The Measurement And Its Application Of Our Country Commercial Banks’ Operational Risk

While the operational risk is included in the framework of provision for capitalby the new Basel Capital Accord, the international banking community began to payattention to the measurement and management of the operational risk. Therefore,domestic and foreign scholars study the operational risk from its measurement modeland the management of the operational risk and so on. But the existing on the originand formation mechanism of the operational risk is still needed to be furtherresearched.In China’s commercial banks the features of the operational loss events are:high frequency, loss amount is huge, therefore, how to effectively prevent theoperational risk management has become the main topic for the Commercial Bank ofour country, then effective management of operation risk is based on the rightmeasurement of the operational risk, therefore, rightly measure the operational risk ofcommercial banks in China, not only can guide the Bank reasonable to extract capital,but also can provide valuable policy reference base to the management of operationalrisk of bank supervisors, and ultimately increase bank risk-resisting ability andcompetitiveness. In this paper with the actual situation study the operational risk ofcommercial banks in China from four aspects.Firstly, Using the data collected analysis the formation mechanism and thedevelopment status of the international and domestic commercial banks’ operatingrisk. Compare the specific situation of home and abroad, the leading cause ofdomestic operational risk has the following characteristics: the mainly reason ofdomestic commercial banks operating risks is the bank personnel involved, includinginternal fraud and collusion fraud, financial corruption and illegal operations; thefrequency and risk of loss amounts of commercial banks operational risk events arethe highest; loss events mainly occurs concentrated in the national joint-stock banksand four major state banks.Secondly, mathematical analysis China’s commercial banks operational riskmeasurement methods, to find the suitable measurement methods. Combined with thedevelopment status of China’s commercial banks operational risk, the author analyzedand compared the present methods about operational risk measurement，finally selectloss distribution model reasonablely, in addition operational risk’s loss frequencydistribution obey Poisson distribution, and loss severity obey the generalized Paretodistribution. Thirdly,established Chinese commercial banks operational risk measurementmodel. Based on the collected data establish the loss distribution model to measurerisk. Use of distance estimation method to estimate the loss frequency model andmoored to send the parameters of the distribution model parameters; Using averageresidual value chart to determine the threshold, then estimate the generalized Paretodistribution model parameters, and finally calculated that in one year,99.9%confidence level, the maximum loss amounted of the operational risk is1.5810trillionyuan, on the basis of this result, calculated the unexpected loss amounted is2.5trillionyuan.Finally, According to operational risk measurement results directly extract themaximum operational risk loss as the minimum amount of capital. In one year, toensure99.9%against the unexpected operational risk required the minimum capitalabout2.5trillion yuan.Based on the above, this paper put forward the following Suggestions.(1) do agood job of internal management policies on human factors.(2) strengthen thebuilding of the bank’s internal management system, improve the operation of businessprocesses.(3) strengthen the external regulation, to speed up the structural reform ofthe state-owned commercial banks.(4) gradually supple the bank’s capital, explore theoperational risk insurance.(5) improve the information disclosure, accumulate theoperational risk loss data, develop the new models.(6) improve the system, improvethe ability of technical supporting.