Research On Operational Risk Management Of Commercial Banks

The subprime loans crisis of the United States In 2007 rapidly evolved into a global financial crisis, and led to the serious recession of the world economy. The crisis caused hundreds of commercial banks bankruptcy in the United States.These commercial banks had a few problems of operation risk management, such as excessive bonuses for senior management personnel and such the excessive packing of the subprime loan package by external rating agencies. For this reason, in October 2010, the Basel capital accord Ⅲ proposed tougher regulatory capital standards, and strengthened the risk management principles required to take further measures. The crisis had taught us a big lesson of American commercial Banks in operation risk management. With the further progress was made in reform of marketization of China’s commercial Banks, how to further strengthen the operational risk management has become a focus issue by the concerned.In this paper, starting from the introduction to the definition and classification of operational risk, we analysis the distribution of each type of operation risk and their differences and similarities of commercial Banks at home and abroad. The important basis, guiding principle, framework and organization structure of operational risk management are summarized. Because domestic commercial banks have not establish any direct link between the operation risk self-assessment results and the operational risk capital measurementt, in this paper, by introducing the risk matrix and the expected loss value method of the different risk grade for the different risk level, we can convert the qualitative analysis to quantitative calculation, then, the operation risk self-assessment results can be directly used for measuring operational risk capital. For inadequate loss data, based on the results of this self-assessment, the risk matrix method of measuring operational risk capital introduced to the practice is good choice.for commercial banks.For domestic lack of empirical research on high frequency low severity operational risk in capital measurement, we carryy out loss distribution method by using as many as ten distribution fitting forms on the high frequency low severity risk events to determine the optimal fitting model. Empirical study shows that using more distribution fitting forms helps to find the best fitting effect measurement model. We apply both the basic indicator approach and extreme value model in capital measurement to the low frequency high severity operational risk at the same time. Empirical study results show that the extreme value model is more suitable for measuring low frequency high severity operational risk than the basic indicator approach, and in extreme value model, POT model measurement results are better than BMM model. We divide all collected loss data samples into 8 categories of operational in order to carry out risk correlation research, and use a variety of Copulas function to fit their correlation. best describes operational risk related structure function. The empirical study results show that take into consideration of the operational risks in all categories can help to select the Copulas function describeing the correlation best. We develop iinternal fraud game model to operational risk game model, and introduce the eight major factors influencing the game result of game model. The equilibrium game model and its expansion results show that both side of the operational risk game decide their own behavior choice by its own utility maximization as the goal. To maximize both supervision party utility and responsibility party cost is the most effective way to control the operational risk of commercial bank.Finally, some reform ssuggestions are put forward to strengthen the commercial banks operational risk management. A risk management organization system which has the distributed structure of three lines of defense should be established; Prudent operation risk management culture should be made cure the adverse impact of the "rule of man" culture for a long time; The loss events database construction and operation risk assessment and monitoring system should be strengthened to support decision-making;To meet the needs of China’s commercial Banks further market-oriented reforms, the China banking regulatory commission should improve the external supervision level of operational risk management.