操作风险高级计量法国际监管规则的进展和启示  

International Supervisory Guidelines on AMA of Operational Risk and Enlightenment to China's Commercial Banks

作　　者：吴博[1] 刘堃[2] 胡丹[1] 

机构地区：[1]交通银行风险管理部 [2]交通银行风险部

出　　处：《国际金融研究》2012年第5期41-48,共8页Studies of International Finance

摘　　要：近年来,全球越来越多的商业银行开始实施操作风险高级计量法,美国、澳大利亚等国和巴塞尔银行监管委员会等监管部门对操作风险高级计量法的监管都进行了积极的探索。巴塞尔银行监管委员会于2011年7月发布的《操作风险高级计量法监管指引》,在总结和比较各国银行实践经验的基础上,提出了原则性的监管要求。本文从操作风险管理框架和治理、四类数据元素及应用、高级法建模等方面总结了国际监管规则的最新进展,并提出对我国商业银行实施操作风险高级计量法的若干启示。Summarizing and comparing the experiences of banks in different regions, Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches which was published by BCBS in July 2011, this paper puts forward principal guidelines for Advanced Measurement Approaches （AMA） of operational risk. The main issues of this supervisory guideline document are introduced in this paper, including the structure of framework and governance, four data elements and their application, and modeling. In the context of transiting from Standardized Approach to AMA, China＇s commercial banks can have some timely enlightenment for the implementation of AMA.

关 键 词：操作风险 高级计量法 损失分布法 情景分析 

分 类 号：F831[经济管理—金融学]