商业银行操作风险度量模型的比较与分析  

The Comparison and Analysis of Models to Measure Commercial Bank's Operational Risks

作　　者：沈怡斐[1] 

机构地区：[1]上海交通大学安泰经济管理学院管理科学与工程专业硕士生,上海200431

出　　处：《金融论坛》2009年第1期32-36,共5页Finance Forum

摘　　要：本文着眼于商业银行操作风险度量模型中的三种自上而下的度量方法:收入模型、基本指标法和支出模型,分别运用上海浦东发展银行、深圳发展银行和中国民生银行2002年第1季度至2007年第2季度的数据进行实证分析。经过实证研究发现,三家银行的操作风险收入模型比较符合中国国情。三种不同方法计算得到的操作风险资本有比较大的区别,但是都远远小于银行操作风险损失的大小,其中,收入模型所要求的风险资本最大,基本指标法所要求的次之,支出模型所要求的最小。由此可见,操作风险度量模型在我国的适用程度仍然不高。This paper focuses on three top-down models to measure commercial bank＇s operational risks, which are the income model, the basic index model and the payout model, and makes an empirical analysis with the data of Shanghai Pudong Development Bank, Shenzheng Development Bank and China Minsheng Banking Cop. from 1Q 2002 to 2Q 2007. The results indicate that three banks＇ income model on operational risks is consistent with Chinese conditions. Three models lead to different operational risk capitals, all of which are less than the banks＇ operational risk loss. Among them, the risk capital required by the income model is the largest, the second is the basic index model and the third is the payout model. Generally, operational risk measurement models fail to work very well in China.

关 键 词：商业银行 操作风险 操作风险资本 收入模型 基本指标法 支出模型 

分 类 号：F832.2[经济管理—金融学]