The Operational Risk Measurement Study Of China's Copmmercial Banks On The New Based Capital Accord

Banking is a risky and earnings industry, its ability of controlling risk directly affect incomes and. core competitive ability. Recently, more and more operational risk loss events occurred continuously which make a serious affect to banks. Making financial institutions and researchers attach important to operational risk management. The New Basel Capital Accord is to bring operational risk into risk management framework for minimum capital supervision. Because the study on operational risk especial quantitative measure methods is late in China and the management level is in' the entry-level stage, some difficulties such as weak consciousness of quantitative managing operational, behindhand of operational risk loss data collection, lag for efficient measuring model led to operational risk loss event of our country occurred frequently. So seeking effective measure methods to quantify operational risk and reducing the loss of operational risk has weighty operation significance to Chinese commercial banks.Firstly, this paper expounds the significance of operational risk and points out the necessity of measurement of operational risk in Chinese banking. In Chapter 2 the paper based on the deficiencies in management of operational risk, analyzes and compares measure methods proposed by The New Basel Capital Accord and two main categories at present:top-down and bottom-up, then chooses the more suitable models for Chinese commercial banks-income model and Monte Carlo simulation. In Chapter 3 this paper revises the defects in income model and use revised income model measure the operational risk facing the five banks on market, creatively advances a relative indicator of operational risk loss-operational risk proportion. And by comparing its effects with indicator with the actual business circumstance of five banks to demonstrate the revised income model and operational risk proportion is feasibility. In Chapter 4 this paper preparatory study the number of capital for operational risk of Chinese commercial banks. The paper collects operational risk loss events from literatures as sample. Based on the distribution of loss frequency and loss amount, According to the distributing functions, we estimate the loss frequency and loss amount by the Monte Carlo simulation, then calculating the number of capital under 99.9% to reduce the harmful infection caused by operational risk loss events. Finally, the paper combines the empirical results of the chapter 2 and chapter 3 to give some advice for manage and measure operational risk of Chinese commercial banks.