基于面板数据模型的商业银行操作风险分析

An Analysis of Commercial Banks′ Operational Risk Based on Panel Data Model

操作风险是商业银行面临的重要风险之一,而收入模型是适应当前我国商业银行操作风险管理实践的度量模型。本文建立了一个面板数据收入模型,利用招商银行、浦东发展银行和深圳发展银行,2002年1季度到2011年1季度的季度财务数据进行了实证分析,研究发现三家银行净利润16.67%的波动是由操作风险引起的,深圳发展银行面临的操作风险高于另外两家银行。

Operational risk is one of the most important risks faced by commercial banks.Income model is a suitable model to measure operational risk considering the management conditions of operational risk in our country′s commercial banks.This paper builds an income model with panel data to do some analysis using quarterly accounting data of three commercial banks from the first quarter of 2002 to the first quarter of 2011,which are China Merchants Bank,Pudong Development Bank and Shenzhen Development Bank.Conclusions are drawn that volatility caused by operational risk accounts for 16.67% in the total volatilities of the net profit of the three banks and the operational risk of Shenzhen Development Bank is the biggest one among the three banks.