商业银行操作风险的损失类型及分布  

Loss Distribution of Commercial Banks' Operational Risk

作　　者：薄纯林[1] 王宗军[1] 

机构地区：[1]华中科技大学管理学院,湖北武汉430074

出　　处：《改革》2008年第3期119-124,共6页Reform

基　　金：国家自然科学基金项目"VaR风险耦合作用模型;数值模拟及实证研究"(批准号:70471043)

摘　　要：以《新巴塞尔资本协议》为研究框架,收集整理了见诸于媒体报道和商业银行内部信息的136个操作风险损失事件,建立了操作风险损失数据样本,从总体分布、损失类型和地区分布等方面进行定量分析,认为内部欺诈和外部欺诈是引起损失事件的主要类型,地区差异引致的操作风险损失事件也比较显著,建议商业银行根据损失事件的分布特征制定相应的监控措施。This article takes advantage of regulations of the New Basel Capital Accord and the sample and data are derived from 136 operational risk loss events, published on medium or insider information from commerical banks. We consider these data as operational risk data and quantitative analyze them from overall distribution, loss events type and area distribution, and discuss the characteristics of our country commercial banks＇ operational risk. This article points out that internal fraud and external fraud are the main types of the loss events, and regional differences are significant which lead to the loss events. The commercial banks should draw up control measures according to the distribution of the operational loss events.

关 键 词：商业银行 操作风险 损失分布 

分 类 号：F830.5[经济管理—金融学] F832.33