中外商业银行操作风险管理比较研究
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摘要
1999年6月巴塞尔委员会颁布的“新资本协议框架”提出银行应对操作风险进行定量分析以后,操作风险才开始受到国际银行界的重视。2004年6月,巴塞尔委员会发布了《巴塞尔新资本协议》,把操作风险、市场风险和信用风险并列为三大风险,并将操作风险纳入商业银行的最低资本要求,这使得操作风险成为近几年监管层与商业银行实务操作部门非常关注的问题。相比较国外银行业而言,我国银行业对操作风险的关注则更晚,对操作风险的管理还只能说刚刚起步,在近年内才真正得到重视,因此对操作风险还未能有一个全面、系统的认识。
文章研究目的是在对操作风险管理基本知识回顾的前提下,通过对中外商业银行操作风险管理的比较研究,看到我国商业银行的差距,总结出不足,并通过改善措施来缩小与国际先进银行的距离。
本文导论部分论述了选题背景及目的,并进行了相关的文献综述,简要介绍了本文的研究思路和结构框架;第二部分对商业银行操作风险成因进行理论分析;第三部分对我国商业银行操作风险现状及成因进行分析;第四部分对中外商业银行操作风险管理进行比较分析,它是以操作风险管理框架的主要组成方面作为线索展开的,包括风险管理文化、操作风险管理组织结构、操作风险管理流程等方面的比较,通过比较发现我国商业银行在操作风险管理上的缺陷,进而得到一些启示;第五部分提出要充分借鉴国际经验,结合我国银行业实际,从操作风险管理文化、操作风险管理组织结构和操作风险管理流程等方面,改善我国商业银行操作风险管理。
According to "the new capital framework agreements", which released by Basel Committee on banking supervision in June 1999, bank should carry out the quantitative analysis on the operational risk, operational risk only then starts to be valued by the international commercial banking circles. In June 2004, Basel Committee issued "New Basel Capital Agreements", listed credit risk, market risk and operational risk as 3 big risks and brought operational risk into the lowest capital request of commercial banks. So the operational risk has become the focus of concern for solid service operation departments of commercial banks and supervisors in various countries in recent years. Compared with the foreign banks, Chinese banks paid attention to the operational risk later, the managements of the operational risk has just begun and been really concerned just in recent years. Therefore, there is not an overall, systematic understanding to the operational risk.
The purpose of this paper is to improve the management of operational risk by comparative research between foreign commercial banks and domestic commercial banks under the premise of basic knowledge about operational risk managements. And reduce the distance to the international advanced banks through innovations.
The first part is a brief introduction of the background and purpose of this thesis, which presented the research ideas and framework of the thesis. The second part is the theoretical analysis about causes of operational risk of commercial banks. The third part is the analysis about present situations and causes of operational risk of Chinese commercial banks. The fourth part is the comparative analysis about operational risk managements of Chinese and foreign commercial banks, which starts from major components of operational risk management framework, including comparisons of risk management culture, operational risk management organizational structures and operational risk management flows, we find some shortcomings in the operational risk managements of Chinese commercial banks by the comparisons, then gets some enlightenments. The fifth part is to improve operational risk management proposals of Chinese commercial banks from the operational risk management culture, operational risk management organizational structures and operational risk management flow on the basis of drawing on the international experiences and Chinese actual situations.
文章研究目的是在对操作风险管理基本知识回顾的前提下,通过对中外商业银行操作风险管理的比较研究,看到我国商业银行的差距,总结出不足,并通过改善措施来缩小与国际先进银行的距离。
本文导论部分论述了选题背景及目的,并进行了相关的文献综述,简要介绍了本文的研究思路和结构框架;第二部分对商业银行操作风险成因进行理论分析;第三部分对我国商业银行操作风险现状及成因进行分析;第四部分对中外商业银行操作风险管理进行比较分析,它是以操作风险管理框架的主要组成方面作为线索展开的,包括风险管理文化、操作风险管理组织结构、操作风险管理流程等方面的比较,通过比较发现我国商业银行在操作风险管理上的缺陷,进而得到一些启示;第五部分提出要充分借鉴国际经验,结合我国银行业实际,从操作风险管理文化、操作风险管理组织结构和操作风险管理流程等方面,改善我国商业银行操作风险管理。
According to "the new capital framework agreements", which released by Basel Committee on banking supervision in June 1999, bank should carry out the quantitative analysis on the operational risk, operational risk only then starts to be valued by the international commercial banking circles. In June 2004, Basel Committee issued "New Basel Capital Agreements", listed credit risk, market risk and operational risk as 3 big risks and brought operational risk into the lowest capital request of commercial banks. So the operational risk has become the focus of concern for solid service operation departments of commercial banks and supervisors in various countries in recent years. Compared with the foreign banks, Chinese banks paid attention to the operational risk later, the managements of the operational risk has just begun and been really concerned just in recent years. Therefore, there is not an overall, systematic understanding to the operational risk.
The purpose of this paper is to improve the management of operational risk by comparative research between foreign commercial banks and domestic commercial banks under the premise of basic knowledge about operational risk managements. And reduce the distance to the international advanced banks through innovations.
The first part is a brief introduction of the background and purpose of this thesis, which presented the research ideas and framework of the thesis. The second part is the theoretical analysis about causes of operational risk of commercial banks. The third part is the analysis about present situations and causes of operational risk of Chinese commercial banks. The fourth part is the comparative analysis about operational risk managements of Chinese and foreign commercial banks, which starts from major components of operational risk management framework, including comparisons of risk management culture, operational risk management organizational structures and operational risk management flows, we find some shortcomings in the operational risk managements of Chinese commercial banks by the comparisons, then gets some enlightenments. The fifth part is to improve operational risk management proposals of Chinese commercial banks from the operational risk management culture, operational risk management organizational structures and operational risk management flow on the basis of drawing on the international experiences and Chinese actual situations.
引文
① 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[J].金融研究,2005(2):124-131.
①风险词条和不确定性词条.新帕尔格雷夫经济学大辞典[M}.北京:经济科学出版社,1996.
①周骏,朱新蓉,宋清华.中国金融风险的管理与控制[M}.中国财政经济出版社,2005.
②张维迎.博弈论与信息经济学[M].上海:上海人民出版社,1996.
①H·A·西蒙.管理行为--管理组织决策过程的研究[M],中译本北京:北京经济学院出版社,1991.
②周玮.商业银行操作风险与内部控制[J].中国金融,2005(13):120.
①建行操作风险管理探索和实践个案的启示[EB/OL].http://finance.sina.com.cn , 2005-07-14.
① 中国银行业监督管理委员会 http://www.cbrc.gov.cn.
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[7]Federal Deposit Insurance Corporation. Supervisory Guidance on Operational Risk Advanced Measurement Approaches for Regulatory Capital [EB/OL], FDIC, July 2003.http://www. fdic.gov/ regulation/laws/ public comments/basel/oprisk.pdf
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①风险词条和不确定性词条.新帕尔格雷夫经济学大辞典[M}.北京:经济科学出版社,1996.
①周骏,朱新蓉,宋清华.中国金融风险的管理与控制[M}.中国财政经济出版社,2005.
②张维迎.博弈论与信息经济学[M].上海:上海人民出版社,1996.
①H·A·西蒙.管理行为--管理组织决策过程的研究[M],中译本北京:北京经济学院出版社,1991.
②周玮.商业银行操作风险与内部控制[J].中国金融,2005(13):120.
①建行操作风险管理探索和实践个案的启示[EB/OL].http://finance.sina.com.cn , 2005-07-14.
① 中国银行业监督管理委员会 http://www.cbrc.gov.cn.
[1]AleXander J. McNeil: Extreme Value Theory for Risk Managers [J].Risk, 1999(3):180-188.
[2]Basel Committee on Banking Supervision .The New Basel Capital Accord (The Second Consultative Document)[EB/OL], http://www.bis.org, 2001-01-16.
[3]Basel Committee: Sound Practices for the Management and Supervision of Operational Risk [EB/OL], No 96, http://www.bis.org/bcbs/publ.htm, 2002(2):1-25.
[4]Basel Committee's Risk Management Conference: Implementation of an Operational Risk Framework. [Z], 2003(3): 1-12.
[5]David Syer. Dealing with Basel II: operational risk--encouraging best practice[J].Balance Sheet, 2003, Vol. 11 Issue 4, p24-25.
[6]Duncan Wilson, VAR in Operation[J].Risk, December 1995.
[7]Federal Deposit Insurance Corporation. Supervisory Guidance on Operational Risk Advanced Measurement Approaches for Regulatory Capital [EB/OL], FDIC, July 2003.http://www. fdic.gov/ regulation/laws/ public comments/basel/oprisk.pdf
[8]Financial Services Authority. Operational Risk systems and controls[EB/OL],2002,7.http: //www. fsa. gov.uk.
[9]Georges Hbner, Jean-Philippe Peters. Severine Plunus .Measuring operational risk in financial institutions-Contribution of credit risk modeling[EB/OL].2005,March,http:// www.ssrn.com.
[10]Industry Technical Working Group on Operational Risk, a LDA-Based Advanced Measurement Approach for the Measurement of Operational Risk: Ideas, Issues and Emerging Practices[M].May 29th,2003.
[11]Jack L King. Operational Risk: EVT Models[Z]. American Risk and Insurance Association, Inc. 2003(3): 2-5.
[12]Jay Newberry: Implementation of an Operational Risk Framework[EB/OL], May,2003. http://www. federal reserve bank of new york.com.
[13]Jean-Philippe Peters, Ariane Chapelle and Yves Crama. Implications for risk measurement and management in the financial sector[R].National Bank of Belgium Working papers-Research series. 2004(3): 1-50.
[14]John Jordan, Eric Rosengren and Reimer Kuhn. Using Loss Data to Quantify Operational Risk[R].Working Paper of Federal Reserve Bank of Boston, 2003(4):1-24.
[15]John Jordan. Operational Risk:A Discussion of Quantification [J]. Techniques Federal Reserve Bank of Boston, 2004, (3):5-24.
[16]Jorion,P. Risk: Measuring the Risk in Value at Risk[J]. Financial Analysts Journal, November /December 1996.
[17]Junji Hiwatashi, Hiroshi Ashida. Advancing Operaitonal Risk Management Using JapaneseBanking Experiences[Z], 2002, (11):33-36.
[18]Mark Lawrence: The LDA-based Advanced Measurement for Operational Risk-Current and In Progress Practice[Z],RMG Conference. 2003(3):6-12.
[19]Michael Power. The invention of operational risk [J].The university of New South Wales, February 14, 2003:3-4.
[20]Michel Crouhy. Dan Galai & Robert Mark: Risk Management.Lst Edition[Z], Mc-Graw-Hil, 2000: 396-399.
[21]Philippe Jorion. The New Benchmark for Managing Financial Risk 2nd edition[Z], Mc-Graw-Hill, 2001. 18.
[22]Reimer Kuhn, Peter Neu. Functional correlation approach to operational risk in banking organizations[J]. Physica A. 2003,322(5).
[23]Silvan Ebnother, Paolo Vanini,Alexander MeNeil, and Pierre Antolinez-Fehr. Operational Risk:A Practitioner' s Virw [EB/OL],2002,October 11,http://www. ssrn.com.
[24]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.
[25]巴曙松.巴塞尔新资本协议研究[M].中国金融出版社,2003.
[26]伯特·布鲁金克,艾利斯·蒂拉特.风险进入真实世界--资本充足率框架与操作风险度量[J].浙江金融,2001 (5):10.
[27]布兰登·扬等:保险作为操作风险缓释工具的战略重要性,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.
[28]陈林龙.现代西方商业银行核心业务管理[M].中国金融出版社,2000.
[29] 陈 学 彬 , 张 文 . 完 善 我 国 商 业 银 行 激 励 约 束 机 制 的 博 弈 分 析 [J]. 国 际 金 融 研究,2003(3):12-17.
[30] 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(2):51-52.
[31]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):44-47.
[32]樊欣,杨晓光.从媒体报道看我国银行业操作风险状况[J].管理评论,2003(15):43-47.
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