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The Empirical Analysis of Measurement of SPD Bank’s Operational Risk

Author: LiXiaoTao
Tutor: YangBo
School: Dongbei University of Finance
Course: Business management
Keywords: Commercial Bank Operational Risk Income Model
CLC: F832.2
Type: Master's thesis
Year: 2011
Downloads: 144
Quote: 0
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Abstract


As the most ancient banking risk types of commercial bank, operational risk always exists in the business activities of commercial banks since the date of birth of commercial bank. But not enough attention has been paid on the operational risk; the operational risk management of commercial bank risk management has always been the weak link in the system. Until recent years, both domestic and foreign banks have undergone a series of operational risks caused by the loss of a huge sum of cases. In 2004 June, credit risk, market risk and operational risk was included in the scope of bank capital regulation in Basel’s new capital agreement, which marks the operation risk management has become an important part of the comprehensive risk management system. Currently, the bank operation risk management theory and practice are still in the initial stage, also are the Commercial Banks of our country. Our country’s commercial bank operational risk measurement is still in the exploratory stage.Firstly, this paper introduces the research background, research significance and research methods, expounds the topic background, research purpose and significance, the research methods have been used; And both domestic and foreign research literature on the operational risk were reviewed, discovery has been on the research of operational risk is concentrated in several aspects, namely the operation risk definition and formation mechanism, operation risk model and comparative analysis, the operational risk measurement models for empirical analysis; The second part mainly introduces the definition, characteristics, operation risk classification and measurement models, and the models are classified. On the risk of operation related content of the summary; the precise measurement of operational risk is the effective management of key links. At present, the international active banks research and the use of operational risk measurement model has many kinds, but not each model suitable for China’s commercial banks. Therefore, this paper combines the actual conditions of our commercial banks and analysis of several commonly used model in the domestic applicability, ultimately chose the income model. Income model principle: select the bank’s net profit as the target variable; consider all sorts of risk factors on the influence of net profit. In general, the bank net profit fluctuations in can largely be credit risk and market risk factors explained, while the rest can not be explained part can be seen as operating risk causes the bank net profit fluctuations. By using the econometric knowledge can be estimated in a certain confidence level operation risks caused by the loss, for bank economic capital for extraction; fourth part is the empirical analysis. Based on the income model, the SPD Bank to collect relevant data to the regression analysis, the conclusions drawn in this paper, namely: the SPD Bank at least annually for operational risk provision of about 1,878,000-000 Yuan, to withstand the sudden operational risk loss event on the banks of the normal operating activities impact. This paper made a summary, the paper puts forward the problems discovered in the process, and in view of the related question proposed own opinion; at the end of this paper the limitations and directions for future research are briefly summarized.The efficient operational risk management and the guard is directly related to the healthy of bank’s development, banking industry’s healthy development is the basic guarantee of the social progress and economic prosperity. On the risk of operation for accurate measurement of operational risk management is a key link of operation risk, accurate measurement of the help the banks to establish pre-warning mechanism, improve risk resistance ability. The provision of appropriate operational risk capital can ensure that banks in the event of operation risk and lead to huge expected loss, due to sufficient risk capital and to minimize the damage. At present, the study of China’s commercial banks operational risk measurement problem has important theory significance and the practical significance.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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