©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(11,400030;21,610054):,,,,,,,,,:;;:F830133:A:100426062(2008)0420056206:2006208210:2007204210:(2006C04):(1966.7),,,,,:0,,,,,,VaRKMVCreditRiskCPV;,1988,,1995,20046,()[1],,,,,FrachotRoncalli[2],,King[3],,[4],,,,,,,,,(BayesianNetworks,BN),,,(KeyRiskIndicators,KRIs)(KeyRiskDrives,KRDs),,,,,,1111(RetailBanking,RBK)(1):(BreachofPrivacy,BP)(InsiderTrading,IT),BP30%,IT65©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(:%)2(:%)70%,,,30%,,70%NBPIT,;FBPIT;SRBK,;RRBK,BP99%1%,IT98%2%(1),BPITRBK11BP=NBP=FIT=NIT=FIT=NIT=FRBK=S01915013550164501085RBK=R01085016450135501915,,RBK:P(RBK=S)=P(BP=N)(P(RBK=S|BP=N,IT=N)P(IT=N)+P(RBK=S|BP=N,IT=F)P(IT=F))+P(BP=F)(P(RBK=F|BP=N,IT=N)P(IT=N)+P(RBK=F|BP=N,IT=F)P(IT=F))=0199(019150198+013550102)+0101(016450198+010850102)=019011P(RBK=R)=1-P(RBK=S)=010989,12:IT,BP,95%,,RBK9189%10197%112,,,,X={X1,X2,,Xn}:XS;P,XXi,PaiSXi,X:p(x)=ni=1p(xi|pai),,,,,,():,,,;,BN;,,;BN,,,BN,,BN,,2211,,,,,,,75Vol122,No1420084©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2)2VaR01999VaR01999(RetailBanking)RBK417111474270(CommercialBanking)CB5176114712203(PaymentandSettlement)PS31320171349(CorporateFinance)CF21891130557(TradingandSales)TS21301121274(AssetManagement)AM21481122333(RetailBrokerage)RB016901023(AgencyServices)AS1110014120(Misappropriationofassets)MA0169014114(Mismarkingofposition)MP21711139519(Bribes)BR11611110117(Breachofprivacy)BP21711130464(Insidertrading)IT319111451875(Fraud)FR513811316817(Accounttake2over)ATO31221134815(Moneylaundering)ML315611791967(Productdefects)PD318111792529(Exceedingclientexposurelimits)ECEL312211611139(Incorrectclientrecords)ICR314011411070(Accountingerror)AE21711108342(Datamaintenanceerror)DME11611110117(Guidelineviolations)GV21081179450(Deliveryfailure)DF1139016949(OperationalRisk)OR71982139306615:;VaR01999:,(3)3,,RBK,OR,RBK85:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[6],,,,VaR01999(2),TSAM,,2,,214,,,,:,3,,,;,,;,,,,,()3,,,,310000,;(310000,500000],;(500000,700000],;700000,,,3311,,3,,,4,,BR21691131FR61381145,,RBKCB,4,RBK41741149CB51911148,VaR01999455114408,3,RBK,CBOR81062140,VaR01999335398,,95Vol122,No1420084©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()()()()(RetailBanking)RBK4500500060006000(CommercialBanking)CB13000140001500015000(PaymentandSettlement)PS350350400400(CorporateFinance)CF600550600600(TradingandSales)TS300280320320(AssetManagement)AM350400450450(RetailBrokerage)RB42506060(AgencyServices)AS30507070(OperationalRisk)OR31000050000070000070000044VaR01999VaR01999(RetailBanking)RBK5171211725438495174%(CommercialBanking)CB6151118942111245109%(PaymentandSettlement)PS313301723592194%(CorporateFinance)CF219111335916105%(TradingandSales)TS213511222916135%(AssetManagement)AM2165113345536177%(RetailBrokerage)RB01720103315134%(AgencyServices)AS111601452420113%312(OperationalRisk),,,OR81632154,VaR01999678168,,4,427025438,495174%;1220342111,245109%;,,4,(),4,,,,06:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1]TheBaselCommitteeonBankingSupervision(BCBS).Internationalconvergenceofcapitalmeasurementandcapitalstandards[Z].Basel:BankforInternationalSettlement,June2004.[2]FrachotA,RoncalliT.Mixinginternalandexternaldataformanagingoperationalrisk[Z].WorkingPaper.GroupedeRechercheopertionanella,CreditLyonnais,France,http:PPgro.creditlynooais.fr,2002.1.[3]KingJL.OperationalRisk:EVTmodels[Z].WorkingPaper,http:PP[4].[J]..2005,(1):2022.[5].().[M].,,2005.1.[6]AlexanderCarol.Operationalrisk:regulation,analysisandmanagement[M].London:PearsonEducationLimited,2003.[7]FrachotAntoine,RoncalliOlivier,RoncalliThierry.Lossdistributionapproachinpractice[Z].WorkingPaper,2003.7.[8]PearlJF.Propagation,andstructuringinbeliefnetworks[J].ArticialIntelligence,1986,29:241288.[9]PearlJ.Probabilisticreasoninginintelligencesystems:networksofplausibleinference[M].SanFracisco:MorganKaufmann,1988.[10]TheBaselCommitteeonBankingSupervision(BCBS).ConsultativedocumentonoperationalRisk[Z].Basel:BankforInternationalSettlement,January,2001.[11].,[J].,2002,(12):916.[12],.[J].,2003,(11):4348.[13].[D].,2004.5.[14].[J].,2001,(6):7274.[15].[J].,1998,(1):4849.[16].[D].,2005,(3).BuildingupthePre2WarningSystemofOperationalRiskbyMeansofBayesianNetworksLUJing,TANGXiao2wo(1.CollegeofEconomicsandBusinessAdministration,ChongqingUniversity,Chongqing400030,China;2.SchoolofManagement,UniversityofElectronicScienceandTechnology,Chengdu610054,China)Abstract:Becauseoperationalriskofcommercialbankinghasspecialcharacteristicswithfewsamplesandcomplexstructure,itisdifficulttobuilduppre2warningsystembymeansofconventionalfinanc