【作者】 董莹；

【导师】 刘洪渭；

【作者基本信息】 山东大学 ， 工商管理（专业学位）， 2012， 硕士

【摘要】 我国商业银行的管理重心正在由单纯的业务管理向风险防控转变。按照巴塞尔委员会的最新估计,操作风险造成的损失不断增加,已经达到仅次于信用风险的地步。其中,由于会计业务在商业银行经营活动中的重要地位,会计操作风险优显重要。商业银行会计操作风险的发生,不仅涉及到外在宏观社会经济环境的变化,而且也根源于内在风险管控制度环境的建设。在宏观社会经济环境方面,儒家思想塑造了我国的传统文化,使银行本土员工比较中庸,注重个人感情,对亲友关系比较信任,做事讲究情面。这会弱化商业银行的风险管控制度,使得规章抵不过人情,容易诱发不合规业务操作的发生。另外,不断紧缩的财政货币政策,以及金融市场内部的激烈竞争,也使得各家商业银行竞相放松风险管控要求,简化业务操作流程,这为会计操作风险事件的发生提供了土壤。在内部风险管控制度环境方面,很多商业银行急功近利,不惜以牺牲内控为代价,急欲实现跨越式发展。同时,新产品、新业务、新制度的快速更新,又使原有的管控制度建设明显落后。这时,在我国商业银行风险管控文化尚未建立的情况下,人员因素极易成为会计操作风险频发的主要根源。所以,建立会计操作风险的识别和评估体系,对各项业务活动进行适时风险监测,有效识别和预警风险,是消减会计操作风险的关键。以山东省一家典型商业银行为研究对象,本文收集整理了现金业务和账户管理业务两个条线的所有会计操作风险事件,包括事件的发生频率、差错额、事件描述、所属分支机构等等。基于这些数据资料,按照科学性与实用性、全面性与代表性、可比性与针对性以及动态性与静态性的原则,本文首先在详细划分业务节点的条件下,按照固定的风险总额标准,查找并详列了两个业务条线的主要风险节点。其次,借鉴损失分布法(LDA法),利用泊松分布和正态分布函数,本文分别估计了每个风险节点的风险事件发生的频率强度和损失强度。最后,使用频率强度和损失强度的估计值,本文核算得出两个业务条线上每一个风险节点的风险程度估计值。按照不同机构、不同业务产品、不同业务条线、不同风险节点的逐层划分,利用所有业务条线上每一个风险节点的风险程度估计值,可以依次汇总得出各个层级的风险程度,从而能够进行每个层级的风险来源分析。这包括业务条线内部的风险来源、业务产品的风险来源以及分支机构的风险来源分析,甚至可以核算商业银行内部各个分支机构的风险贡献率。这些研究可以为合理配置风险管控资源、分层管理风险点、创新风险管控手段,并最终建立会计操作风险管理体系,提供有益的客观政策参考,以提升商业银行会计操作风险防范的效率和效果。同时,这种风险识别和评估体系,可以将会计操作风险最终归结为风险节点上每个风险事件的分析,从而可以具体查找风险根源,为完善内控管理制度、建立以风险评估为基础的奖惩机制提供理论依据。不过,受限于数据资料的可得性,本文只是分析了两个业务条线的风险来源,没有展开分析其它层级的风险情况。这为我国商业银行建立风险数据库,并最终构建会计操作风险的识别和评估体系,提供了有益的方法论指导和研究思路。更多还原

【Abstract】 The focus of management system in commercial bank has transform from operation management to risk management. According to Basel-committee’s estimate, operating risk has became a important risk that brings more economic lost in recent years. Because accountant operation has more important function in commercial bank, so accountant operating risk became a most important one.The cause of accountant operating risk in commercial bank is the change of social and economic environment and the bad risk management system. Firstly Confucianism mold traditional culture of China, and so Chinese staff often trust in their family, and this weaken risk management system, and brings more risk incidents. In addition, Siege economy and furious competition in money market all force commercial banks to relax risk management and omit few important operation process. So there are more risk incidents recently. In addition, some commercial banks ignored possible risk incident only for increasing their profit. On the other hand, there are more new product and operation and institution in recent years, and so commercial bank needs a new risk management system. Therefore it is important to built a system to identify and evaluate accountant operating risk, and then commercial bank can discover risk incident and reduce the economic loss as soon as possible.This paper collects all risk incidents of accountant operation of a commercial bank in Shandong province. The incidents are about of cash operation and account operation. Firstly the paper marks off operation nodes minutely, and discovers all risk nodes in the two operation process according to a risk level standard. Secondly in light of Loss Distribution Approach, and making use of the function of Poisson distribution and Normal distribution, the paper evaluates the frequency and economic loss of every risk node separately. Thirdly using the evaluated frequency and economic loss, the paper measures risk level of every risk node in the two operation process. According to every institution and operation product and operation process, and making use of the evaluated risk level of every risk node in all operation processes, the cause of accountant operating risk can be make out.With the same way, the cause of risk in every institution and operation product and operation process can be make out too. This may be in favor of distributing resource of risk management and supervising every risk nodes and innovating risk management method, and then built the system to identify and evaluate accountant operating risk. The system can increase effect of risk management of commercial bank in China.At a same time, the system can discover every reason that brings accountant operating risk in every risk node, and it can be help for building a risk management institution and perfecting rewards and punishment system of commercial bank. Whereas the data of risk incident is not sufficient, this paper analyses the cause of accountant operating risk in two operation process, and the study can be a guide for commercial bank to built a system to identify and evaluate accountant operating risk.更多还原