【作者】 张晨； 胡丹；

【Author】 ZHANG Chen,HU Dan (School of Management ,Hefei University of Technology,Hefei 230009,China)

【机构】 合肥工业大学管理学院；

【摘要】 操作风险是银行业需要面临的主要风险之一,在度量操作风险的问题上,运用定量定性方法的结合来衡量操作风险日益取代通过操作手册或者风险清单来进行管理的方法,这也是IT技术的发展以及银行操作自动化程度不断提高的结果。本文首先介绍了新的巴塞尔协议所确定的操作风险度量方法以及前人在这一方面的研究成果,引入“沃尔评分法”。结合IE“连续改善”的思想建立适合度量我国商业银行操作风险的定量模型,通过实证表明该模型是适合度量国内商业银行操作风险。更多还原

【Abstract】 Operational risk is one of the primary risks that the commercial banks need to meet. Methods of quantitative and qualitative measurement is replacing day by day through operational handbook or risk bill. This is the result from the development of IT and improvement of the bank’s operational automatization. This paper introduced the New Basel Committee’s methods on operational risk and some scholars’ studies. Then it constructed the commercial bank’s operational risk measurement model making use of the IE continuous improvement and Wolfe method. It showed that this model is able to measure the operational risk through the demonstration.更多还原