Research On The Measurement And Management Of Operational Risk Of Commercial Bank

Recently, domestic and overseas, many loss events which belongs to the Operational Risk (OR) shocked the world, operational risk measurement and management are urgently needed by international bank, the"New Basel Capital Accord"requires the bank to collocate capital for OR through measuring, OR effective monitoring and reporting. In our country, the operational loss event of Internal Fraud (IF) is notable. IF had brought huge loss, we must manage it through collocate capital for it. Most domestic banks are still in transformation to authentic commercial bank, suffering huge operational loss. Fundamentally it stems from the absence of a sound operational risk internal control system.By analyzing the collected data loss type of IF, found that the operating risk of China's commercial banks are a growing in a very long time, through analysis the statistical loss data of IF ,found the distribution of risk is highly characteristic thick tail. At the aspect of operational risk measurement, trying to start from the entire commercial banking system, and use the LDA model which is suitable for the distribution that has thick tail, It measure Var9 9.9% through LDA method, then we can get the Supervisory Capital for Operational Risk of IF, measurement results show that if China's banking sector configured 20685.43 (million) of capital funds, so can against the risk of loss IF in the confidence level of 99.9%. At the aspect of operational risk management, based on the analysis of the management of operational risk of commercial banks now days, a general dynamic control system framework suited to Chinese commercial banks'operational risk control practice was constructed according to the form of ERM (Enterprise Risk Management). And several measures for system optimization were discussed thoroughly.