机构设置导致的跨国银行操作风险度量研究

Measurement of International Banks' Operational Risks Caused by Organization Form

操作风险的准确度量是操作风险有效管理的前提。风险损失包括预期损失和非预期损失,对于可示损失采用Delta方法进行度量,对于控制失效或外部事件引起的超额损失,则用EVT方法进行计算,再利用门槛值将两者结合起来,可以较准确地度量分行在经营过程和向总行传递过程中由于机构设置不合理导致的操作风险,从而更合理地为这部分的操作风险分配经济资本。

Accurate measurement on operational risks is the prerequisite of its effective management. Losses of risks include anticipated losses and unanticipated losses. Delta method is used to measure assignable losses, while ETV method is used to measure excess losses caused by invalidation of control and external events,then combining them with the threshold to measure accurately operational risks caused by irrational institutional installation in operation of branches and transmission from branches to the home bank, thus capital can be distributed more rationally for this part of operational risk.