基于股票收益的操作风险资本估计——自上而下方法  

Estimation of Operational Risk Capital Based on Return in Stock Market:A Top-down Method

作　　者：刘睿 李金迎 

机构地区：[1]招商银行博士后工作站,深圳518040 [2]清华大学公共管理学院博士后流动站,北京100084

出　　处：《管理科学》2008年第6期96-103,共8页Journal of Management Science

摘　　要：操作风险的度量方法包括自下而上和自上而下两种方式，自上而下的方法由于风险敏感度低而较少被银行和学术界关注，但其具有对数据要求低、容易验证的优点。构建一个基于上市银行股票收益的自上而下的操作风险度量模型，利用2000年～2006年中国5家上市银行面板收益数据和其他相关数据，对中国上市银行的操作风险进行实际度量，发现了在中国上市银行的股票收益中操作风险所占的平均比率，并得到相应的操作风险资本估计；用估计的操作风险经济资本与用基本指标法计算的操作风险经济资本进行比较，发现两种方法结果大致相当，这表明按照《巴塞尔新资本协议》规定的基本指标法确定风险资本基本能满足抵御操作风险的要求。There are two approaches of measurement of operational risk, top-down and bottom-up. The topdown approach attracts much less attention from banking industry and academic circle for its lower sensitivity to operational risk. However, this approach needs less requirement of data input, and is easier to verify than the bottom-up method. This paper uses top-down approach to establish an operational risk evaluation model based on the listed banks＇ returns in stork market, measuring comprehensive operational risk of listed banks in China by using a quarterly panel data of equity returns of five Chinese listed banks over the period from 2000 to 2006. The author finds the ratio of operational risk to return of stock for listed banks in China and transforms it into the corresponding risk capital. The result is consistent with the outcome of the Basic Indicator Approach in Basel Ⅱ. This also suggests that the Basic Indicator Approach can be a suitable approach to evaluate operational risk capital for banks in China.

关 键 词：操作风险 股票收益 自上而下 上市银行 

分 类 号：F830.4[经济管理—金融学]