Research On Operational Risk Of China 's Listed Banks Based On Income Model

Operational risk is one of the oldest is a risk, since the bank to carry out business activities will exist, but for a long time did not separate management formally incorporated into the bank risk management system. However, the 90 years since the last century, with the financial innovation ceaselessly, banks increasingly large scale, its business more and more complex, which brought about by the loss of operational risk is correspondingly increased. While the outbreak of operational risk cases to commercial banks brought great losses to the capital and credit crisis, which makes the management to realize the important significance of.2004 effective supervision of the operation risk of the year in June, the Basel Committee in the new the Basel Capital Accord, operational risk will be officially into the economic supervision system. In the 2010 promulgation of the Basel 3, to further expand the scope of the China risk. Will also in 2005 and 2007 issued a series of documents, to convey the operational risks must be caused by the bank’s attention, while operational risk will become an important part of China’s financial supervision of this idea.At the same time, the academic circles at home and abroad have also carried out the research on the operational risk, the International Commercial Bank of New Capital Accord introduced, it has focused on improving the internal control system; pour into the manpower, material resources to the development of risk management tools can be used in practice and strengthen the operational risk measurement model, the document suggested that establishment of internal loss database. This series of measures, the international research on operational risk is mainly concentrated in the definition of the concept of risk, risk measurement and risk management for construction of an empirical frame. By comparison, because there is no corresponding operational risk loss database and a complete operational risk measurement and statistics system in our country. The research field mainly concentrated in reference to the Basel agreement, the current market data released by the basic standard method was used to study or the introduction of advanced measurement methods.The present situation of China’s banking industry and the basic situation of operational risk management development trend based on the outbreak of the first time at home and abroad in recent years the phenomenon of operational risk events were generally introduced, in order to show the value and significance of the theoretical study of the operational risk. Then the domestic and foreign research status of risk operation are described in detail then, according to the collected data, the basic concept of operational risk are described, especially a detailed description of the measurement method of the new Basel Capital Accord on operational risk. The actual status of the domestic joint operational risk, operational risk measurement methods by comparison, selection of measurement method-- income model suitable for domestic conditions, then according to the income model chosen by the thought, selects several indexes that have great influence on the operational risk: the Shanghai Composite Index, deposit ratio, net interest margin, non-performing loan The rate of contribution, the enterprise prosperity index, the two-year loan spreads at the same time, this paper selects the representative of the national commercial bank 12 furniture, due late Listed Agricultural Bank China, until 2010 before listing, listing the amount of data of the annual financial statements published is relatively small, so not to join the samples. The only choice the Chinese bank, Construction Bank China, state-owned ICBC three commercial banks. In addition, the joint-stock commercial banks, this paper selects 9 listed banks in time for a long time and time to market is relatively close as samples, respectively, CITIC Bank, China Everbright Bank, Bank of communications, Industrial Bank, China Merchants Bank, the people’s livelihood bank, Huaxia Bank, Shanghai Pudong Development Bank, Ping An Bank public financial data as samples, through the model design and test, in order to consider the feasibility.This paper uses EIVEWS6.0 software data of 12 listed commercial banks selected for regression, from the regression results, the selected indicators, these two indexes of Shanghai stock index and interest rate spreads on two-year target variable Bank net profit is not too obvious. Because of the size and nature of the 12 listed banks as the same, it will be divided into two categories, namely state-owned commercial banks and joint-stock commercial banks, respectively, again by regression analysis. Finally, according to the results of the regression analysis, the state-owned banks operational risk estimates of joint-stock commercial bank is more than 3 times, therefore, although the state-owned commercial banks reform in recent years, the operational risk control level has been significantly improved, and the joint-stock commercial bank risk control level in the gap is narrowing, but the operation risk of the state-owned commercial banks is much higher than the joint-stock commercial banks, and through the analysis The reasons for the above results, we give the policy recommendations to strengthen operational risk management.