【作者】 厉吉斌；

【导师】 欧阳令南；

【作者基本信息】 上海交通大学 ， 企业管理， 2007， 博士

【摘要】 近年来,操作风险给银行带来的巨大损失以及给社会金融经济造成的巨大影响,已经得到了世界各国银行业及其监管当局的重视。目前,巴塞尔银行监管委员会在新资本协议中明确将操作风险列为继信用风险和市场风险之后的商业银行第三大风险,并纳入资本监管范畴,但操作风险的理论研究滞后于前两种风险,也是当前商业银行风险管理最为薄弱的领域。我国正处于市场经济的初级阶段,操作风险在我国银行系统中广泛存在,由于操作不当和内部控制失效等原因频频造成银行严重损失乃至银行倒闭事件,并在一定程度上影响了我国的金融效率和金融安全。2005年,中国银监会通过现场检查发现的银行违规操作金额高达7671亿元,大致相当于我国一个中型股份制商业银行的总资产规模;中国银行广州开平支行连续三任行长利用管理漏洞盗用资金4.83亿美元,给银行造成巨大损失。当前国内外有关操作风险的研究主要集中于对操作风险的认识和计量,以及如何计算操作风险资本准备和最小化这种资本准备,而这些研究无法很好地解决我国商业银行的操作风险问题。因此,结合我国实际情况,加强操作风险理论研究显得十分迫切。本文针对我国商业银行当前存在的操作风险问题,通过对操作风险有关理论和管理实践的探索,研究设计我国商业银行操作风险管理的解决方案,目的是促使我国商业银行将操作风险纳入全面风险管理体系,实现管理重心从资本计量向加强内部管理的转变,最终提高银行抗风险能力和综合竞争力。本文综合运用风险管理、制度经济学、信息经济学和控制论的基本原理和方法,规范分析与实证分析相结合,定性分析与定量分析相结合,紧密结合我国商业银行的实际情况,将操作风险纳入银行全面风险管理体系,以操作风险的识别、评估、管理与监管为主线,在对操作风险形成根源和机理深入剖析的基础上,研究设计了商业银行操作风险管理价值的评估模型,构建了我国商业银行操作风险的“塔式”内部管理体系,提出了我国商业银行加强包括监管约束和市场约束等外部约束的政策建议。本文的研究对于我国商业银行操作风险管理具有一定的理论和实践意义。本文主要研究工作如下:1.研究了我国商业银行操作风险的形成根源和机理问题。首先,通过对操作风险本质、特征及其与信用风险和市场风险关系的分析,指出操作风险是商业银行的一项基础性风险,并运用制度经济学的基本原理,通过对操作风险“以人为本”的根源式分类,提出了适合我国实际情况的操作风险事件类型,从制度根源和人性根源的交互作用,对我国商业银行操作风险复杂和多元的形成根源进行了深入剖析。其次,运用信息经济学的委托代理和博弈理论,探讨和提出了我国商业银行操作风险的形成机理,并通过委托代理和岗位牵制两大关系的博弈分析提出了加强操作风险管理的政策建议。最后,通过实证分析进一步验证了我国商业银行操作风险的形成根源和表现。实证分析发现,我国商业银行操作风险主要是人为因素导致的,人致型的特征显著;在人为的操作风险事件中,银行高管人员所引发的操作风险事件从发生频率和对银行的冲击两个方面,都显著高于银行的一般职员;在银行各业务线的操作风险事件中,商业银行业务的发生频率和风险程度都是最高的。2.研究了商业银行操作风险管理价值及其评估问题。首先,通过对风险管理和风险价值理论适用性的分析,提出了操作风险管理价值的概念,指出风险管理价值是操作风险特有的管理属性。其次,通过对操作风险管理价值理论及其应用的分析,运用数理统计方法,研究设计了操作风险管理价值评估基本模型,并通过设计和引入操作风险管理价值系数,推导获得了操作风险管理价值评估的简化模型。最后,通过对我国商业银行操作风险管理价值评估的实证分析,发现我国商业银行操作风险管理目前呈严重不足和管理松懈,实施有效的操作风险管理可以给我国商业银行带来巨大的管理效益;实证分析同时也较好地检验了操作风险管理价值评估简化模型的适用性。操作风险管理价值的提出和评估,对操作风险管理和监管将产生重要的理论指导作用。3.研究了我国商业银行操作风险内部管理体系的构建问题。首先,基于全面风险管理理念和内部控制的基本原理,通过把操作风险纳入银行全面风险管理体系进行系统地分析和研究,提出了我国商业银行构建操作风险内部管理体系的基本原则和四大要素:环境、组织、流程和保障,进而构建了操作风险的“塔式”内部管理体系。其次,通过将内部管理体系的四大要素进一步细分为十一个相互关联的管理模块,深入研究了“塔式”内部管理体系的作用机制。最后,从良好的操作风险文化、有效的操作风险管理组织架构、集成式循环流程管理模型和风险报告、激励约束、应急方案三位一体的保障体系四个方面,对构建操作风险“塔式”内部管理体系进行了深入研究。4.研究了我国商业银行操作风险外部约束的建设问题。首先,从完善我国商业银行操作风险的外部监管约束出发,建设性地提出了将监管模式从以直接监管为主转向以间接监管为主、将操作风险纳入最低资本要求的监管范围、完善监管约束的基础制度建设、建立健全对商业银行操作风险管理的评估体系、进一步合理分工和定位监管部门各层面机构的监管重点、建立由银监会牵头的联合监管与协调机制等政策建议;其次,从确定并遵循适当的信息披露原则、完善信息披露标准、加强包括完善会计标准和健全信息披露问责机制在内的信息披露制度配套建设等方面,提出了完善我国商业银行基于信息披露制度的市场约束的思路;最后,探讨了加强外部审计与银行业自律约束等商业银行操作风险其他外部约束的问题。本文的创新之处:1.对操作风险的定义和分类重新进行了审视和界定。在新资本协议操作风险定义的基础上,将声誉风险和战略风险纳入操作风险定义范畴,使得操作风险的定义更加完整,有助于商业银行全面操作风险管理的实施;同时,结合我国商业银行的实际情况,提出了人性根源的分类观点,对我国商业银行操作风险事件类型重新进行了分类,并提出了操作风险的二维分类(风险管理价值、风险价值)方法,有助于深化对我国商业银行操作风险的认识、识别、评估和管理。2.运用制度经济学和信息经济学的基本原理和方法,在对制度根源和人性根源深入和复合分析的基础上,研究提出了我国商业银行操作风险特有的形成机理:我国商业银行由制度根源和人性根源交互作用形成了多元和复杂的操作风险根源,这些根源在激励与约束不完全吻合性的动力作用下,通过委托代理和岗位牵制两大关系中利益相关当事人的博弈,形成了各种表现形式复杂的操作风险。3.基于风险管理和风险价值理论,深入分析了操作风险的特点和管理属性,创新性地提出了操作风险管理价值的概念,研究设计了操作风险管理价值评估基本模型,同时针对现阶段银行数据库建设不足的实际情况,通过设计和引入操作风险管理价值系数,推导获得了操作风险管理价值评估的简化模型。4.基于商业银行全面风险管理和内部控制的基本原理,系统地构建了我国商业银行操作风险内部管理体系,从环境、组织、流程和保障四大要素及其进一步细化的十一个管理模块,深入研究了“塔式”内部管理体系的作用机制,并分别从良好的操作风险文化、有效的组织架构、集成式循环流程管理模型和集风险报告、激励约束、应急体系三位一体的保障体系,创新性地提出了建设我国商业银行操作风险内部管理体系的方法、思路和对策。总之,本文综合运用风险管理、制度经济学、信息经济学和控制论的基本原理和方法,对我国商业银行操作风险进行了深入研究,对于我国商业银行的操作风险管理具有一定的理论价值和重要的实践意义。更多还原

【Abstract】 In recent years, operational risk has led to huge losses in commercial banks and material impacts to social financial economy, which is being paid more and more attention by the world banking industry and supervisory authorities. Nowdays, Basel Committee on Banking Supervision (BCBS) ranks operational risk the third going after credit risk and market risk in 2004 New Capital Accord, and requires minimum regulatory capital on it definitely. But theoretic study on operational risk is lagged far behind the former two risks, and operational risk is the weakest field among the three big risks in the world-wide commercial banks.China is just at the beginning stage of market economy, operational risk exists widely in Chinese banking system. Because of improper operating and default internal control, commercial banks suffer a lot from frequent severe losses and bankruptcy, which influences financial efficiency and security of China to a certain degree. In 2005, Chinese Banking Regulatory Committee found an amount up to RMB 767 billion dollars of illegal operating through field check, which is equivalent to total assets of a medium-size shareholding commercial bank; Three former presidents of Guangzhou Kaiping Sub-branch of Bank of China successively steal totally up to USD 483 million by use of its management loopholes. Existing domestic and foreign literature mainly concentrates on operational risk’s identity and capital measurement, and how to minimize the amount of required regulatory capital, which are unable to solve Chinese commercial banks’problems of operational risk well. So it is urgent as well as important to enchance a theoretic study on operational risk in accordance with the actual situation of China.This article explores relative management theory and sound practice of operational risk, designs a comprehensive resolving scheme of operational risk management in Chinese commercial banks. Its main goal is to urge Chinese commercial banks to take operational risk management into the enterprise-wide risk management system, promote a transformation of management gravity center from capital measurement to strengthening internal management, and finally improve banks’anti-risk ability as well as the synthesis competitive ability.Appling the basic principles and methodnologies of risk management, system economy, information economy and internal control theory, combining normal analysis and empirical analysis, as well as qualitative analysis and quantitative analysis, integrating with China’s actual situation closely, putting operational risk into an enterprise-wide risk management system, from four aspects including identity, assessment, management and supervision of operational risk, based on a further study and analysis of forming causes and mechanism of operational risk, this article designs a basic assessment model and a simplified assessment model of value of operational risk management, establishes a“pyramid”management system of operational risk for Chinese commercial banks, and proposes constructive countermeasures and suggestions aimed at regulatory supervision and market discipline of Chinese banking industry respectively. This article’s study has a certain theoretical value and important practice significance regarding to operational risk management in Chinese commercial banks.Main research work of this article is as follows:1. Studying deeply forming roots and mechanism of operational risk in Chinese commercial banks. First, applying basic principles of system economy, through a human-based roots’classification, this article raises types of operational risk events adaptive to Chinese commercial banks. And from two aspects of system root and human nature root, this article carries on a deep root analysis of operational risk, points out that compound functioning of system root and human nature root, leads to multible and complex roots of operational risk of Chinese commercial banks. Second, based on principal-agent and gaming theories of information economy, this article discusses the forming mechanism of operational risk in Chinese commercial banks. And through a gaming analysis of two relationships including principal-agent and posts restraints, this article proposes policy suggestions to enchance operational risk management. Last, this article verifies further the roots and forming mechanism of operational risk in Chinese commercial banks by an empirical analysis. It reveals that, operational risk in Chinese commercial banks is mainly caused by human factors. Among human-caused operational risk events, both frequency and loss amounts by high level bank managers are higher than by common bank employees. Among banking business lines, the frequency and loss impact of operational risk of commercial banking business is the highest.2. Resolving the question of assessment model of value of operational risk management of commercial banks. First, through analysis of risk management and value-at-risk theory, this article proposes a concept of value of operational risk management, and points out that value of risk management is the unique management attribute of operational risk. Second, through theoritic analysis of value of operational risk management, applying mathematical statistic method and technology, this article achieves a basic assessment model of value of operational risk management, and then obtains a simplified assessment model through introduction of the coefficient of value of operational risk management. Finally, this article carries on both theoretic and empirical analysis on the application of the assessment models. Theoretical application is mainly on two-dimensional classification according to the result of assessment model, and takes value maximization of operational risk management as the goal to carry on the management arrangement. Empirical analysis makes a good examination on the application of the simplified assessment model of value of the operational risk management. The empirical analysis reveals that, at present, operational risk management in Chinese commercial banks is seriously insufficient, and simultaneously demonstrates that the space of operational risk management in Chinese commercial banks is very large.3. Establishing an operational risk management system for Chinese commercial banks. First, based on the enterprise-wide risk management theory and basic principles of internal control, taking operational risk into line with the enterprise-wide risk management system, this article carries on a systematical analysis and research, puts out eight basic criterias and four essential factors of operational risk management system, which are environment, organization, process and supporting. By carrying on an organic conformity to four essential factors, this article constructs a“pyramid”management system of operational risk. Second, by dividing the four essential factors of management system further into eleven interdependent administration modules, this article studies the functioning mechanism of the“pyramid”management system. Finally, from the four essential factors respectively, this article launchs a thorough analysis on the construction of the“pyramid”management system of operational risk: good operational risk culture is the important internal environment of operational risk management for commercial banks, construction of a flat matrix organization system is a foundation of operational risk management, construction of an integrated-revolving-process management model based on two-dimensional classification and management alignment, is the core of operational risk management, a risk reporting system based on the key risk index, an incentive and restraint system on the foundation of appraisal, and an emergency system based on business continuousity plan, constitute the basic supporting system of operational risk management system.4. Studing exterior restraint system of operational risk in Chinese commercial banks. First, through a research on the relationship of regulatory supervision restraint and market discipline, this article points out that regulatory supervision restraint and market discipline are the two defensive lines of operational risk in commercial banks, and analyzes present situation of the exterior restraint in Chinese commercial bank. Second, aimed at improving the regulatory supervision system in China, this article proposes to transfer the supervision pattern from primarily direct supervision to primarily indirect supervision, take operational risk into the minimum regulatory capital requirement, enchance construction of the foundation system, design assessment system of operational risk management, adjust supervision emphasis among different levels of Chinese regulatory authority, establish a supervision coordination system headed by CBRC, and so on. Third, from determination of proper principles and standard of information disclosure, construction of accessory principles of information disclosure including accounting standards and accounting mechanism, this article proposes some valuable mentality based on information disclosure. Finally, this article points out that strengthening external audit and the banking industry autonomy are another two important supplements to exterior restraints of operational risk in Chinese commercial banks.Innovation points of this article mainly include:1. Further checking and recognizing the definition and classification of operational risk. On the foundation of operational risk definition given by the New Capital Accord, this article puts reputational risk and strategic risk into the scope of operational risk definition, makes operational risk definition more complete, which is helpful to the implementation of bank-wide operational risk management. At the same time, by consoldating actual situation of Chinese commercial banks, this article proposes aviewpoint of human-nature rooted classification, and carrys on a classification on the types of operational risk events, and proposes a two-dimensional classification method (value of risk management, value-at-risk) of operational risk, which is conducive to understanding, identity, assessment and management of operational risk in Chinese commercial banks.2. Applying basic princinples and methodnologies of system economy and information economy, based on a deep analysis of system root and human-nature root of operational risk, this article proposes that the interaction of system root and human-nature root leads to compound and multible causes of operational risk roots in Chinese commercial banks, which, under the driving action of imperfection of incentives and restraints, through a gaming of people interested of the two big relationships including principal-agent and post restraints, forms all kinds of compound types of operational risk.3. Based on theories of risk management and value-at-risk, deeply analyzing the characteristic and unique management attribute, this article creatively puts out the concept of value of operational risk management, and points out that the core of operational risk management is the assessment of value of operational risk management, designs a basic assessment model of value of operational risk management, and aims at the present insufficient database of Chinese commercial banks, designs and introduces a coefficient of value of operational risk management, furtherly proposes a simplified assessment model of value of operational risk management.4. Based on principles of banks’enterprise-wide risk management and internal control theory, this article explores a construction of“pyramid”management system of operational risk in Chinese commercial banks. From four essential factors including environment, organization, process and supporting, and its further eleven administration module, this article studies deeply the functioning mechanism of the“pyramid”management system, and proposes systematically definite countermeasures and mentality to construct the management system of operational risk, from the good operational risk culture, the flat matrix organization framework, the integrated-revolving-process management model and the supporting system based on three organic subsystem including risk reporting, incentives and restraints, and emergency plan.In brief, this article applies basic principles and methodnologies of risk management, system economy, information economy and internal control theory comprehensively, develops a deep study on operational risk management in Chinese commercial banks, which has a certain theoretical value and important practice significance regarding to operational risk management in Chinese commercial banks.更多还原