基于非直接损失性的商业银行操作风险度量研究

A Research on Measuring Commercial Bank's Operational Risks Based on Indirect Loss

目前,操作风险度量研究还很不成熟,各种模型都存在一些严重的缺陷,数据问题是制约操作风险度量的重大障碍,而其主要原因在于沿用传统风险度量的思路,依赖于市场损失数据建模。操作风险产生于企业内部经营过程中,企业内部活动依赖于企业内部科层组织的行政命令,不能直接用市场价值来衡量,操作风险具有非直接损失性特点。商业银行内部控制评价、基于内部控制评价的基本指标法和标准法、基于作业的操作风险度量贴近商业银行风险管理实践,其复杂性和风险敏感性依次增强,是适用于不同管理需要的三种基于非直接损失性的操作风险度量方法。

So far, researches about measuring operational risks are still not mature, and all available models have some serious drawbacks. Data problem is the most serious obstacle in measuring operational risks, for the traditional approaches to measure risks, to a large extent, rely on the data of market loss to build the model. In fact, operational risks originate from the process of an enterprise＇s internal operation, which depends on the administrative orders among its internal hierarchies. Therefore, such risks cannot be evaluated by the market value and are indirect losses. Commercial bank＇s Internal Control E- valuation, the Basic Indicator Approach and Standardized Approach based on the internal control evaluation and Activitybased Operational Risk Measurement are three basic approaches based on indirect loss to measure operational risks. The three approaches are close to commercial bank＇s risk management practice, and the complexity and risk sensitivity go stronger one by one, so they can satisfy various management demands.