内控视角下商业银行操作风险管理研究
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摘要
我国商业银行的风险管理长期以来一直集中于信用风险和市场风险，忽略了同样客观存在并大量发生的操作风险，因而并未进行真正意义上的全面风险管理。巴塞尔新资本协议（BaselⅡ）将操作风险带入了人们的视野，并将其纳入了银行资本计量和监管范畴。与信用风险和市场风险不同的是，操作风险涉及了银行的所有业务、影响因素多且更为复杂，与银行内部控制的关系最为密切。但在现实环境和银行管理实践中，内部控制与操作风险的识别、评估、度量、控制等管理环节并未有机结合起来。而现有相关学术研究存在一些问题，例如没有形成统一的商业银行操作风险管理理论体系，大多从微观金融管理理论对操作风险进行理论解释，对操作风险状况评价体系的构建存在一定的片面性，绝大部分采用商业银行外部损失数据进行操作风险度量研究，操作风险度量的准确性和有效性不理想等。随着我国近年来商业银行操作风险事件频发，操作风险日益受到监管层及商业银行自身的重视，迫切需要加强操作风险管理的理论研究和实务研究。本文围绕这一前沿和热点问题展开研究，论文主要内容结构如下：
首先，本文对国内外现有操作风险管理研究成果进行了分类评述，详细分析了现有研究成果存在的主要问题。
第二，系统分析和完善了操作风险与内部控制的基本理论，具体包括操作风险的内涵、特征、分类，操作风险的三大构成要素及相互关系，操作风险管理的理论解释，操作风险管理框架体系，内部控制要素、方式和评价方法，并重点分析了内部控制要素与操作风险管理框架之间的关系。
第三，通过文献查阅、实地调研、专家访谈和问卷调查等方法，广泛收集资料和分类统计数据，并以此为基础，对比分析了国内外商业银行操作风险的特征和操作风险管理的现状，指出我国商业银行现行操作风险管理与国外先进银行之间的差距。
第四，对操作风险的影响因素进行了识别和分析，在初步构建了商业银行操作风险状况综合评价指标体系的基础上，综合考虑了人员、技术、流程、外部事件、内部控制过程和内部控制结果等因素；对评价指标进行了进一步的筛选和赋权研究；采用模糊综合评价法构建操作风险综合评价模型；结合H银行Q省分行2005-2012年的相关数据，分析阐述了操作风险综合评价体系的具体应用和分级管理方法。
第五，比较分析了操作风险度量的不同方法，阐述了选择CVaR-POT模型进行度量的优势和局限性；详细分析了H银行Q省分行的操作风险资料的收集范围和损失数据的分布特点，结合该行近八年的操作风险损失数据的统计特征，分析采用CVaR-POT模型的适用性和具体度量过程；分析对操作风险度量结果进行修正的必要性和合理性，提出利用操作风险综合评价结果对CVaR-POT模型度量结果进行修正的模型及具体方法，分析说明了本文的度量修正方法相较于现有研究成果的改进之处。这一方法充分考虑了内部控制因素对操作风险的影响，克服了单纯依靠主流度量模型的缺陷，提高了操作风险度量的准确性和有效性，节约了银行资本。
最后，结合构建的操作风险状况综合评价体系，提出我国商业银行操作风险控制策略和措施。
The risk management in China's commercial banks has been focused on credit risk and marketrisk for a long time, ignoring operational risk that also exists objectively and occurs a lot, so it is notthe true enterprise-wide risk management. The new Basel Capital Accord (Basel Ⅱ) broughtoperational risk into people's vision, and integrated it into the framework of bank’s capitalmeasurement and supervision. Different from credit risk and market risk, operational risk covers allbusinesses and operations induced by many complex factors, and has a closer relationship with thebank’s internal control. But in the real environment and the bank's management practice, internalcontrol is always separated from the identification, evaluation, measurement and control theoperational risk. There are some problems in the existing academic research on operational risk, e.g.,lack of an unified theoretical system on operational risk management of commercial bank, researchmostly from the perspective of the microscopic theory on finance, a partial and biased analysis inconstructing the index system to evaluate operational risk, mostly adapting the external loss data tothe measurement of operational risk, the accuracy and effectiveness of measurement for operationalrisk is not ideal. With the increasingly development of operational risk events in recent years,operational risk will be paid more and more attention by the regulators and managements of ourcountry’s commercial banks, who have an urgent need for the improvement of theoretical researchand practical management level of operational risk. The thesis focuses on the frontier and hot issues,and its structure is shown as below:
First of all, the thesis discussed on the existing domestic and foreign academic materials onoperational risk management, and analyzed the main drawbacks in existing academic research indetail.
Second, the basic theory on operational risk and internal control summarized and perfected,including definitions, characteristics, classification, the three elements of operational risk and theinterrelationship among elements. Also, some theory is analyzed that can explain operational riskmanagement, the framework of operational risk management, the elements, tools and evaluationmethods of internal control, and emphasized on the study of the relationship between the fiveelements of internal control and the framework of operational risk management.
Third, by reviewing the literature, and mainly using such methods as field investigation, expertinterview and questionnaire survey, a wide range of data were collected and these statistical data are classified. On this basis, the thesis compared and analyzed the characteristics and present situation ofoperational risk and operational risk management in the domestic and foreign commercial banks, andpointed out that gap between China's commercial banks and foreign active banks in the theoreticalresearch and practice of operational risk management.
Fourth, on the basis of identifying and analyzing the factors that have effects on operational risk,a comprehensive index system of evaluating the operational risk of commercial banks was established,which considered such factors as personnel, technology, business processes, external events, theprocess and results of internal control, and further the evaluation indexes were screened andempowered. Next, the thesis constructed a comprehensive evaluation model on operational risk interms of fuzzy comprehensive evaluation method, and used the related loss data of Q branch of Hbank during2005~2012to illustrate the application and classified management method ofoperational risk assessment system.
Fifth, the thesis analyzed the collection scope of operational risk data and distributioncharacteristics of loss data of Q branch of H bank, compared the different measurement methods ofoperational risk and their advantages and disadvantages. Then, the thesis analyzed the feasibility ofCvaR-POT model and its specific measuring process by showing the statistical characteristics of thenearly eight years of operational risk loss data, studied on the necessity and rationality of correctingthe results of the measurement model, further put forward the idea of using operational riskassessment results to correct the results of the operational risk measurement model，and analyzed andexplained the points that have been improved compared with the current research findings. Themodified measurement method takes into consideration the influence of internal control, improves theaccuracy and effectiveness of measurement of operational risk and save the economic capital ofcommercial banks, avoiding the drawbacks of using some prevailing models one-sidedly.
Finally, some specific strategies and measures to control operational risk in our country'scommercial banks were put forward according to the comprehensive evaluation system of theoperational risk.
首先，本文对国内外现有操作风险管理研究成果进行了分类评述，详细分析了现有研究成果存在的主要问题。
第二，系统分析和完善了操作风险与内部控制的基本理论，具体包括操作风险的内涵、特征、分类，操作风险的三大构成要素及相互关系，操作风险管理的理论解释，操作风险管理框架体系，内部控制要素、方式和评价方法，并重点分析了内部控制要素与操作风险管理框架之间的关系。
第三，通过文献查阅、实地调研、专家访谈和问卷调查等方法，广泛收集资料和分类统计数据，并以此为基础，对比分析了国内外商业银行操作风险的特征和操作风险管理的现状，指出我国商业银行现行操作风险管理与国外先进银行之间的差距。
第四，对操作风险的影响因素进行了识别和分析，在初步构建了商业银行操作风险状况综合评价指标体系的基础上，综合考虑了人员、技术、流程、外部事件、内部控制过程和内部控制结果等因素；对评价指标进行了进一步的筛选和赋权研究；采用模糊综合评价法构建操作风险综合评价模型；结合H银行Q省分行2005-2012年的相关数据，分析阐述了操作风险综合评价体系的具体应用和分级管理方法。
第五，比较分析了操作风险度量的不同方法，阐述了选择CVaR-POT模型进行度量的优势和局限性；详细分析了H银行Q省分行的操作风险资料的收集范围和损失数据的分布特点，结合该行近八年的操作风险损失数据的统计特征，分析采用CVaR-POT模型的适用性和具体度量过程；分析对操作风险度量结果进行修正的必要性和合理性，提出利用操作风险综合评价结果对CVaR-POT模型度量结果进行修正的模型及具体方法，分析说明了本文的度量修正方法相较于现有研究成果的改进之处。这一方法充分考虑了内部控制因素对操作风险的影响，克服了单纯依靠主流度量模型的缺陷，提高了操作风险度量的准确性和有效性，节约了银行资本。
最后，结合构建的操作风险状况综合评价体系，提出我国商业银行操作风险控制策略和措施。
The risk management in China's commercial banks has been focused on credit risk and marketrisk for a long time, ignoring operational risk that also exists objectively and occurs a lot, so it is notthe true enterprise-wide risk management. The new Basel Capital Accord (Basel Ⅱ) broughtoperational risk into people's vision, and integrated it into the framework of bank’s capitalmeasurement and supervision. Different from credit risk and market risk, operational risk covers allbusinesses and operations induced by many complex factors, and has a closer relationship with thebank’s internal control. But in the real environment and the bank's management practice, internalcontrol is always separated from the identification, evaluation, measurement and control theoperational risk. There are some problems in the existing academic research on operational risk, e.g.,lack of an unified theoretical system on operational risk management of commercial bank, researchmostly from the perspective of the microscopic theory on finance, a partial and biased analysis inconstructing the index system to evaluate operational risk, mostly adapting the external loss data tothe measurement of operational risk, the accuracy and effectiveness of measurement for operationalrisk is not ideal. With the increasingly development of operational risk events in recent years,operational risk will be paid more and more attention by the regulators and managements of ourcountry’s commercial banks, who have an urgent need for the improvement of theoretical researchand practical management level of operational risk. The thesis focuses on the frontier and hot issues,and its structure is shown as below:
First of all, the thesis discussed on the existing domestic and foreign academic materials onoperational risk management, and analyzed the main drawbacks in existing academic research indetail.
Second, the basic theory on operational risk and internal control summarized and perfected,including definitions, characteristics, classification, the three elements of operational risk and theinterrelationship among elements. Also, some theory is analyzed that can explain operational riskmanagement, the framework of operational risk management, the elements, tools and evaluationmethods of internal control, and emphasized on the study of the relationship between the fiveelements of internal control and the framework of operational risk management.
Third, by reviewing the literature, and mainly using such methods as field investigation, expertinterview and questionnaire survey, a wide range of data were collected and these statistical data are classified. On this basis, the thesis compared and analyzed the characteristics and present situation ofoperational risk and operational risk management in the domestic and foreign commercial banks, andpointed out that gap between China's commercial banks and foreign active banks in the theoreticalresearch and practice of operational risk management.
Fourth, on the basis of identifying and analyzing the factors that have effects on operational risk,a comprehensive index system of evaluating the operational risk of commercial banks was established,which considered such factors as personnel, technology, business processes, external events, theprocess and results of internal control, and further the evaluation indexes were screened andempowered. Next, the thesis constructed a comprehensive evaluation model on operational risk interms of fuzzy comprehensive evaluation method, and used the related loss data of Q branch of Hbank during2005~2012to illustrate the application and classified management method ofoperational risk assessment system.
Fifth, the thesis analyzed the collection scope of operational risk data and distributioncharacteristics of loss data of Q branch of H bank, compared the different measurement methods ofoperational risk and their advantages and disadvantages. Then, the thesis analyzed the feasibility ofCvaR-POT model and its specific measuring process by showing the statistical characteristics of thenearly eight years of operational risk loss data, studied on the necessity and rationality of correctingthe results of the measurement model, further put forward the idea of using operational riskassessment results to correct the results of the operational risk measurement model，and analyzed andexplained the points that have been improved compared with the current research findings. Themodified measurement method takes into consideration the influence of internal control, improves theaccuracy and effectiveness of measurement of operational risk and save the economic capital ofcommercial banks, avoiding the drawbacks of using some prevailing models one-sidedly.
Finally, some specific strategies and measures to control operational risk in our country'scommercial banks were put forward according to the comprehensive evaluation system of theoperational risk.
引文
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