基于收入模型对商业银行操作风险的估计

Evaluation on Operational Risk Faced by Commercial Banks Based on Income Model

操作风险潜在于商业银行经营管理之中，加重了金融机构的脆弱性，给银行的风险监控造成了巨大威胁。在对比各类操作风险计量方法的基础上，本文采用自上而下的收入模型，运用2000～2009年5家上市银行的财务指标数据，构建了面板回归模型，对中国商业银行的操作风险进行了估计，并以深发展和浦发银行为例对这两家商业银行操作风险的发展状况作了深入分析。研究发现，国内商业银行8．62％的收益波动是由操作风险所导致的，尽管目前商业银行操作风险估计值与核心资本之比偏高，但仍是可控的，银监会的监管措施对商业银行风险管理的作用是及时且有效的。

Operational risk, a potential risk in the operation and management of commercial banks, exacerbates the fragility of financial institutions and poses a serious threat to the risk monitoring of banks. On the basis of comparing various measurement methods of operational risk, the paper chooses a ＂top-down＂ income model and uses the financial data of 5 listed banks from 2000 to 2009 to establish a panel model to assess the operational risk faced by Chinese commercial banks. Moreover, the paper analyzes in depth the development status of Shenzhen Development Bank and Shanghai Pudong Development Bank in operational risk. The results show that 8.62% of revenue volatility of domestic commercial banks results from operational risk. Although the ratio of operational risk capital to Tier 1 capital is slightly higher than normal standard, it is still controllable, which indicates that the supervision measures adopted by CBRC has a timely and positive effect on the risk management of commercial banks.