我国商业银行操作风险的博弈分析  

Games Analysis about Operational Risk of China′s Commercial Banks

作　　者：吴恒煜[1] 陈金贤[2] 赵平[1] 

机构地区：[1]江西财经大学金融学院,江西南昌330013 [2]西安交通大学管理学院,陕西西安710049

出　　处：《西安交通大学学报（社会科学版）》2009年第3期19-23,共5页Journal of Xi'an Jiaotong University：Social Sciences

基　　金：国家自然科学基金项目(70861003);教育部人文社会科学基金项目(06JA790025)

摘　　要：从中国商业银行的内控角度出发,立足于中国商业银行操作风险的现实状况,利用不完全信息静态博弈原理,采用混合战略模型,分析了内部欺诈与内外勾结两种中国商业银行爆发最为频繁的操作风险类型,得出了博弈主体之间最大化效用时的均衡状态解,并进一步分析了在双方博弈过程中各种现实因素对均衡状态解的影响,得出作案人员的作案成本、职位高低以及对其的处罚力度;稽核人员的检查成本、对未来的期望以及对其的奖赏程度;案件被查出时间距案发时间的时间间隔等因素都会对博弈的均衡概率产生一定的影响。Beginning with the internal control angle of China＇s commercial banks, based on the actual situation of their operational risks, and by use of the incomplete information static gaming theory and mixed strategic model, the paper has made an analysis on two types of operational risks-internal fraud and internal-external collusion. A balanced state solution is obtained on the maximized effect between the gaming principals. A further analysis is made on the influence of various actual factors in the gaming process between beth parties on the balanced state solution. The offense cost of the offender, position level and the punishment extent to the offender are acquired. The check cost, expectation for the fu- ture, and the awarding extent for the auditors are also determined. It is indicated that factors such as the time interval between the cases disclosed, etc. will exert a given impact on the balance probability of the game.

关 键 词：商业银行操作风险 风险管理 混合战略模型 

分 类 号：F832.33[经济管理—金融学]