商业银行操作风险度量及实证分析
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摘要
近年来,在金融全球化和金融自由化的发展背景下,越来越先进复杂的金融技术引发了各种操作风险,这让国际金融界开始重新审视操作风险。2004年发布的《巴塞尔新资本协议》确定了操作风险在商业银行风险管理中的重要地位。但是,与市场风险和信用风险均已开发出较为成熟的度量模型相比,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,但操作风险度量问题制约了我国操作风险管理水平的提高。在此背景下研究我国商业银行的操作风险度量问题具有重要的现实意义。
本文首先介绍了操作风险的内涵、分类和特征,并针对我国商业银行操作风险的现状、分析其特有的原因,并提出相应的对策。在随后的章节中,详细介绍了操作风险的度量方法,包括定性、定量、定性与定量相结合的方法,以及风险模型在国际上的最新发展。在比较了各模型在我国的适用性,最后选择基本指标法以及适合我国国情的收入模型法,选取浦发银行和民生银行作为研究对象,进行了回归分析,并比较两种方法得出的结果。最后结合这两个上市银行的现状分析了它们的操作风险。
作为现代经济最为重要的金融银行业,其安全与否对整个世界经济运作起着至关重要的作用,所以对风险的有效度量不仅是商业银行核心竞争力所在,同时也关系到金融体系和社会的稳定。通过操作风险的度量研究,我国银行业可以形成正确的操作风险管理理念,强化操作风险度量意识,逐步构建和完善自身的操作风险度量体系,实现我国银行业快速稳定的发展。
In recent years, in the financial globalization and under the financial liberalization's development background, more and more sophisticated financial technology trigger a variety of operational risk, so the international financial community began to re-examine operational risk. In 'the New Basel Capital Accord' published in 2004 operational risk has been identified in the risk management of commercial banks in an important position. But there are still no general techniques accepted by scholars and banking management. Because the study on operational risk is late in our country and the management level is lagged, operational risk incidents happen frequently in our country. Operational risk increasingly becomes the main risk faced by banks in China. So, how to improve operational risk management level and prevent operational risk 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.
This paper introduced the content, classification and characteristics of operational risk, described a variety of operational risk measurement methods in details, and introduced operational risks situation and causes of China's commercial banks. On this basis, by making the use of BIA and more appropriate to the current situation of China's commercial banks of the revenue model, this paper has measured operation risk Shanghai Pudong Development Bank and China Minsheng Banking Corp., ltd. as the research objects. Finally, this paper put forward some improvement proposal according to the present situation of Commercial bank.
As the most important finance organization in the modern economy, their safety plays a vital role in the entire world economy. Therefore, effective risk management has been the focus of the study. Its core competitive ability lies in the risk evaluation and management. What's more, the risk evaluation conditions of banking directly affect the stability of financial system and the society. By the quantitative researches on operational risk in China, our banking can form correct operational risk management ideas; strengthen operational risk measurement consciousness; gradually build up operational risk management system and improve operational risk management level, which is help to realize the quick and stable development.
本文首先介绍了操作风险的内涵、分类和特征,并针对我国商业银行操作风险的现状、分析其特有的原因,并提出相应的对策。在随后的章节中,详细介绍了操作风险的度量方法,包括定性、定量、定性与定量相结合的方法,以及风险模型在国际上的最新发展。在比较了各模型在我国的适用性,最后选择基本指标法以及适合我国国情的收入模型法,选取浦发银行和民生银行作为研究对象,进行了回归分析,并比较两种方法得出的结果。最后结合这两个上市银行的现状分析了它们的操作风险。
作为现代经济最为重要的金融银行业,其安全与否对整个世界经济运作起着至关重要的作用,所以对风险的有效度量不仅是商业银行核心竞争力所在,同时也关系到金融体系和社会的稳定。通过操作风险的度量研究,我国银行业可以形成正确的操作风险管理理念,强化操作风险度量意识,逐步构建和完善自身的操作风险度量体系,实现我国银行业快速稳定的发展。
In recent years, in the financial globalization and under the financial liberalization's development background, more and more sophisticated financial technology trigger a variety of operational risk, so the international financial community began to re-examine operational risk. In 'the New Basel Capital Accord' published in 2004 operational risk has been identified in the risk management of commercial banks in an important position. But there are still no general techniques accepted by scholars and banking management. Because the study on operational risk is late in our country and the management level is lagged, operational risk incidents happen frequently in our country. Operational risk increasingly becomes the main risk faced by banks in China. So, how to improve operational risk management level and prevent operational risk 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.
This paper introduced the content, classification and characteristics of operational risk, described a variety of operational risk measurement methods in details, and introduced operational risks situation and causes of China's commercial banks. On this basis, by making the use of BIA and more appropriate to the current situation of China's commercial banks of the revenue model, this paper has measured operation risk Shanghai Pudong Development Bank and China Minsheng Banking Corp., ltd. as the research objects. Finally, this paper put forward some improvement proposal according to the present situation of Commercial bank.
As the most important finance organization in the modern economy, their safety plays a vital role in the entire world economy. Therefore, effective risk management has been the focus of the study. Its core competitive ability lies in the risk evaluation and management. What's more, the risk evaluation conditions of banking directly affect the stability of financial system and the society. By the quantitative researches on operational risk in China, our banking can form correct operational risk management ideas; strengthen operational risk measurement consciousness; gradually build up operational risk management system and improve operational risk management level, which is help to realize the quick and stable development.
引文
[1]王亦明,李鹏.商业银行操作风险管理存在的问题及对策.经济论坛,2008(04):112-114
[2]王晓博.商业银行操作风险管理的国际比较研究.金融理论与实践,2008(2):30-35
[3]袁德磊,赵定涛.基于媒体报道的国内银行业操作风险损失分布研究.国际金融研究,2007(02)
[4]陈敏.浅谈我国商业银行操作风险存在的问题及对策.科技创新导报,2008(05):126-127
[5]曹云飞,李倩,吴宇人.从法兴银行欺诈案再议商业银行操作风险.财经界,2008(01):108-109
[6]薄纯林,王宗军.基于贝叶斯网络的商业银行操作风险管理.金融理论与实践,2008(1):43-46
[7]成俊.银行操作风险控制及成本收益分析.中国金融出版社.2007
[8]陈婧,刘海啸.我国商业银行操作风险度量方法的选择.经济论坛,2007(07):103-104
[9]张同健.论新巴塞尔资本协议下国有商业银行操作风险控制战略.大庆师范学院学报,2008(01):27-31
[10]高勇.我国商业银行操作风险管理现状分析.黑龙江金融,2007(12):12-14
[11]汪办兴.我国商业银行操作风险损失数据的统计分析与成因的国家比较.上海金融,2007(05):42-44
[12]李雪,霍学喜.我国商业银行操作风险度量方法的选择.中国物价,2007(09):66-68
[13]蒙永亨,黎昌贵.我国商业银行操作风险成因及其防范.广西农村金融研究,2007(1):76-79
[14]吴海军.收入模型在我国商业银行操作风险度量中的应用.时代经贸,2007(06):112-113
[15]代桂霞.商业银行操作风险计量的损失分布法研究.税务与经济,2007(03):41-45
[16]王跃平,叶华.商业银行操作风险度量方法分析.现代商业,2006(05):34-35
[17]赵晶,潘高峰.商业银行操作风险高级度量模型的比较分析.财经界,2007(03):30
[18]汪俊鹏.基于收入模型的商业银行操作风险实证研究.当代经济, 2007(11):146-147
[19]安贺新,张春燕.加强商业银行操作风险量化管理.金融时报,2007(05):5-7
[20]卜颖.浅谈我国商业银行的操作风险管理.科协论坛,2007(9):146
[21]甘宗卫.浅谈当前我国商业银行操作风险--由银行案件频发引发的思考.时代金融,2007(06):50-52
[22]潘建国,王惠.我国商业银行操作风险度量模型的选择.金融论坛,2006(4):43-48
[23]张吉光.关注国内银行业操作风险.国家金融报,2004,11,5
[24]孙涛.商业银行操作风险的成因及其对策研究.价格月刊,2007(1):33-35
[25]张学陶,童晶.商业银行操作风险的实证分析与风险资本计量.财经理论与实践,2006(05):33-37
[26]张宏毅.银行操作风险度量方法比较.经济理论与经济管理,2004(05):13-15
[27]王东峰,韩军,刘澄.商业银行操作风险的有限理性理论分析.时代金融,2007(11):36-37
[28]邓超,黄波.贝叶斯网络模型在商业银行操作风险管理中的应用.统计与决策,2007(04):92-94
[29]李水平.邯郸农行5100万惊天大案何以发生--兼议我国商业银行操作风险管理.金融经济,2006(07):8-9
[30]王光净,刘仲英.基于ABM的商业银行操作风险管理研究.江西金融职业大学学报,2007(08):3-6
[31]关于加大防范操作风险工作力度的通知.中国银行业监督管理委员会,2005(03):4-6
[32]巴曙松.巴塞尔新资本协议研究.中国金融出版社,2003(12):25-28
[33]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(5):44-47
[34]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,2004(04:44-51
[35]张晨,胡丹.基于IE“连续改善”思想的我国商业银行操作风险度量模型.中国管理科学,2006(10):356-360
[36]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(05):44-48
[37]万杰,苗文龙.国内外商业银行操作风险现状比较及成因分析.国际金融研究,2005(07):5-8
[38]戴志敏,王海燕.商业银行操作风险:衡量与管理.浙江金融,2006(09):11-18
[39]刘晓星.银行操作风险度量方法比较研究.财经问题研究,2006(01):5-8
[40]The Basel Committee on Banking Supervision.International Convergence of Capital Measurement and Capital Standards:A Revised Framework[S/OL].www.bis.org.,2005
[42]Bank for International Settlements Basel Committee on Bank Supervision:The New Basel Capital Accord 2004
[43]The Basel Committee on Banking Supervision Bank for International Settlements Third consultative paper(CP3)on the New Basel Capital Accord.2003(07)
[44]D beli B,Leihpold M,and Vanini P.From Operational Risk to Operational Excellence.Working Paper Series at www.ssrn.com,2004
[45]Sergio Scandizzo.Connectivity and the Measurement of Operational Risk:an Input-Output Approach.Springer-Verlag GmbH,2003(07)
[46]Ariane Chapelle,Yves Crama,Georges Hübner,Jean-Philippe Peters.Measuring and managing operational risk in the financial sector:an integrated framework[DB/DL].URL:http://papers.ssrn.com/sol3,February 2005
[47]Marco Moscadelli.The modeling of operational risk:experience with the analysis of the data collected by the Basel Committee[DB/DL].URL:http://papers.ssrn.conm/sol3,July2004
[48]Silke Brandts.Operational Risk and Insurance:Quantitative and Qualitative Aspects.Graduate Progran "Finance & Monetary Economics",Goethe University Frankfurt,April 2004
[49]Carol Alexander.Operational Risk:Regulation,Analysis and Management[M].New York:Financial Times Prentice Hall,June 2003(08):20-50
[2]王晓博.商业银行操作风险管理的国际比较研究.金融理论与实践,2008(2):30-35
[3]袁德磊,赵定涛.基于媒体报道的国内银行业操作风险损失分布研究.国际金融研究,2007(02)
[4]陈敏.浅谈我国商业银行操作风险存在的问题及对策.科技创新导报,2008(05):126-127
[5]曹云飞,李倩,吴宇人.从法兴银行欺诈案再议商业银行操作风险.财经界,2008(01):108-109
[6]薄纯林,王宗军.基于贝叶斯网络的商业银行操作风险管理.金融理论与实践,2008(1):43-46
[7]成俊.银行操作风险控制及成本收益分析.中国金融出版社.2007
[8]陈婧,刘海啸.我国商业银行操作风险度量方法的选择.经济论坛,2007(07):103-104
[9]张同健.论新巴塞尔资本协议下国有商业银行操作风险控制战略.大庆师范学院学报,2008(01):27-31
[10]高勇.我国商业银行操作风险管理现状分析.黑龙江金融,2007(12):12-14
[11]汪办兴.我国商业银行操作风险损失数据的统计分析与成因的国家比较.上海金融,2007(05):42-44
[12]李雪,霍学喜.我国商业银行操作风险度量方法的选择.中国物价,2007(09):66-68
[13]蒙永亨,黎昌贵.我国商业银行操作风险成因及其防范.广西农村金融研究,2007(1):76-79
[14]吴海军.收入模型在我国商业银行操作风险度量中的应用.时代经贸,2007(06):112-113
[15]代桂霞.商业银行操作风险计量的损失分布法研究.税务与经济,2007(03):41-45
[16]王跃平,叶华.商业银行操作风险度量方法分析.现代商业,2006(05):34-35
[17]赵晶,潘高峰.商业银行操作风险高级度量模型的比较分析.财经界,2007(03):30
[18]汪俊鹏.基于收入模型的商业银行操作风险实证研究.当代经济, 2007(11):146-147
[19]安贺新,张春燕.加强商业银行操作风险量化管理.金融时报,2007(05):5-7
[20]卜颖.浅谈我国商业银行的操作风险管理.科协论坛,2007(9):146
[21]甘宗卫.浅谈当前我国商业银行操作风险--由银行案件频发引发的思考.时代金融,2007(06):50-52
[22]潘建国,王惠.我国商业银行操作风险度量模型的选择.金融论坛,2006(4):43-48
[23]张吉光.关注国内银行业操作风险.国家金融报,2004,11,5
[24]孙涛.商业银行操作风险的成因及其对策研究.价格月刊,2007(1):33-35
[25]张学陶,童晶.商业银行操作风险的实证分析与风险资本计量.财经理论与实践,2006(05):33-37
[26]张宏毅.银行操作风险度量方法比较.经济理论与经济管理,2004(05):13-15
[27]王东峰,韩军,刘澄.商业银行操作风险的有限理性理论分析.时代金融,2007(11):36-37
[28]邓超,黄波.贝叶斯网络模型在商业银行操作风险管理中的应用.统计与决策,2007(04):92-94
[29]李水平.邯郸农行5100万惊天大案何以发生--兼议我国商业银行操作风险管理.金融经济,2006(07):8-9
[30]王光净,刘仲英.基于ABM的商业银行操作风险管理研究.江西金融职业大学学报,2007(08):3-6
[31]关于加大防范操作风险工作力度的通知.中国银行业监督管理委员会,2005(03):4-6
[32]巴曙松.巴塞尔新资本协议研究.中国金融出版社,2003(12):25-28
[33]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(5):44-47
[34]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,2004(04:44-51
[35]张晨,胡丹.基于IE“连续改善”思想的我国商业银行操作风险度量模型.中国管理科学,2006(10):356-360
[36]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(05):44-48
[37]万杰,苗文龙.国内外商业银行操作风险现状比较及成因分析.国际金融研究,2005(07):5-8
[38]戴志敏,王海燕.商业银行操作风险:衡量与管理.浙江金融,2006(09):11-18
[39]刘晓星.银行操作风险度量方法比较研究.财经问题研究,2006(01):5-8
[40]The Basel Committee on Banking Supervision.International Convergence of Capital Measurement and Capital Standards:A Revised Framework[S/OL].www.bis.org.,2005
[42]Bank for International Settlements Basel Committee on Bank Supervision:The New Basel Capital Accord 2004
[43]The Basel Committee on Banking Supervision Bank for International Settlements Third consultative paper(CP3)on the New Basel Capital Accord.2003(07)
[44]D beli B,Leihpold M,and Vanini P.From Operational Risk to Operational Excellence.Working Paper Series at www.ssrn.com,2004
[45]Sergio Scandizzo.Connectivity and the Measurement of Operational Risk:an Input-Output Approach.Springer-Verlag GmbH,2003(07)
[46]Ariane Chapelle,Yves Crama,Georges Hübner,Jean-Philippe Peters.Measuring and managing operational risk in the financial sector:an integrated framework[DB/DL].URL:http://papers.ssrn.com/sol3,February 2005
[47]Marco Moscadelli.The modeling of operational risk:experience with the analysis of the data collected by the Basel Committee[DB/DL].URL:http://papers.ssrn.conm/sol3,July2004
[48]Silke Brandts.Operational Risk and Insurance:Quantitative and Qualitative Aspects.Graduate Progran "Finance & Monetary Economics",Goethe University Frankfurt,April 2004
[49]Carol Alexander.Operational Risk:Regulation,Analysis and Management[M].New York:Financial Times Prentice Hall,June 2003(08):20-50