基于情景的操作风险计量方法研究

Research on the Scenario-Based Measurement Approach of Operational Risks

《巴塞尔资本协议Ⅱ》鼓励金融机构使用高级计量法计算监管资本,以此更加准确地反映金融机构的操作风险水平。其中,基于情景的计量法融合损失分布法、记分卡法的优势,能够更加前瞻性地计量操作风险资本。本文深入研究基于情景的计量法的流程、建模技术以及实际应用情况,提出应重视SBA在我国的应用和实践、建立完整的基于情景的计量法体系、注重克服基于SBA可能存在的问题等建议,有利于国内银行根据实际情况考虑使用SBA计量操作风险监管资本和经济资本。

The Basel Capital Accord II encourages banks to calculate the regulatory capital by using the advanced measurement approach, in order to more accurately reflect the operational risk of banks. Scenario-based advanced measurement approaches include loss distribution approach and scorecard approach and adopt the advantages of these two measurement methods, which can be more forward-looking. This paper deeply studies the process, modeling technique and actual application based on scenarios and puts forward suggestions that we should lay emphasis on the application and practice of SBA in China, establish a complete measurement method based on scenarios and focus on overcoming the potential problems lying in SBA. These suggestions are useful for domestic banks to consider using SBA to measure the regulatory and economic capital of operational risks.