Study On Measuring Operational Risk Of Agricultural Bank Of China

In recent years, loss in operational risk incidents occured frequently, and it had already attracted widely attention of the whole banking. The New Basel Capital Accord, which was issued by Basel Committee in 2004, brings the operational risk into the risk management framework for the first time, then operation risk market risk and credit risks were considered as the most important risks in banks. The New Basel Capital Accord also mentioned economical capital for operational risk management and introduced three methods of measuring operation risk. In china, the attention on operational risk is too late in our banks and they have no consciousness to measure operational risk. There if few studys on measurement model of operational risk in China , which restricts the management level of operational risk management.Agriculture Bank of China is more serious than other state-owned Banks, loss in Agricultural Bank of China operational risk incidents rises year by year, which may effect reputation of Agricultural Bank., and it also will bring Agricultural Bank the barrier to list. Therefore, it is rhe most important of choosing the suitable model to measure operational risk in Agricultural Bank and calculating the economical capital for operational risk. According to the results, Agricultural Bank of China can control the future loss in operational risk and improve the management ability. Eventually the competitiveness of Agricultural Bank of China will improved.This paper contains five chapters, the main contents as follows:The first chapter is introduction. This chapter introduces the reserch background,the purpose and the significance of paper. Demestic and abroad researches are summarized about some representative views, then it mentions the idea, method and possible innovation. The second chapter is about the method of measuring operational risk from the qualitative and quantitative aspects. Through the comparison of methods we choose Loss Distribution Approach(LDA) to analyse operational risk in Agricultural Bank. Finally, this chapter introduces how to build the model with LDA.The third chapter summarizes the different definitions and classifications of operational risk. And then according to the loss in operational risk incidents from 2000 to 2009 which are collected by the domestic public media, this chapter draws the characteristics of operational risk in Agricultural Bank.The fourth chapter is empirical study about measuring operational risk in Agricultural Bank. Loss Distribution Approach is established on the historical loss datas, then on the basis of estimating distribution function about the intensity and frequency of, loss datas, this chapter calculated the Monte Carlo simulation through written procedures, finally the economical capital for operational risk about Agricultural Bank of China is worked out.The last chapter proposes some obstacles of operational risk measurement in Agricultural Bank of China, and puts forward relative proposal for this difficulties.