运用损失分布法的计量商业银行操作风险

Operational risk measurement of commercial banking based on loss distribution approach

讨论损失分布法的基本原理,运用蒙特卡罗模拟对我国商业银行操作风险的经验数据进行了实证分析.研究表明,我国商业银行操作风险平均损失金额高于国际活跃银行;我国商业银行操作风险涉及的业务条线主要是商业银行业务、支付和结算业务;操作风险的风险类型主要表现为内部欺诈和外部欺诈;如果按照巴塞尔委员会规定的99.9%的置信水平,国内每家商业银行仅仅为操作风险就需要配置107亿元的资本,远远超过了现阶段我国商业银行的风险资本承受能力.因此,我国商业银行必须采取有效措施尽快补充资本,以提高抵御风险的能力.

This paper discusses the principle of loss distribution approach, and empirically analyzes operational risk of Chinese commercial banks by means of Monte Carlo method. According to the study, operational risk losses of Chinese commercial banks are higher than those of international ac- tive banks. The operational risks of Chinese commercial banks mainly concentrate on the lines of commercial bank, such as occupation, payment and settlement of the bank. The loss event types mainly relate to internal fraud and external fraud. In the light of 99.9 % significance level which is advocated by the Basel Committee on bank supervision, every Chinese commercial bank must pre- pare a huge capital, up to RMB 10.7 billion for its operational risk. Obviously, it exceeds the risk tolerant abilities of many commercial banks. In order to strengthen the risk resistant abilities, Chinese commercial banks should immediately take actions to supplement their capitals.