摘要
总分行制度下制度设计缺陷及人员管理等方面的失误是商业银行操作风险产生的重要原因之一。在操作风险损失数据不完全的情况下,首先将损失进行分类,并选取总行对分行管理人员配备的误差、机构内部人员的组合误差、员工素质问题、分行出现问题后向总行报告的时间延误和总行及时处理问题分行的能力等特定的风险因子,继而借助Delta-EVT模型,采用Delta方法计算由以上风险因子导致的操作损失。通过计算,由于控制失效或外部事件引起的超额损失,再利用门槛值将两者结合起来,用EVT方法可以较准确地估算出在分行经营过程中和在向总行传递信息过程中由于制度设计不合理导致的操作风险。
Defective system design and faulty personnel management are responsible for operational risks in commercial banks under the ＂home-branch＂ system. Given incomplete data on operational losses, this paper classifies losses and collects risk factors llke errors in home-to-branches management manning, errors in internal staff composition, quality of the staff, time-lag of report of risks and ability of home bank＂ s quick response. Then Delta-EVT model is used to calculate with Delta approach the operational losses caused by above-mentioned factors. Through calculation, excess losses resulting from ineffective control and external events are ob- tained. When these two factors are combined through the threshold, one can use EVT method to accurately measure operational risks caused by defective system design in the course of operation and during upward information transmission.
出处
《金融论坛》
CSSCI
北大核心
2007年第6期40-45,60,共7页
Finance Forum
基金
湘潭大学跨学科星火研究项目"商业银行操作风险度量和管理研究"
项目编号0509026。
