Empirical Study On Operational Risk Of Domestic Commercial Bank Based On POT Extremum Model

Starting from the 1990 s,the financial market has seen some major development and innovation.Due to the faster globalization process,looser regulation,more flexible trading rules,and more developed technology,the financial market has become flourishing.In the meanwhile,various risks also came to exposure.Among all these risks,operational risk,owning to its ability to affect the normal running and profit making of banks,is a vital factor that cannot be neglected for financial entities.Calculation,prediction,warning and prevention of such risks are imminent tasks.The Basel Protocol III was born to remediate the looming danger.It requires before 2019,all banks around the world must implement newer and more rigid capital regulation,putting their main effort on increasing the adequacy of commercial banks and the percentage of risk weighted asset,and decreasing the identification of high quality assets.This regulation led to the capital insufficiency of bank regulation to a large extent.According to the policy,based the new calculation mode,commercial banks in different countries all have capital insufficiency,especially banks from Europe,the U.S.and India.A rough estimation shows that the gap for domestic banks is at least 400 Billion RMB.This can cut down the ability to deal with operational risks of these banks,thus advanced calculation method and reasonable policies must be brought up.This thesis analyzes different calculation methods for commercial bank operational risks,and based on event type and business unit classification,analyzes the most dangerous risk unit,and describes it in a statistical manner.Using POT extremum model,we attain the operational risk capital for each risk unit,and introduce the cause and solution for such risks,and provide some suggestions for the management of operational risk of the business banks,which is very practical.