商业银行操作风险度量方法比较

使用初级计量法中的基本指标法、标准法(替代标准法)、收入法和高级计量法中的损失分布法度量同一对象(以中国工商银行为例)同一时期的操作风险所需资本,并对上述不同计量方法进行理论和实证比较。实证得出,对同一度量对象同时期的操作风险所需资本来说,基于初级计量法中的不同计量方法的操作风险所需资本相差不大,基于高级计量法的操作风险所需资本远远大于基于初级计量法的操作风险所需资本。现阶段,我国银行比较适合采用收入法度量操作风险所需资本。

This paper uses basic index method,standard method,income method,from primary measurement methods,and loss distribution method in advanced measurement method to measure the same object（taking the Industrial and Commercial Bank of China as example） that needs operational risk capitals during the same period,and do theoretical and empirical comparison with above mentioned measurement methods.The results indicated that in terms of required capitals for same measured object and at the same time,the capitals that operational risk require based on different measurement methods in primary measurement methods are little difference,but the required capitals on the basis of advanced measurement method are much more than the required ones on the basis of primary measurement methods.Currently,our banks are suitable for taking income method to measure the capital operational risks require.