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China's commercial banks operational risk measurement study

Author: HuYaoYan
Tutor: ZhangPing
School: Shaanxi Normal University
Course: National Economics
Keywords: operational risk economic capital LDA Monte Carlo simulation
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 219
Quote: 3
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Abstract


More and more operational risk loss events of commercial banks caused a great loss and cumber the development of commercial banks, operational risk to the banking sector will gradually become the great progress resistance. The New Basel Capital Accord issued by Basel Committee on June 26th, 2004, has manifested the newest idea of supervising and the newest achievement of risk Management in the international banking industry. What is specially worth paying attention is that it has bought operational risk into line with a managerial framework, which requires the lowest sufficient capital. And it has set the new request about the measure as well as the management of the operational risk to the international banking industry. Because the international research on it appeared late, most financial organizations measure the operational risk in the phase .The research in our country is lag, and most researchers just introduce the theory in the field, being short of the practical application of measurement techniques. In this context, this paper attempts to China’s commercial banks operating risk measurement studyIn this paper, the operating on risk measurement study of China’s commercial banks can be divided into the following three parts:First, it researches the feasibility of controlling of the banking industry operational risk firstly, then it makes research in-depth and meticulously into the frequency and high specificity operational risk loss events of commercial banks in China , as well as the three measurement methods (basic indicators method, Standards method, High measurement methods)provided by the New Basel Capital Accord. based on all the above, it references measurement model of credit risk and market risk ,and constructs the framework of the loss distribution model which suits to the characteristics of China’s commercial banks based on the theory of VaR.Secondly, on the basis of the theory research, it makes empirical analysis based on the loss distribution method of VaR model. As the measurement of risk in the operation of the loss distribution is realized by the description of the attributes of loss frequency and loss amount in the operation, and therefore, this article get the frequency distribution function of operational risk losses firstly by KS Nonparametric tests of SPSS statistical software, and get the distribution function of the operational risk loss amount by the parameters model testing of SAS statistical software. Then, on the basis of two distribution functions of loss frequency and of loss amount, it simulates operational risk losses by referencing the Monte Carlo simulation method in mathematics and physics for China’s commercial banks. Ultimately, it simulated expected risk of loss of the operation in China’s commercial banks by the historical data of the samples bases of loss data this article has set up. Third, in the analysis of the empirical results, in accordance with the VaR theory value at risk obtained the regulatory capital and economic capital of operating risk under different median, that the commercial banks choose different sub - few according to their risk tolerance, then they get regulatory capital and economic capital which are suited to themselves.In this paper, on the basis of reference and absorbing the results of previous studies, it researches and analysis by combination of the qualitative analysis and quantitative analysis and combination of normative analysis and empirical analysis, and ultimately come to that China’s commercial banks under different confidence level need allocation of monitoring capital and economic capital for operational risk, preventing the operation risk, and reduce the risk of operating losses of commercial banks, this is the main purpose of the study.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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