商业银行操作风险的实证分析

An Empirical Analysis on Commercial Banks' Operational Risk

近年来商业银行发生了事关操作风险的一系列大案、要案,逐步引起了人们对操作风险的重视。巴塞尔新资本协议把操作风险列为商业银行面临的三大风险之一,要求把它纳入到资本充足的计算框架内,各国学者和银行业也竭力加强对操作风险的研究和管理。操作风险的度量是操作风险管理的核心,度量方法可分为自上而下法和自下而上法。本文利用基于自上而下法建立的收入模型,使用2002年1季度至2011年1季度的季度数据对深圳发展银行和招商银行的操作风险进行了度量,与基本指标法模型所得结果进行了对比分析,并用两家银行的诉讼、仲裁数据进行了间接的实际验证。研究发现:收入模型比基本指标法模型能更准确的度量操作风险;两个银行的风险水平所占总风险比重符合国际惯例要求;招商银行的操作风险管理水平要高于深圳发展银行。

Operational risk has attracted more and more attention gradually due to a series of cases concerned with operational risk which happened in recent years.In New Capital Accord,operational risk is thought as one of the top three risks faced by commercial banks and should be put in the framework of calculating capital adequacy.Scholars all strengthen their study on operational risk and commercial banks also do their best to improve operational risk management level.Operational risk measurement is the core of operational risk management and the method of operational risk measurement can be divided into top-down method and bottom-up method.This paper establishes an Income Model based on top-down method to measure the operational risks of Shenzhen Development Bank and China Merchants Bank by using quarterly data from the first quarter of 2002 to the first quarter of 2011.The outcome is compared with that obtained from model based on Basic Indicator Approach and also is indirectly testified using the data of litigation and arbitration from the two banks.Then conclusions are drawn that Income Model is much accurate than model based on Basic Indicator Approach and the two banks＇ proportion of operational risk are accordant with acquirement of the international industry respectively.Besides,the operational risk management level in China Merchants Bank is higher than that in Shenzhen Development Bank.