Research On Operational Risk Management Of Commercial Bank Of China

This dissertation analyzes the structure of operational risk management of commercial bank, and proposes a new definition of operational risk based on the status quo of domestic commercial banks. To demonstrate, an Advanced Measurement Approach (AMA) model using Bayesian inference method was introduce in the artical.Based on the thorough research of papers issued by Basel Committee of Banking Supervision (BCBS) since she established, this dissertation systematically classifies the papers that concerned operational risk management into three categories: principle papers, management papers and measurement papers; then the discussion on the pros and cons of operational risk management system of BCBS is followed. At the basis of research the different definition of operational risk giving by BCBS, scholar and commercial bank, the dissertation discusses the characteristic of operational risk, and proposes a new definition of operational risk.Operational Risk Management is still a brand new concept that is introduced to the commercial banks in China in recently years. The dissertation analyzes the framework of management system of operational risk adopted by the domestic mainstreams.To meet the Baselâ…¡regulatory requirements for the AMA, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of operational risk cannot be based only on historical data but should involve scenario analysis. Bayesian inference is a statistical technique well suited for combining expert opinions and historical data. This dissertation proposes a model of AMA using the Bayesian inference methods for operational risk quantification, and does a two-stage distribution function when discussing the distribution of loss severity.Using the operational risk loss data of a commercial bank, this dissertation gives an example of the proposed AMA model to practise in measurement of operational risk.