商业银行操作风险高级计量模型的分析与应用

Analysis and Application of Advanced Measurement Models of Operational Risks in Commercial Banks

运用高级计量法(AMA)度量商业银行的操作风险已取得业界的广泛共识。本文首先详细评析了高级计量法体系中具有代表性的内部衡量法、计分卡法、极值原理法和损失分布法的基本原理及各自优缺点,进而以德意志银行为例阐释了如何利用损失分布法进行操作风险经济资本计量。本文提出,我国商业银行要有效实施AMA,必须在"风险-收益"合理配比的原则下,加强损失数据的收集;由于不同计量模型的适用条件不同,借鉴国际经验,将损失分布法和极值原理法相结合将是我国商业银行操作风险计量的最佳选择。

Advanced measurement approaches （AMA） are extensively accepted by commercial banks to assess operational risks. The paper first scrutinizes the basic principles, advantages and disadvantages of three representative advanced mea- surement approaches, which are Internal Measurement Approach （IMA）, Scorecard Approach （SCA）, Extreme Value Theory （EVT） and Loss Distribution Approach （LDA）. Furthernlore, the paper expounds how Deutsche Bank uses LDA to estimate Capital at Risk to cover the operational risks. To implement AMA, Chinese commercial banks must confornl to the matching principle of risk and income and strengthen the collection of loss data. Because different measurement models have specific applicable conditions, drawing the experiences of international banking, Chinese commercial banks should combine LDA with EVT to measure operational risks.