Research On Advanced Measurement Approaches In Operational Risk Of Commercial Bank

With recent relaxation of financial regulation,globalization ,the rapid development of financial innovation and information technology, the occurrence of financial affairs in Chinese commercial banks is frequent due to the Operational Risk. It has brought huge losses to the commercial banks. Operational Risk is a kind of burned risk of commercial banks. It growns in the running process all the time. But it has been long neglected, bankers and governors' attention has been greatly altered from focusing on credit risk and market risk to the operational risk. Until to the bankruptcy of the Barings Bank in 1995, this event sounded the alarm bell to the international banking institutions. The international financial community began to re-examine operational risk.New Basel Accord, issued by Basel Committee on June 26th, 2004, which brought operational risk into the framework of capital adequacy ratio, and required financial institutions to operate the corresponding capital for operational risk. Operational risk numerical management will be important area of bank operational risk in the future. But there are still no general techniques accepted by scholars and banking management compared with credit risk and market risk. Compared with the international active banks, the management of our commercial banks has fell far behind the international industry level not only in qualitative understanding aspect but also in quantitative measurement. It makes the research of measurement and management of operational risk important in China.This paper introduces the research literature of domestic and international which researched on the operational risk measurement methods. Combined with the New Basel Capital Accord, analysis of the characteristics of operational risk, the reason as well as the classification of operational risk. In particular, comparative analysis of the complexity and sensitivity of the advanced measurement approach.Chapter three describes the principle of the fitting of advanced measurement approach, focuses on the internal measurement approach(IMA), loss distribution approach(LDA) and the extreme value theory (EVT). By comparing with other advanced measurement method. This paper conclude that the operational risk management of China's long-term goal is advanced measurement approach.This innovation conclude that parameters set by the Basel Committee on different types of loss frequency range has changed dramatically by the research on assumptions and improvements of internal measurement approach model. Analysing on the basis of 174 operational risk cases from Chinese commercial banks,this paper aimed to found the distribution function of high-frequency low-loss, moderate-frequency moderate-loss and low-frequency high-loss through the fitting and testing.