【作者】 盛军；

【导师】 陈方正；

【作者基本信息】 同济大学 ， 技术经济及管理， 2005， 博士

【摘要】 作为一种古老的风险类型,操作风险不仅存在于金融业,也广泛存在于其它行业。在商业银行业,无论是监管者还是经营者一直没有给予操作风险太多的重视。这种忽视导致了严重操作风险损失的接连发生,直到1999年《新巴塞尔资本协议》的咨询文本颁布,情况终于有所改观。操作风险的衡量与管理一时间成为各国银行家和监管者关注的热点。 正在这一阶段,中国国有商业银行改革也进入了攻坚阶段——产权改革。国内外的研究都显示:中国的商业银行,特别是四大国有商业银行存在严重的操作风险问题。进入2002年以来,各类操作风险事件进入了一个暴露高峰期,责任人的级别之高、损失金额之巨、影响范围之广都达到了前所未有的水平,严重影响了政府、公众和潜在的海外投资者对中国国有商业银行的信心。为此,中国银监会于2005年3月正式下发了《关于加大防范操作风险工作力度的通知》,敦促各商业银行加强操作风险防范。 国内对于操作风险的研究,在《新巴塞尔资本协议》颁布以前就开始了,被冠以金融犯罪研究、经营风险研究、内部控制研究等各种名目。虽然国外学术界和实务界对新协议存有这样那样的不同见解,我国监管部门也明确表示推迟若干年执行新协议,但近几年来国内学者对于商业银行操作风险的研究,基本还是围绕新协议开展的。然而,绝大多数文献并没有考虑中国国有商业银行制度的特殊性,仅仅依托一个对操作风险的抽象定义来研究,甚至跳过了对操作风险本身属性和具体表现的研究,直接去讨论如何防范和管理操作风险,不免有“舍本求末”之嫌。 本课题的研究就是在这样的背景下产生的,全文大致可以分为五个部分: 第一部分是导言和文献回顾,主要是对课题研究的背景的交待。 第二部分是操作风险内涵的明晰,主要是立足中国国有商业银行经营现状,从商业银行全面风险管理的角度出发,对操作风险的概念、特征、分类及其与其他类型银行风险的区别与联系进行比较详尽的阐述,特别是对操作风险与其他类型银行风险的交叉性和重叠性进行了分析。 第三部分是中国国有商业银行操作风险的制度根源分析,分为历时和共时更多还原

【Abstract】 As a common kind of risk with a long history, operational risk not only exists in financial sectors, but also occurs extensively in other industries. In commercial banking industry, both supervisors and bankers have not paid enough attention to operational risks. This neglect has led to severe loss. It was not until " The New Basle Capital Accord " was issued in 1999, that the situation has been somewhat improved. The measurement and management of operational risks have now become the focus of concern for bankers and supervisors in various countries.At the same time, the reform of China’s state-owned commercial bank (SOB) also entered the key stage—property right reform. Both domestic and international researches show that China’s commercial banks, especially the four SOBs are exposed to severe operational risks. Ever since the year 2002, we have entered a climax of all kinds of operational risk incidents, in which the rank of the personnel involved, the amount of loss and the extensive effects caused are all unprecedented. All these have dampen the confidence of the government, the public and the potential overseas investors of the China’s SOBs. As a result, the China Banking Regulatory Commission (CBRC) formally issued " The Notice on Devoting More Efforts to Taking Precautious measures against Operational Risks " in March of 2005, so as to urge all commercial banks to strengthen the management of operational risks.In China, the research of operational risks had begun even before the issue of " The New Basle Capital Accord ", usually nominated as financial crime research, operating risk research, internal control study, etc. Although people from academic and practical background abroad hold different views on the new accord, and CBRC also declared explicitly that China will postpone the implementation of the new accord for several years, in recent years, domestic researches on operational risks of the commercial banks are mainly based on the new accord. And most literatures have not considered the particularity of the Chinese SOBs system, merely rely on the abstract definition of operational risks, even omit the study of the attributes andconcrete behavior of operational risks, and jumped to the direct discussion of how to manage and take actions against operational risks. We may call it as " attending to the trifles and neglecting the essentials".The research of this dissertation is conducted against such a background and consists of five parts:The first part is the introduction and the retrospect of the papers of relevant topic. It mainly outlines the background of this research.The second part clarifies the intension of operational risks. It is mainly based on the current practice of the Chinese SOBs, proceeding from the angle of comprehensive risk management of commercial banks, and expatiates the concept, characteristics, classification of operational risks, and their differences from and relationship with other types of banking risks, especially the overlapping part.The third part analyses the institutional origin of operational risks in Chinese state-owned commercial banks, composed of two chapters: diachronic analysis and synchronic analysis. The diachronic analysis mainly reviews the establishment and reform of the framework of SOBs of our country, embeds the analysis to the general background of economic system reform, sums up several major types of operational risks with characteristics specific to China, and summarizes the developing process of these types of operational risks, and studies the characteristics of the Chinese SOBs’ operational risks different from those in western countries. The main conclusion reached in this part is that operational risks of Chinese SOBs are caused mainly by institutional arrangement, and such institutional operational risks can be classified into two groups: the exogenous and the endogenous. The exogenous institutional operational risks consist of" the operational risks caused by external shocks" and "the compulsive operational risk". The endogenous can also be nominated as "the induced operational risk ". It can be further divided into two kinds: "operational risk caused by sluggishness" and "operational risk caused by moral hazard". "Compulsive operational risk " is a special operational risk faced by the SOBs during Chinese economic transition period, and was usually confused with and discussed as credit risks by scholars in the past. "The induced operational risk" and " the operational risk caused by external shocks " are the reclassification of the general operational risks.Based on the research of the current institutional arrangement, such as property right issue, internal governance structure and organizational structure, established during the institution transition of SOBs, the synchronic analysis discusses the role of property right arrangement, internal control and personnel arrangement in giving birth, fostering and strengthening operational risks, so as to dig out the specific cause of operational risks of China’s SOBs. Swindle risk and over-collecting of deposits are raised as examples, and special effort is made to find the defects of relevant laws and regulations and their effects on operational risks.After examining the institutional cause of operational risks, we find that operational risks are an important origin of all kind of risks, because of its universality and radiation effects, and that they are now a fundamental type of risk in commercial banks.The fourth part is an empirical analysis of operational risk incidents in Chinese commercial banks. After putting in order of more than 100 operational risk incidents in Chinese commercial banks which are exposed publicly, we make a descriptive analysis of their characteristics and trends, The results validate the four propositions based on the institutional reasoning in Part 3. Then we compare domestic data with census data of 2002 from Basle Committee of Banking Supervision (BCBS). Finally we use the BUhlmann’s approach to predict briefly the possible loss caused by operational risks, using domestic data.Part 5 is on the design of proper mechanism and measures for controlling operational risks, consisting of two chapters, i.e. improving banking supervision system and perfecting internal systems of incentives and constraints in SOBs. In the chapter of improving banking supervision, we analyze the games with complete and incomplete information between supervisors and banks, and their strategies therein during the operating and market exiting stages. We come to the conclusion that in the long run, the supervision of operational risks should progress from direct surveillance to indirect surveillance. In the chapter of incentives and constraints, we first discuss the reform of personnel system (non- monetary rewards and punishments) and salary system (monetary incentives) in the SOBs, demonstrated with an optimal model. Then we show that it is feasible for senior executives of SOBs to bear a part ofoperational risk loss through a model of guarantee and compensation (monetary restraints). It is a bold attempt in current situation when domestic liability insurance market is still not mature. Finally, we briefly discuss the possible ways to improve the internal control of SOBs.The main contributions of this research lie in that, Firstly, with reference to major research in this field, the study does not confine itself to the common methods used. With the study of the foundermental financial institutions as a starting analysis point, it helps to broaden the view of international academic research on operational risks, and deepen the understanding of the intensions, characteristics and attributes of commercial banking operational risks. Secondly, studying operational risks on the basis of the unique economic and institutional conditions of China and utilizing the concept of operational risks to redissect the risk structure of SOBs contributes to the comprehensive understanding of the root risk structure of China’s financial risks and the practical difficulties encountered in the governance of SOBs. It also helps to implore how to combine the international standard rules with the economic development and the financial system reform. Thirdly, on the basis of systematic theoretical research and empirical analysis, we offer suggestions on measures of operational risks management and surveillance for commercial banks and supervisory agencies, contributing to the everyday practice of operational risks management and supervision.The innovation of this paper lies in the following four aspects:Firstly, based on the background of Chinese economic and financial reform, the paper redefines the major types of operational risks, and describes their development characteristics in five phases, demonstrated that the confusion of the major types of SOBs’ operational risks and their sub-types are one of the major causes of the cumulation of operational risks.Secondly, the paper further analyses the general instutional arrangement of SOBs and several key institutions, and desclose the roles of giving birth to, conniving and reinforcing played by property right arrangement, internal control institutions and personnel system are the practical reason for high operational risks experienced by the SOBs.Thirdly, based on institutional analysis, from the special conditions of China, the paper gives new division and description analysis of all the operatinal risk incidents and the characteristics and tendency found are totally in line with the results achieved through institutional analysis.Fourthly, using the principal-agent theory, the paper designs a operational risks guarantee and compensation deposits model and demonstrates that let the managing personnels at various levels of SOBs share responsibilities of the loss caused by operational risks are both reasonable and feasible, and this is an aggressive practice when the responsibility insurance market is not yet mature.In general, this dissertation is a fundamental study of the operational risks of Chinese SOBs. The emphasis is placed on the institutional reasoning of operational risks and solutions designing, with special attention paid to the particularity of China. Not much effort is made to analyze of the generality and the technical aspects of operational risks. As the data of operational risks loss of Chinese commercial banks is almost a blank, and we are facing a peak of risk exposure, it is too early do have an ideal overall data analysis. Our empirical analysis is a breakthrough but still not full-fledged. All these leave room for further research and analysis.更多还原