【摘要】：隨著全球經(jīng)濟(jì)加速融合、金融創(chuàng)新日趨活躍、信息科技不斷變革,操作風(fēng)險在近年來屢屢成為全球銀行業(yè)的“明星人物”,操作風(fēng)險管理受到了空前重視。當(dāng)前,中國銀行業(yè)的操作風(fēng)險管理尚處于起步階段,與巴塞爾新資本協(xié)議要求和國際先進(jìn)做法相比仍存在較大差距。針對這一現(xiàn)狀,如何通過計量與管理的有機(jī)結(jié)合來尋求中國商業(yè)銀行操作風(fēng)險管理的“最佳實踐”,就成為了本文嘗試研究和解決的關(guān)鍵問題。 本文共分五個章節(jié)。第一章系統(tǒng)闡述了操作風(fēng)險的研究背景,對操作風(fēng)險的描述性定義和分類型定義進(jìn)行了梳理,介紹了巴塞爾新資本協(xié)議對操作風(fēng)險管理的定性和計量要求以及后續(xù)研討,并在對國內(nèi)外操作風(fēng)險研究現(xiàn)狀進(jìn)行文獻(xiàn)綜述基礎(chǔ)上,對操作風(fēng)險的概念和定義特征進(jìn)行了全面闡述。 第二章主要對國內(nèi)銀行業(yè)操作風(fēng)險管理現(xiàn)狀進(jìn)行了分析,對國內(nèi)銀行業(yè)操作風(fēng)險事件進(jìn)行了整理分析,指出國內(nèi)銀行業(yè)操作風(fēng)險管理的瓶頸,進(jìn)一步論述了國內(nèi)銀行業(yè)內(nèi)部控制管理和操作風(fēng)險管理的銜接和互動,國內(nèi)銀行業(yè)推進(jìn)操作風(fēng)險管理的難點所在。 第三章通過對國外活躍銀行和國內(nèi)銀行業(yè)操作風(fēng)險實踐的差異比較,并以上海為例,從單體機(jī)構(gòu)操作風(fēng)險管理水平的橫向比較分析以及操作風(fēng)險管理體系環(huán)節(jié)分析等入手,指出國內(nèi)銀行業(yè)操作風(fēng)險的時代和體制特征,通過國內(nèi)外銀行業(yè)操作風(fēng)險管理的對比研究,得出國內(nèi)銀行業(yè)操作風(fēng)險管理的癥結(jié)所在。 第四章著重對銀行業(yè)操作風(fēng)險資本計量進(jìn)行了實證研究,在對巴塞爾新資本協(xié)議提出的操作風(fēng)險計量方法進(jìn)行分析基礎(chǔ)上,本章節(jié)結(jié)合國內(nèi)銀行業(yè)操作風(fēng)險資本計量實踐,提出國內(nèi)銀行業(yè)實施高級計量法應(yīng)采取三步走的總體路徑,第一步實施內(nèi)部度量法；第二步實施損失分布法；第三步實施極值理論法,這既是國內(nèi)銀行業(yè)操作風(fēng)險資本計量的現(xiàn)實之舉,也是理論與實踐緊密結(jié)合的可操作途徑。 第五章主要通過歷史數(shù)據(jù),對三步走的資本計量方法進(jìn)行實證分析和擬合檢驗,對高級計量法建模中可能遇到的數(shù)據(jù)和模型挑戰(zhàn)進(jìn)行了分析并提出相應(yīng)對策,在大量損失數(shù)據(jù)的基礎(chǔ)上,通過建模分析,對內(nèi)部度量法和損失分布法進(jìn)行探索性的實證演示,得出三步走的路徑具有實踐可行性。本章同時指出,計量方法固然重要,尚需相配套的管理措施作為手段,共同提高操作風(fēng)險資本計量的管理環(huán)境機(jī)制。
[Abstract]:With the acceleration of global economic integration, financial innovation is becoming more and more active, information technology is constantly changing, operational risk has repeatedly become a "star" of global banking in recent years, and operational risk management has received unprecedented attention. At present, the operational risk management of China's banking industry is still in its infancy, and there is still a big gap compared with the requirements of the Basel New Capital Accord and the international advanced practices. In view of this situation, how to seek the "best practice" of operational risk management of Chinese commercial banks through the organic combination of measurement and management has become the key problem to be studied and solved in this paper. This paper is divided into five chapters. The first chapter systematically expounds the background of operational risk research, combs the descriptive definition and classification definition of operational risk, introduces the qualitative and quantitative requirements of the Basel New Capital Accord on operational risk management, and further studies. Based on the literature review of operational risk research at home and abroad, the concept and definition characteristics of operational risk are expounded. The second chapter mainly analyzes the current situation of domestic banking operational risk management, analyzes the domestic banking operational risk events, and points out the bottleneck of domestic banking operational risk management. The paper further discusses the connection and interaction between internal control management and operational risk management in domestic banking industry, and the difficulties in promoting operational risk management in domestic banking industry. The third chapter compares the practice of operational risk between foreign active banks and domestic banks, and takes Shanghai as an example, starting with the horizontal comparative analysis of operational risk management level of individual institutions and the analysis of operational risk management system. This paper points out the times and institutional characteristics of domestic banking operational risk, and through the comparative study of domestic and foreign banking operational risk management, obtains the crux of domestic banking operational risk management. The fourth chapter focuses on the empirical study on the measurement of operational risk capital in banking industry. Based on the analysis of the operational risk measurement method proposed by the Basel New Capital Accord, this chapter combines the practice of operational risk capital measurement in domestic banking industry. The paper points out that the domestic banking industry should take the overall path of three steps to implement the advanced metrology law, and the first step is to implement the internal measurement method. The second step is to carry out the loss distribution method, and the third step is to implement the extreme value theory, which is not only a practical measure of domestic banking operation risk capital, but also an operational approach that combines theory with practice. The fifth chapter mainly through the historical data, carries on the empirical analysis and the fitting test to the three-step capital measurement method, has carried on the analysis to the data and the model challenge which may meet in the advanced metrology modeling, and has proposed the corresponding countermeasure. On the basis of a large amount of loss data, through modeling and analysis, the internal measurement method and the loss distribution method are demonstrated empirically, and it is concluded that the three-step path is practical and feasible. At the same time, this chapter points out that the measurement method is important, but it is necessary to improve the management environment mechanism of the operational risk capital measurement by using the corresponding management measures as the means.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.2

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本文編號：2361313