The Oerational Risk Advanced Measurement Approach Study Of Commercial Banks Based On Spectral Risk Measures

Since2007, the global financial crisis triggered by U.S. subprime mortgagecrisis questions the gradually established risk management system. May2011, on thebasis of 《the commercial bank operational risk management guidelines》, the ChinaBanking Regulatory Commission issued "Chinese Basel Accord III"—《ChinaBanking Regulatory Commission's guidance on China's banking sector to implementnew regulatory standards》which clearly stated: before the end of2016, establish acomprehensive risk management framework and the internal Capital adequacyAssessment Process compatible with the Bank's size and business complexity."Thismeans that commercial banks establish their own operational risk database, theoperation of development compatible with their own sizerisk measurement and riskmanagement system is imperative.This paper starts from the definition of operational risk areas fromcommercial banks, analyzes of operational risk defined in accordance withdomestic and foreign industry on the definition of operational risk, and choosethe basis given by the China Banking Regulatory Commission operational risk,operational risk is defined as the this study, and then analyzescharacteristics ofoperational risk. On this basis, quantitative operational risk management,operational risk management process defined. To quantify the managementhave a clear understanding of the details and analysis of several existingoperational risk measurement methods, a comparative analysis of the pros andcons of these types of measure, and further proposed the idea of spectral riskmeasure to measure operational risk.Under the premise of this thinking, the theory of spectral risk measure isintroduced, and operational risk spectral measure model, modeling, and carriedout a detailed demonstration of the model, theoretically proved that the modelof science and operability. A model not only has to go through the proof of thetheory, but also the need for the test of practice. In this paper, a statistical analysis of the collected457valid data, operational risk high-frequencylow-risk and low-frequency high-risk combination of characteristics, but alsodemonstrates the need to give full consideration to the confidence level otherthan the low-frequency high-risk loss data confirms sex. Based on these data,parameter estimation, the fitted distribution, the simulated distribution ofcalculated results, comparative analysis and other sectors, eventually come tothe conclusion of operational risk to more risk with less capital to cover thespectral measure model, a step-by-step demonstration operational risk spectrumto measure the superiority of the model.Finally, noting that this article study needed to complement and enhancesome aspects, but also the future direction of future research and development.