“新常态”下我国商业银行操作风险度量研究

On Empirical Analysis of Commercial Banks' Operational Risk under“New Norm”Based Income Model

以"新常态"下银行内外环境变化为基础,构建了符合中国实际经济特征的收入模型.对商业银行的操作风险进行度量,从宏观层面分别得出了商业银行利润与经济增长以及上证指数与银行不良资产的两类对应关系.基于该关系,进一步对操作风险状况进行了实证分析,围绕操作风险资本给出了具体量化结果.研究结果发现,收入模型在某种程度上可反映操作风险的大小,并且市场因素对收入的影响比信用因素更为明显.基于以上分析,提出商业银行需要加强操作风险内部数据建设和完善操作风险信息披露机制等防控操作风险的建议.

Based on the study of changes in internal and external environments facing China＇s commercial banks under the ＂New Norm ＂ perception,in this work,we select an appropriate income model to conduct empirical analysis for the actual situation. With the income model,the empirical analysis based on commercial banks in China focuses on establishing the relationships between net income and the rate of bad debts,index and the economic growth from a macroeconomic perspective,with which operational risks are analyzed and the amount of venture capital is calculated. It is shown that to some extend the income model can reflect the operational risk,and that China is faced with a serious operational risk. The effect of the market element is stronger than the credit element. In the end,several suggestions have been put forward about operational risk control,including operational risk interior database establishment and information exposure mechanism improvement.