Measuring Operational Risk In Commercial Banks In China And Constructing The Business Continuity Management System

In recent years, the operational risk losses happened frequently in commercial banks have drawn high attention to domestic and international financial community. In terms of the concept of operational risk, the management framework and the management tools put forward in Basel New Capital Accord, the financial community at home and abroad is concerned with the operational risk management not only on the level of its qualitative analysis, but also much more on its quantitative aspects. Meanwhile, on the basis of the management tools described in the Basel New Capital Accord, both domestic and foreign scholars have expanded their research on various measurement methods and applied to the practice. Thus, operational risk numerical management has been one of the most important areas in the field of banking.In the light of the study of operational risk measurement and its application by researchers, the thesis did such statistical analysis of the relevant operational risk loss data showed in our commercial banks from 1988 to 2011. Then, some preliminary conclusions are obtained as follows:to the overall, the data distribution of operational risk loss in our commercial banking indicated that there obviously exist fat tails, and the chief deceive of external and internal fraud. Secondly, the author did a further analysis of these data adopting Excel,SPSS and MATLAB and drew their responding Mean Excess Plot, Q-Q Plot and Hill Plot. After that the author gets the same conclusion as the former one, which makes the results more convincing. Finally, based on the previous theory, the author adopted the POT model of the Extreme Value Theory to measure it specifically as follows: first, adopting Mean Excess Plot, Hill Plot and Empirical Estimation to determine the different thresholds ui; second, realizing the parameters of different thresholds u; of the likelihood of a logarithmic function in MATLAB, third, determining the optimum threshold ui and their corresponding logarithm likelihood function; fourthly, at different confidence level, calculating the overall operational risk's VAR and ES values of our commercial banks.Judging from the above measured results of operational risk loss data of our commercial banks, it can be concluded that the operational risk losses have been suffering great damage in Chinese commercial.banks. However, the relevant documents in Chinese commercial banks research show that the concept of operational risk is still not deeply rooted in the banking internal system, let alone the effective prevention and emergency measures. In view of this, the paper put forward the integration management system of risk management system for the commercial banks in China commercial banks and the ideas of the business continuity management system. First of all, the author explained the necessity of constructing business continuity management system from the perspective of the social needs, the values, and the interruption of business; Next, based on the study of the construction of business continuity theory, the author explained the specific implement steps from six aspects involved the planning management, risk analysis, business impact analysis, recovery strategy, plan development and testing maintenance; last but not least, combining with the analysis of our commercial banks to deal with the disaster management business continuity at present, the author proposed several constructive advice of constructing business continuity management system in China.