The Research On Operational Risk Measurement And Capital Distribution Of Chinese Commercial Banks

As the New Basel Capital Accord bring the operational risk into the risk management framework for minimum capital supervision, international banks begin to focus on operational risk measurement and management. Loss in operational risk incident happened frequently in our country, operational risk increasingly becomes one of the main risks facing by banks. The requirement of improving the management technologies and methods become more pressing. Effective measurement of operational risk is the basic of operational risk management, but data deficiency becomes the most severity problem in operational risk measurement of our banks. Although the operational risk models develop very fast internationally, most models are stricted with data, while our banks are short of data and most of the models can not be used for measuring operational risk of Chinese commercial banks. Under the background it has weighty operational significance to study the suitable operational risk measurement methods to our banks.We collect the operational loss data of Chinese commercial banks scattered at newspaper, internet and other published media and establish the operational loss data. On the base of analyzing loss data, we put forward some suitable operational risk models: 1) we use the CreditRisk~+ for reference and make OpRisk~+ model which require little for input data to measure expect loss of operational risk, and the result shows it is feasible for Chinese commercial banks. 2) As the severity losses affect the survival of banks and we are short of the severity loss data, we use the HKKP-based extreme value theory combined VaR method, which can estimate exceed its original data and is suitable for small sample data to measure extreme operational loss.We also study the minimal operational risk capital. We use the Monte Carlo simulation, the Peak over Threshold combined VaR method and the HKKP-based...