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The Study on the Operational Risk Measurement of China’s Commercial Banks

Author: SunHuaZuo
Tutor: JiangXueJun
School: Dongbei University of Finance
Course: Finance
Keywords: Commercial bank Operational risk LDA Monte Carlo simulation
CLC: F832.33
Type: Master's thesis
Year: 2013
Downloads: 4
Quote: 0
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Abstract


Operational risk is the risk of an ancient and common, but in the commercial bank was established, the people are not aware of this risk. Until the eighties and nineties, the British Barings Bank and the Bank of Japan and Japan have closed down, bank regulators and practitioners concerned this was due to the improper operation of commercial banks risks arising from, and called operational risk. Since then, the commercial bank managers and related organizations would be for operational risk has been systematically studied, in particular the Basel Banking Committee, more emphasis on operational risk of commercial banks.Basel Committee in the " Agreement Ⅱ" given in the definition of operational risk and for different types of commercial banks to provide the corresponding operational risk measurement method, and into commercial banks operational risk capital framework. Although Basel ten countries mainly targeted banks, the so-called internationally active banks, but with China’s accession to WTO, the opening up of the financial services industry, but also attach importance to China’s commercial banks operational risk management requirements of the CBRC will systemically important commercial banks in the country by the end of2013to meet the "Agreement Ⅱ" in the core capital requirements. Compared to credit risk and market risk, operational risk for the bank manager ’s attention late, relevant theoretical and empirical research less internationally for the definition and measurement of operational risk mainly depends on the relevant provisions of the Basel Banking Committee. China’s banking industry research for operational risk is relatively small, so this choice of commercial banks operational risk measurement this subject for the study.This paper is divided into six chapters, the first chapter is an introduction, this paper introduces the research background and significance, and domestic and foreign literature were reviewed. The second chapter is the definition of commercial banks operational risk and discrimination, mainly commercial banks operational risk is defined to analyze the characteristics and causes, and the measurement of the Basel agreement provides methods Introduction. The third chapter is China’s commercial banks operational risk measurement model selection theory, the main provisions of the Basel agreement of the three commercial banks operational risk measurement methods were compared, analysis of various operational risk measurement methods advantages and disadvantages, and based on Basel Ⅱ requirements to identify a variety of operational risk measurement methods applicable conditions, combined with the development of China’s commercial banks current situation and future development goals, choose a suitable for China’s commercial banks operational risk measurement methods. The fourth chapter is the empirical study of operational risk, the loss distribution approach used in this chapter for China’s commercial banks operational risk empirical research, collected nearly19years, China’s commercial banks operational risk loss event data, using matlab software and Monte Carlo simulation China’s commercial banks operational risk loss frequency distribution and distribution losses amount calculated the size of China’s commercial banks operational risk. Chapter V of China’s commercial banks operational risk management measures and recommendations, this chapter analyzes the operational risk of commercial banks is higher than the international standard of reason, and gives countermeasures and suggestions. Chapter VI is inadequate and Prospect, the main analysis of this study deficiencies and propose solutions.Significance of this study:Through the different commercial banks operational risk measurement methods of analysis, comparing the advantages and disadvantages of each measure to find its application environment for China’s commercial banks practical application process to select the appropriate operational risk measurement methods provide some reference; collected nearly19years in China commercial bank operational risk loss event data, using matlab software, the use of Monte Carlo simulation, for China’s commercial banks operational risk empirical analysis to assess the size of the risks for Chinese commercial banks to withdraw Venture capital prepared to provide advice.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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