搜索
段军山(广东商学院金融学院,广州510320):金融业的全球化竞争和金融管制的放松,使商业银行面临的操作风险不断上升我国商业银行操作风险形成的内因和外因有很多,通过利用损失分布法对我国商业银行操作风险进行实证分析认为,目前,我国商业银行操作风险还处在可控的范围之中但随着商业银行业务的快速增长,资本金不够的隐忧仍然存在在未来要加强数据搜集整理,建立我国自身的操作风险损失数据库;要选择适合自身的操作风险度量方法;建立有效科学实时的商业银行操作风险预警系统:商业银行;操作风险;损失分布法;蒙特卡洛模拟:F822:A:1002-9753(2010)09-0022-06,(2004)[1]!,30%,,,,,,,,,,((2008)[2](2009)[3]),,,,:2010-08-11:2010-08-23:(10CJL017)(:08JA790025):(1971-),,,,,,,22科学决策2010年第9期:,;,,(一)我国商业银行操作风险管理的现状2005,,3.9!,,,,,:20045800,2202,2005327∀#,,2002~2003,,!(QIS3),,QIS3,,5,,QIS3,2004,∀#,∀#,,;;;;;;2004:,,,2003!,,!!20046,,19982003,,,,∀#,,,2004,,,14(44%),219(77%),821(54%),625(45%),4(50%)22(81%)23我国商业银行整体操作风险评估分析,1357(1070),109(二)我国商业银行操作风险形成的原因2003,,1.我国商业银行操作风险形成的内因,,:(1),(2)(3),,,,,,,,,,,(4),,,,,,1(%)9856.33419.62816.17421.152.9:,∀#,1,,,,[4]2.我国商业银行操作风险形成的外因,,,,:(1)(2),,,,;,,,,,(3),(4),,2:,;,;,[5],,,,,,,,24科学决策2010年第9期2(:)00001117000001.41%1.41%0.05%0100121261.501.41%001.41%2.82%0.42%012123853288692.7301.41%2.82%16.9%53.52%74.65%97.60%010012561901.41%001.41%2.82%1.90%325301377.74.23%2.82%7.04%4.23%018.31%0.03%357154171295820.934.23%7.04%9.86%21.13%57.75%100%100%19.933813.1875.0992237.3199677.43295820.93-0.01%1.29%0.03%31.18%67.50%100%:,,!,CFEF,20039,,,(),,,VaR,,,,2007,,,()(),,(3)3::()2000123.988420011846.16442002209.4239200342148.188200440184.34562005127453.872006108527.9200744518.23200830910.71:∀#,2006-2008,20052006,,,,:f(x,,)=1x2e-(lnx-)2/22EVIEWS,25我国商业银行整体操作风险评估分析,4.641.8463.361.279∃(,)EVIEWS,:1.,,1000,1000m1,m2,%%mn,m,2.mm1,m1,m1L1,L2,%%Lm1,;3.m1,L;4.231000,1000;5.1000,()VaR,4:4(:)0.50.90.950.99VaR190.4395554.7222766.64231416.801,20002008,,5%,190.4395;90%,554.7222;95%766.6423;99%1416.8012008(),5%90%95%99%(5),,,,,,,,,,,,,5(20032008)/2003200420052006200720086509.37636.99597.113539.715740.919574.4976.61143.31334.919043386.54408.3499.1583.6826.71215.31883.42668.74.72.7155.5249329.6534.19992.711370.513919.21891423347.429193.55%1.91%1.67%1.37%1.01%0.82%0.65%90%5.55%4.88%3.99%2.93%2.38%1.90%95%7.67%6.74%5.51%4.05%3.28%2.63%99%14.18%12.46%10.18%7.49%6.07%4.85%∃,26科学决策2010年第9期,,,,,,:,,,,,;;,,;,,KRI(),:[1]BaselCommitteeonBankingSupervision,2004InternationalConvergenceofCapitalMeasurementandCapitalStandards:aRevisedFramework,BaselCommitteePublications,June.[2],.∀#[J].,2008,10:59-63.[3].[J].,2009.[4].[D]..[5],.[R].CFEF,2003,9.(:)theoveralloperationalriskassessmentofChinesecommercialbanksBasedonthelossdistributionoftheMonteCarlosimulationDUANJun-shan(SchoolofFinance,GuangdongUniversityofBusinessStudies,Guangzhou510320)Abstract:Withglobalcompetitionofthefinancialsectorandfinancialderegulation,commercialbanksarefacingincreasingoperationalrisk.CommercialbankinChinahasmanyinternalandexternalcausesinformingoperationalrisk,bytheuseofthelossdistributionmethodtodoourempiricalanalysis,itshowsthatcommercialbanks&operationalriskisstillincontrolofthescopeatpresent.Butwiththerapidgrowthofcommercialbanking,capitalisstillnotenoughtoworry.Inthefuture,weshouldsetupourownoperationalrisklossdatabaseandchooseourownoperationalriskmeasurementmethods;bytheestablishmentofeffective,science,real-timecommercialbankoperationalriskearlywarningsystemtoimprovethepreventionofoperationalrisks.Keywords:commercialbanks;operationalrisk;lossdistributionmethod;MonteCarlosimulation27我国商业银行整体操作风险评估分析