本文關(guān)鍵詞：基于收入模型的我國商業(yè)銀行操作風(fēng)險(xiǎn)研究　出處：《湘潭大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：商業(yè)銀行作為以貨幣為經(jīng)營對(duì)象的特殊企業(yè)，加強(qiáng)風(fēng)險(xiǎn)管理對(duì)其具有極其重要的意義。商業(yè)銀行各項(xiàng)風(fēng)險(xiǎn)中人們最先意識(shí)到的是信用風(fēng)險(xiǎn)，之后隨著銀行投資活動(dòng)日趨頻繁，投資盈虧直接影響到銀行的生死存亡，市場(chǎng)風(fēng)險(xiǎn)引起了銀行的警惕。操作風(fēng)險(xiǎn)是最古老的風(fēng)險(xiǎn)之一，伴隨著銀行業(yè)務(wù)的誕生而存在。但是長(zhǎng)期以來操作風(fēng)險(xiǎn)并沒有引起銀行管理者的重視。直到20世紀(jì)末期，大量由操作風(fēng)險(xiǎn)引發(fā)的銀行損失事件頻頻發(fā)生，在全球范圍內(nèi)給許多金融機(jī)構(gòu)造成了嚴(yán)重的經(jīng)濟(jì)損失，金融機(jī)構(gòu)以及相關(guān)學(xué)者才將目光轉(zhuǎn)移到操作風(fēng)險(xiǎn)的研究上來。2004年6月，巴塞爾銀行監(jiān)督委員會(huì)發(fā)布了《巴塞爾新資本協(xié)議》，將操作風(fēng)險(xiǎn)納入風(fēng)險(xiǎn)資本計(jì)提的計(jì)算和監(jiān)管框架之中，這也標(biāo)志著金融界對(duì)風(fēng)險(xiǎn)管理進(jìn)入一個(gè)全面的新時(shí)期。 我國對(duì)操作風(fēng)險(xiǎn)的研究時(shí)間尚短，在我國銀行業(yè)的實(shí)踐中，對(duì)操作風(fēng)險(xiǎn)認(rèn)識(shí)明顯落后于信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)等常見性風(fēng)險(xiǎn)。長(zhǎng)期以來我國缺乏對(duì)操作風(fēng)險(xiǎn)的系統(tǒng)性分析，在對(duì)操作風(fēng)險(xiǎn)的度量上也缺少適合我國國情的度量模型。在這種現(xiàn)狀下，尋求有效的操作風(fēng)險(xiǎn)度量方法，量化和管理操作風(fēng)險(xiǎn)，減少操作風(fēng)險(xiǎn)損失對(duì)我國商業(yè)銀行具有重要的現(xiàn)實(shí)意義。 首先對(duì)我國商業(yè)銀行的操作風(fēng)險(xiǎn)現(xiàn)狀進(jìn)行闡述，概括出我國商業(yè)銀行操作風(fēng)險(xiǎn)的特點(diǎn)，并指出其主要存在的問題。接下來分別對(duì)國際上常用的基本指標(biāo)法、標(biāo)準(zhǔn)法和高級(jí)計(jì)量法進(jìn)行了闡述，并對(duì)各種度量方法進(jìn)行比較分析，從中選取出最適合現(xiàn)階段我國商業(yè)銀行使用的度量模型——收入模型。對(duì)以往學(xué)者使用收入模型的研究情況進(jìn)行分析，發(fā)現(xiàn)以往的收入模型存在一定缺陷，在分析了收入模型的原理和假設(shè)后對(duì)收入模型進(jìn)行了調(diào)整。在實(shí)證部分，利用調(diào)整后的收入模型對(duì)我國九家商業(yè)銀行數(shù)據(jù)進(jìn)行對(duì)比分析，在實(shí)證的基礎(chǔ)上得出各家銀行的絕對(duì)操作風(fēng)險(xiǎn)總值。由于絕對(duì)操作風(fēng)險(xiǎn)總值與銀行凈利潤(rùn)的方差息息相關(guān)，而各家銀行凈利潤(rùn)不同會(huì)造成銀行凈利潤(rùn)的方差存在差異，，所以如果僅僅采用絕對(duì)操作風(fēng)險(xiǎn)總值來衡量銀行操作風(fēng)險(xiǎn)具有一定的片面性。故不僅利用絕對(duì)操作風(fēng)險(xiǎn)總值，還采用了相對(duì)操作風(fēng)險(xiǎn)總值指標(biāo)——操作風(fēng)險(xiǎn)占比（v）來對(duì)我國商業(yè)銀行的操作風(fēng)險(xiǎn)進(jìn)行度量。最后，根據(jù)實(shí)證結(jié)果從操作風(fēng)險(xiǎn)管理和操作風(fēng)險(xiǎn)度量?jī)蓚�(gè)角度來對(duì)我國商業(yè)銀行提出一些建議。
[Abstract]:As a special enterprise with money as its business object, it is of great significance to strengthen risk management for commercial banks. Credit risk is the first risk in commercial banks. After that, with the bank investment activities becoming more and more frequent, investment profit and loss directly affect the survival or death of the bank, market risk has aroused bank vigilance. Operational risk is one of the oldest risks. With the birth of banking business, however, the operational risk has not attracted the attention of bank managers for a long time. Until the end of 20th century, a large number of bank losses caused by operational risk occurred frequently. In the global scope to many financial institutions caused serious economic losses, financial institutions and related scholars turned their attention to the study of operational risk. June 2004. The Basel Committee on Banking Supervision has issued the Basel New Capital Accord, which brings operational risk into the calculation and regulatory framework of risk capital accounting. It also marks a comprehensive new era for risk management in the financial world. The research time of operational risk in our country is still short. In the practice of banking in our country, the understanding of operational risk is obviously lagging behind the credit risk. Market risk and other common risk. For a long time, our country lacks systematic analysis of operational risk, and also lacks a measurement model suitable for China's national conditions in the measurement of operational risk. It is of great practical significance for Chinese commercial banks to seek effective operational risk measurement, quantify and manage operational risk and reduce operational risk loss. First of all, the current situation of operational risk of commercial banks in China is expounded, the characteristics of operational risks of commercial banks in China are summarized, and the main problems are pointed out. Standard method and advanced metrology method are expounded, and various measurement methods are compared and analyzed. Select the most suitable for the present stage of our commercial banks to use the measurement model-income model. To previous scholars using the income model analysis, found that the previous income model has some defects. After analyzing the principle and hypothesis of the income model, we adjust the income model. In the empirical part, we use the adjusted income model to compare and analyze the data of nine commercial banks in China. On the basis of empirical analysis, the absolute operating risk value of each bank is obtained, because the absolute operating risk value is closely related to the variance of bank net profit. The variance of bank net profit will be different because of the difference of bank net profit. Therefore, if only the absolute operational risk gross value to measure the operational risk of banks has a certain one-sidedness, so not only use the absolute operating risk total value. We also use the index of relative operational risk, the proportion of operational risk, to measure the operational risk of commercial banks in China. Finally. According to the empirical results, this paper puts forward some suggestions to Chinese commercial banks from the aspects of operational risk management and operational risk measurement.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33

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