable capital allocation model is thebasic and leading way.
引文
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