我国商业银行操作风险度量方法的选择研究
摘要
随着2004年新巴塞尔资本协议的公布,对操作风险的度量研究已经成为银行业目前的热门话题。与市场风险和信用风险相比,操作风险领域还缺乏真正成熟的度量方法。我国商业银行操作风险损失事件发生较为频繁,操作风险正日益成为我国商业银行面临的主要风险。因此如何改进操作风险的度量方法以提升我国银行业的操作风险的管理水平是我国银行业所面临的迫切任务。因此,对我国商业银行的操作风险度量方法问题开展研究具有重要的现实意义。
首先,本文对操作风险进行了概述,为后文的实证研究奠定了基础。然后介绍了巴塞尔委员会提出的三种渐进的度量模型：基本指标法、标准法、高级衡量法,并就各种方法的特点做了比较分析；而后通过讨论各种度量方法的适用性并对比实证结果,对各种方法在我国的具体应用进行比较。由于损失数据的缺失,本文仅就基本指标法、标准法和收入模型进行了实证对比,实证结果表明,目前我国采用的标准法的资本要求要大于收入模型,并且收入模型的适用性更强,可以做为我国目前损失数据不足时期的一个过渡方法,对标准法进行补充。最后本文进一步给出了结论,并对我国操作风险的度量发展方向进行了展望。
Along with the announcement of the New Basel Accord in 2004, the study of operational risk quantifying has become a focus topic of attention in banking industries. Compared with the credit risk and market risk, there are still no general quantifying model accepted by scholars and banking management. Operational risk incidents happen frequently in our country in recent years shows operational risk has become the main risk faced by banks in China. So, how to improve operational risk management level on the basis of improving operational risk measurement techniques is the urgent task of our banking. Under the background it has weighty significance to study operational risk measurement of our banking.
The first part is an overview of the full text, it consists of three parts:the topics of the proposed, literature review and The framework of the full text. The second part provides an overview of the operational risk and lay the groundwork for the empirical analysis. Then this paper introduced and made comparison of three evolutionary models proposed by Basel committee, including Basic Indicator Approach, Standardized Approach and Advanced Measurement Approaches. In the fourth part of this paper, we make contrast of each approach by discussing the Suitability and the outcome of empirical analysis. Considering the lack of data, we only choose BIA,S A and income model to give the empirical analysis of operational risk, It shows the capital requirement based by SA is larger and income model has a better applicability to measure operational risk in Chinese commercial banks. So this paper advised that we could use income model as a supplement approach to SA. Finally, I summarize This paper and proposing countermeasures recommendations for the operating risk measure.
首先,本文对操作风险进行了概述,为后文的实证研究奠定了基础。然后介绍了巴塞尔委员会提出的三种渐进的度量模型：基本指标法、标准法、高级衡量法,并就各种方法的特点做了比较分析；而后通过讨论各种度量方法的适用性并对比实证结果,对各种方法在我国的具体应用进行比较。由于损失数据的缺失,本文仅就基本指标法、标准法和收入模型进行了实证对比,实证结果表明,目前我国采用的标准法的资本要求要大于收入模型,并且收入模型的适用性更强,可以做为我国目前损失数据不足时期的一个过渡方法,对标准法进行补充。最后本文进一步给出了结论,并对我国操作风险的度量发展方向进行了展望。
Along with the announcement of the New Basel Accord in 2004, the study of operational risk quantifying has become a focus topic of attention in banking industries. Compared with the credit risk and market risk, there are still no general quantifying model accepted by scholars and banking management. Operational risk incidents happen frequently in our country in recent years shows operational risk has become the main risk faced by banks in China. So, how to improve operational risk management level on the basis of improving operational risk measurement techniques is the urgent task of our banking. Under the background it has weighty significance to study operational risk measurement of our banking.
The first part is an overview of the full text, it consists of three parts:the topics of the proposed, literature review and The framework of the full text. The second part provides an overview of the operational risk and lay the groundwork for the empirical analysis. Then this paper introduced and made comparison of three evolutionary models proposed by Basel committee, including Basic Indicator Approach, Standardized Approach and Advanced Measurement Approaches. In the fourth part of this paper, we make contrast of each approach by discussing the Suitability and the outcome of empirical analysis. Considering the lack of data, we only choose BIA,S A and income model to give the empirical analysis of operational risk, It shows the capital requirement based by SA is larger and income model has a better applicability to measure operational risk in Chinese commercial banks. So this paper advised that we could use income model as a supplement approach to SA. Finally, I summarize This paper and proposing countermeasures recommendations for the operating risk measure.
引文
1洛仑兹·格利茨.金融工程学[M].北京：经济科学出版社。1998
2杰克·L·金.运作风险度量与管理[M].北京：中国人民大学出版社。2004
3 《Federal Reserve Guidelines for Rating Risk Management at State Member Bankers and Bank Holding Companies》, www.federalreserve.gov.
4 Jameson, R. Playing the Same Game[J]. Risk,1998, (11).38-45.
5 Basel committee on banking supervision. Operational Risk Management [DB/OL].www.bis.org.1998
7 Jorion,phillippe《风险价值/VAR》中信出版社,2005
8参见Bank of International Settlements,2001b,Working Paper No.8, http://www.bis.org/bcbs/ pub.htmlJHJwp, September
10见樊欣,杨晓光. 《从媒体报道看我国商业银行业操作风险状况》[J].管理评论,2003,15(11)：43—47.
[1]Alexander Carol. Bayesian methods for measuring operational risk. Discussion papers in Finance, ISM A Centre,2000.
[2]Aerts,Luc.A framework for management operational risk[J].The internal auditor,2001,58(4).
[3]Allen Linda,Jacob Boudoukh,Anthony Saunders.Understanding market,credit,and operational risk:the Value at Risk approach[M].Oxford:Blackwell Publishing,2004.
[4]Basel Committee on Banking Supervision, A New Capital Adequacy Framework.Basel:Basel Committee on Banking Supervision,, June 1999.
[5]Basel Committee on Banking Supervision. The new Basel Capital Accord:an explanatory note. Basel, Switzerland:Basel Committee on Banking Supervision,2001.
[6]Basel Committee on Banking Supervision.Sound practices for the management and supervision of operational risk.Basel,Switzerland:Basel Committee on Banking Supervision,2002.
[7]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,
[8]Beatriz Vaz de Melo Mendes,Rafael Martins de Souza, Measuring financial risks with copulas[J].International Review of Financial Analysis,2004(13),27-45.
[9]Michael Haubenstock,The Evolving Operational Risk Management framework,The RMA Journal,2001,(12).
[10]Carol Alexander,Bayesian methods for measuring operational risk.Discussion papers in Finance,ISMA Centre,2000.
[11]Carolyn V.Currie.Basel II and operational risk-overview of key concerns. Sydney:IQPC Operational Risk Forum,25th March 2004.
[12]Embrechts P, R Kaufmann, G Samorodnitsky, Ruin theory revisited:stochastic models for operational risk, http://www.math.rthz.cn/,2002,12:243-261
[13]Currie C.V..Basel II and operational risk-an overview. In:Cruz M.(Ed.),Operational risk modelling and analysis:theory and practice[M].London:Risk Books,2004.p59-104. [14] Embrechts P,Resnick S,Samorodnitsky G.Extreme value theoryas a risk management tool[J],North American Actuarial Journal,1999,(3):30-41.
[15]Ferro C.,Segers,J..Inference for clusters of extreme values [J], Journal of the Royal Statistical Society,2003,B65:545-556.
[16]Financial Services Authority.Operational risk systems and controls.July 2002. http://www.fsa.gov.uk/pubs/cp/cp142_newsletter.pdf.
[17]Holmes,M.Measuring Operational Risk:A Reality Check,Risk,2003,(16).
[18]Irv Beiman,Yong-Ling Sun.Balanced Scorecard and Strategy Execution Application in China[M].Beijing:China Machine Press,2004.
[19]Duncan Wilson, VaR in operation Risk,1995,8(2):24-25.
[20]沈沛龙,任若恩,新巴塞尔协议资本充足率计算方法剖析,金融研究[J],2002,(6).
[21]巴曙松,巴塞尔新资本协议研究,第1版,北京：中国金融出版社[J],2003,(10).
[22]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).
[23]钟伟,王元,略论新巴塞尔协议的操作风险管理框架,国际金融研究[J],2004,(4).
[24]樊欣,杨晓光,从媒体报道看我国商业银行操作风险状况,管理评论[J],2003,15(11).
[25]唐国储,刘京军,损失分布模型在操作风险中的应用分析,金融论坛[J],2005(9).
[26]王建伟,彭建刚,保险在商业银行操作风险管理中的应用研究,金融研究[J],2005(2).
[27]杨旭,多变量极值理论在银行操作风险度量中的运用,数学的实践与认识[J],2006(12).
[28]周好文,杨旭,聂磊,银行操作风险度量的实证分析,统计研究[J],2006(6).
[29]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,南方金融[J],2007.
[30]高丽君,李建平,徐伟宣等,基于HKKP估计的商业银行操作风险估计,系统工程[J],2006.
[31]孔薇,陈云,总分行制度下基于Delta-EVT模型的操作风险度量研究,金融论坛[J],2007年第6期.
[32]刘明彦,商业银行操作风险管理，北京：中国经济出版社,2008.
[33]张吉光,商业银行操作风险识别与管理,北京：中国人民大学出版社[M],2005.
[34]刘晓星,基于VaR的商业银行风险管理[M],北京：中国社会科学出版社[M],2007.
[35]卡罗尔亚历山大著,陈林龙等译,商业银行操作风险[M]北京：中国金融出版社,2004.
2杰克·L·金.运作风险度量与管理[M].北京：中国人民大学出版社。2004
3 《Federal Reserve Guidelines for Rating Risk Management at State Member Bankers and Bank Holding Companies》, www.federalreserve.gov.
4 Jameson, R. Playing the Same Game[J]. Risk,1998, (11).38-45.
5 Basel committee on banking supervision. Operational Risk Management [DB/OL].www.bis.org.1998
7 Jorion,phillippe《风险价值/VAR》中信出版社,2005
8参见Bank of International Settlements,2001b,Working Paper No.8, http://www.bis.org/bcbs/ pub.htmlJHJwp, September
10见樊欣,杨晓光. 《从媒体报道看我国商业银行业操作风险状况》[J].管理评论,2003,15(11)：43—47.
[1]Alexander Carol. Bayesian methods for measuring operational risk. Discussion papers in Finance, ISM A Centre,2000.
[2]Aerts,Luc.A framework for management operational risk[J].The internal auditor,2001,58(4).
[3]Allen Linda,Jacob Boudoukh,Anthony Saunders.Understanding market,credit,and operational risk:the Value at Risk approach[M].Oxford:Blackwell Publishing,2004.
[4]Basel Committee on Banking Supervision, A New Capital Adequacy Framework.Basel:Basel Committee on Banking Supervision,, June 1999.
[5]Basel Committee on Banking Supervision. The new Basel Capital Accord:an explanatory note. Basel, Switzerland:Basel Committee on Banking Supervision,2001.
[6]Basel Committee on Banking Supervision.Sound practices for the management and supervision of operational risk.Basel,Switzerland:Basel Committee on Banking Supervision,2002.
[7]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,
[8]Beatriz Vaz de Melo Mendes,Rafael Martins de Souza, Measuring financial risks with copulas[J].International Review of Financial Analysis,2004(13),27-45.
[9]Michael Haubenstock,The Evolving Operational Risk Management framework,The RMA Journal,2001,(12).
[10]Carol Alexander,Bayesian methods for measuring operational risk.Discussion papers in Finance,ISMA Centre,2000.
[11]Carolyn V.Currie.Basel II and operational risk-overview of key concerns. Sydney:IQPC Operational Risk Forum,25th March 2004.
[12]Embrechts P, R Kaufmann, G Samorodnitsky, Ruin theory revisited:stochastic models for operational risk, http://www.math.rthz.cn/,2002,12:243-261
[13]Currie C.V..Basel II and operational risk-an overview. In:Cruz M.(Ed.),Operational risk modelling and analysis:theory and practice[M].London:Risk Books,2004.p59-104. [14] Embrechts P,Resnick S,Samorodnitsky G.Extreme value theoryas a risk management tool[J],North American Actuarial Journal,1999,(3):30-41.
[15]Ferro C.,Segers,J..Inference for clusters of extreme values [J], Journal of the Royal Statistical Society,2003,B65:545-556.
[16]Financial Services Authority.Operational risk systems and controls.July 2002. http://www.fsa.gov.uk/pubs/cp/cp142_newsletter.pdf.
[17]Holmes,M.Measuring Operational Risk:A Reality Check,Risk,2003,(16).
[18]Irv Beiman,Yong-Ling Sun.Balanced Scorecard and Strategy Execution Application in China[M].Beijing:China Machine Press,2004.
[19]Duncan Wilson, VaR in operation Risk,1995,8(2):24-25.
[20]沈沛龙,任若恩,新巴塞尔协议资本充足率计算方法剖析,金融研究[J],2002,(6).
[21]巴曙松,巴塞尔新资本协议研究,第1版,北京：中国金融出版社[J],2003,(10).
[22]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).
[23]钟伟,王元,略论新巴塞尔协议的操作风险管理框架,国际金融研究[J],2004,(4).
[24]樊欣,杨晓光,从媒体报道看我国商业银行操作风险状况,管理评论[J],2003,15(11).
[25]唐国储,刘京军,损失分布模型在操作风险中的应用分析,金融论坛[J],2005(9).
[26]王建伟,彭建刚,保险在商业银行操作风险管理中的应用研究,金融研究[J],2005(2).
[27]杨旭,多变量极值理论在银行操作风险度量中的运用,数学的实践与认识[J],2006(12).
[28]周好文,杨旭,聂磊,银行操作风险度量的实证分析,统计研究[J],2006(6).
[29]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,南方金融[J],2007.
[30]高丽君,李建平,徐伟宣等,基于HKKP估计的商业银行操作风险估计,系统工程[J],2006.
[31]孔薇,陈云,总分行制度下基于Delta-EVT模型的操作风险度量研究,金融论坛[J],2007年第6期.
[32]刘明彦,商业银行操作风险管理，北京：中国经济出版社,2008.
[33]张吉光,商业银行操作风险识别与管理,北京：中国人民大学出版社[M],2005.
[34]刘晓星,基于VaR的商业银行风险管理[M],北京：中国社会科学出版社[M],2007.
[35]卡罗尔亚历山大著,陈林龙等译,商业银行操作风险[M]北京：中国金融出版社,2004.