Research On Methods Of Operational Risk Capital Requirement Calculation And Operational Risk Management Framework In Commercial Banks

Nowadays, the sophistication of finance technology is growing and globalization of finance services is rapidly increasing. The Losses resulting from Operational Risk is increasing in domestic and overseas commercial banks, which attracts the attention of international financial fields. China Banking Regulatory Commission and financial institutions in China have started operational risk management with institution and supervision indicators. According to the new basel capital accord and"Sound Practices for the Management and Supervision of Operational Risk"issued by the Basel Committee, the motive of this paper is to explore the methods of calculating operational risk capital requirement and establishment of operational risk management framework in commercial banks on the base of the analysis of operational risk management in Chinese commercial banks. The innovation work in this paper can be presentes as the follwing five main aspects:First, the identification, definition and classification of operational risk are necessary precondition. Thus this paper reviews and investigates the definition, character and classification models of operational risk, and establishes loss frequency-severity classification model of operational risk. That is, we establish a loss frequency-severity classification model on the basis of operational risk definition, characteristic and the operational risk classifying of Basel Accord.Second, this paper analyzes all kinds of measurement model of operational risk in a continuum of increasing sophistication and risk insensitive, and explores the characteristics and applicability of all methods of calculating operational risk capital requirement. Especially, this paper investigates technologies, methods and theoretic bases and applicability of the IMA, LDA, EVT and EVT-LDA in Advanced Measurement Approach. Meanwhile, this paper gives estimation methods of parameters in all kinds of AMA and the process of calculating operational risk capital requirement with AMA. In addition to, this paper investigates and improves IMA, gives the formula of operational risk capital requirement on condition that the losses distribution resulting from operational risk is normal distribution, and constructs the dependence structure of different operational risk with Copula function.Third, we discuss the application of all methods in commercial banks on the basis of frequency of loss and severity of loss. Different methods have different characters and applicability. Therefore, according the new Basel Accord, this paper proposes that commercial banks should calculate operational risk capital requirement in three steps.Fouth, this paper analyzes current situation and future development of Chinese commercial banks. And this paper proposes that Chinese ommercial banks should set out calculation of operational risk capital requirement in the classification of business lines and loss type, data collection, internal control, information disclosure, and so on.At last, according to"Sound Practices for the Management and Supervision of Operational Risk", this paper investigates how commercial banks construct operational risk management framework. Moreover, through analyzing operational risk management of Chinese commercial banks, we advise that Chinese commercial banks should start their operational risk management in risk management culture, risk management organization pattern, risk management process, internal control institution and public disclosure institution of information to accelerate construction of Chinese commercial banks operational risk management framework.