【作者】 朱明磊；

【导师】 曾志耕；

【作者基本信息】 西南财经大学 ， 金融学， 2007， 硕士

【摘要】 上世纪末,当大多数银行和巴塞尔委员会仍然将关注的目光聚集于信用风险和市场风险之时,国际金融业发生的一起倒闭案引起了他们的震惊,并在很大程度上改变了他们原有的认识和做法。那就是1995年有着悠久历史的巴林银行的破产倒闭。这一事件给全球金融机构提出了警告,操作风险正成为金融机构面临的最大威胁之一。至此,人们才认真关注这一最古老而又陌生的风险。巴塞尔委员会开始将操作风险纳入重要关注领域,并最终在新资本协议中将其纳入风险资本的计算和监管框架。巴塞尔委员会于2004年6月26日颁布了《巴塞尔新资本协议》,新资本协议要求对操作风险进行量化并将其纳入了资本监管要求。协议提出了卓有成效且被广泛应用的衡量操作风险的方法,要求金融机构为操作风险配置相应的资本金,并制定了一套衡量一家机构是否有资格使用某种衡量方法的标准,这体现了国际银行业监管理念和风险管理的最新成果。从目前中国金融界对不同风险的关注程度看,信用风险管理尽管依然存在不少隐患,但是己经引起了足够的关注,对市场风险管理的研究也已经有相当进步,在整个20世纪的80年代及90年代前期,市场风险成为学者们研究的重心之一,这些研究所取得的成果集中体现在巴赛尔委员会1996年公布的资本协议修订案中。但是对操作风险人们的认识到目前为止依然相当有限。尽管有不少监管人士认为,当前中国的金融机构面临的风险主要还是信用风险,但是,如果做进一步的分析的话就可以发现,在引发信用风险、导致不良资产的诸多案例后面,实际上相当比率是因为违规操作等操作风险因素引致的。2005年年初以来,中国银行业先后爆出多起金融大案,其涉案金额之巨、爆发频率之高,令银行业界内外为之震惊。随后中国银行业监督管理委员会颁发《关于加强防范操作风险工作力度的通知》,要求银行机构加大工作力度,采取切实措施,有效防范和控制操作风险。这是我国银行业对操作风险认识的一个代表性事件。提高操作风险管理水平已经刻不容缓,在这种形势下来研究商业银行操作风险的管理,是极具有现实意义的。本文从上世纪九十年代以来操作风险给银行业带来的巨大损失写起,引出了操作风险的概念,随之进行其理论界定,接着回顾与总结了操作风险的某些度量方法,继而对我国商业银行操作风险的管理现状进了阐述与分析,最后提出了我国商业银行操作风险的管理策略。据此思路,全文分为4章:第一章,操作风险的种类与特征。由于对操作风险的关注与研究是近几年才开始,银行业界和理论界对其还没有形成一个完全统一的认识,所以明确操作风险的种类与特征无论是在理论研究还是在实务操作上都有着重要的意义。笔者参考国内外多种文献,结合我国实际,对操作风险的各种定义进行了对比与判断,结合我国国情给出了符合我国实际的操作风险定义。在对比时作者尽可能详细分析了巴塞尔协议与其他国际著名金融机构对操作风险的各种描述,尽量反映出其异同。第二章,操作风险的度量方法。这一章是作者对操作风险度量方法的系统性阐述。1998年巴塞尔委员会开始关注操作风险对银行经营的影响,1999年6月巴塞尔委员会公布了巴塞尔新资本协议(草案)。其后,在广泛征求各国银行业和监管当局意见的基础上,巴塞尔委员会又相继于2001年和2003年公布了第二次和第三次征求意见稿,最终到2004年6月新资本协议的正式发布,历经了多次的修订,可见巴塞尔委员会对操作风险的重视程度。在正式发布的新资本协议中包括基本指标法(Basic Indicator Approach)、标准化方法(The Standardized Approach)以及高级计量法(Advanced Measurement Approach)。在这一章中作者不仅详细而明确地阐述了指标法、标准法、高级计量法计算方法的原理,而且对较为适应我国国情的VaR资本成本底线法也做了一个简要的概述,同时笔者还详细指出了各种方法的特点并且对这些方法进行了比较与说明,明确了各种方法在实际运用中的优劣。第三章,我国商业银行操作风险管理现状分析。操作风险在我国商业银行所面临风险中的比重远大于国际同行的水平,由此可见加强操作风险管理的紧迫性。而要加强操作风险管理,必须首先对我国操作风险的特征、现状及特有成因做出分析。经过对我国银行业爆发案件的分析,归纳出我国操作风险范围广,危害大,涉及的部门广泛到几乎可以囊括银行的所有部门。从国内操作风险管理的现状来看,各家商业银行在操作风险管理上普遍存在诸多缺陷,作者运用所学知识对其深刻的成因进行了剖析,认为集中表现在落后的操作风险管理理念、没有形成良好的操作风险文化、不健全的操作风险管理框架和单一的操作风险手法这四个方面上。第四章,加强我国商业银行操作风险管理的对策探索。基于第一章给出的适应我国商业银行的操作风险内涵界定,本章首先强调我国商业银行必须提高操作风险的度量水平,必须在数据收集,人才的培养、模型的选择与开发方面提高水平,其次作者认为我国商业银行应该切实提高内控管理水平,通过建立合理的管理机制,建立良好的内部审计制度等措施切实提高操作风险管理水平。再次,建立一个完善的操作风险环境与形成良好的操作风险文化是降低操作风险的重要手段。对此,笔者认为银行高层要以身作则,采取有力措施。最后,根据巴赛尔委员会考虑将保险作为风险缓释的一种技术的建议和我国保险业发展的情况,作者提出我国商业银行应该大力运用保险这一主动避险手段,化解风险。目前,我国金融业已经对外开放、外资银行已正式全面开展人民币业务,竞争的激烈,使得加强操作风险管理至关重要。于是,许多学者、专家对操作风险进行了研究,本人也对这个问题产生浓厚的兴趣而加以探讨。本文的创新或贡献之处在于:1.提出了运用保险对商业银行的操作风险进行主动避险,一般的操作风险管理办法都是被动的进行防范,减少操作风险的发生频率与损失的数额,并不能完全避免风险的发生,而且某些操作风险发生后仍有可能给银行造成巨大的损失。而运用保险转嫁风险后,即使发生了风险,商业银行也可以避免或减少损失,从而大大提高了商业银行整体的风险管理水平。2.强调操作风险的全面管理原则。操作风险存在于银行业务流程的每个环节,除了制定合理的规章制度和风险监控程序,还必须加强操作风险文化的建设、构建良好的操作风险管理环境,避免内外勾结等重大风险的发生。总之,本人结合国内外对操作风险研究的有关成果和相关案例,运用研究生阶段所学的有关知识,对我国商业银行操作风险进行了初步的探索,目的是能对提高我国商业银行操作风险管理水平作出自己的贡献,但是鉴于本人水平有限,文中一定有不少疏漏与错误之处,敬请评审专家与答辩专家批评指正,本人将继续学习,不懈探索,为提高我国商业银行操作风险管理水平而继续努力。更多还原

【Abstract】 At the end of last century, when most banks and Basel committee still paid attention to credit risk and market risk, an event——Bahrain bank went to bankrupt shock them, and largely changed their opinions. This event warned global financial organizations against operating risk which is one of the biggest risks. From then on, people treated operating risk seriously and Basel committee finally put this factor into consideration in Basel II Accord.Basel committee decreed Basel II Accord at 26th April, 2004. Basel II Accord requires quantifying operating risk and put it into capital supervise requests. The Accord brings forward highly effective and widely used methods to measure operating risk. It requires financial organizations have corresponding capital for operating risk and established a series of standard to measure whether an organization is qualified to use the methods. This embodies international banking supervise idea and latest risk management fruits.In China, although there still are some problems of credit risk management, it has arisen enough attention. Researches of market risk are quite effective. But till now, Knowledge of operating risk is limited. Many supervisors think credit risk is main risk in banking sector. But when we analyze further we can find that lots of credit risk are caused by illegal operation. There are many cases can show us this. Since 2005, some shocked financial cases happened in China. Later, China Banking Regulatory Commission (CBRC) decreed <Notification of Reinforce Precaution of Operating Risk>. It requires banks adopting effective methods to control and prevent operating risk. That was a representational event showed Chinese banking sector pay attention to operating risk. Quantify operating risk is an advanced practice in international banking risk management. It is a trend of bank operating risk development. Therefore, making an intensive study of operating risk quantification is very important. It in some extent influence Chinese commercial banks’future competitiveness. Because of the practical significance, it is essential for us to do research on bank operating riskThis thesis begins with banks suffered huge loses because of operating risk. Then define operating risk in commercial banks, introduce some methods of operating risk measuring. After introduce and analyze reality of Chinese commercial banks’operating risk management, the writer bring forward a series of policies about how to manage commercial banks’operating risk in China.Chapter One: categories of operating risk and its characters. After making a reference to many literatures home and abroad, taking a deep consideration of the reality of China’s commercial banks, the writer thinks the definition of operating risk by Basel Committee is the best one and it is also the unified standard. At this part, the writer introduces Basel Accord and other famous international financial organizations’description of operating risk in detail.Chapter Two: measuring methods of operating risk. The writer makes a systematically exposition of measuring methods of operating risk. At 1998, Basel Committee began to pay attention to the influence of operating risk. At June 1999, Basel Committee publicized Basel II Accord (draft). Thereafter, on the basis of views of different countries’banks and Banking Regulatory Commissions, Basel Committee publicized second draft and third draft. The final draft was publicized at 26th April, 2004. In the final draft, Basel II Accord includes Basic Indicator Approach, The Standardized Approach and Advanced Measurement Approach.At this chapter the writer not only detailedly and definitely introduces Basic Indicator Approach, The Standardized Approach and Advanced Measurement Approach, but also makes a brief explanation of VAR which fits China’s reality. Also, the writer points out characters of these methods and different through contrast. It makes reader can easily find the advantages and disadvantages of these methods in practical use.Chapter Three: current situation of China’s commercial banks’operating risk management. Operating risk takes a vast scale in commercial banks risk management in China. So it is pressing to reinforce operating risk control. First, we the writer analyze operating risk’s characters, actualities and origins. From the actuality we can find that there are some bugs in commercial banks operating risk management, such as lagging risk management idea, immature operating risk control culture,unsound operating risk management system and single operating risk control means. The writer analyzes causes of formation.Chapter Four: how to reinforce commercial banks operating risk management. On the basis of definition of operating risk in Chapter One, the writer emphasize commercial banks should collect data, prepare enough human resources, chose certain former. And secondly the writer thinks the banks should improve internal control level. Through establishing reasonable management system and internal audit system etc. to reinforce operating risk management. Thirdly, establishing a consummate operating risk management circumstance and forming a good operating risk management culture are also very important. The writer thinks the top management team of bank should use some effective measures to control the operating risk and do it as a model. At last, according to Basel Committee’s suggestion to treat insurance as a technology to lessen risk, the writer think using insurance to prevent risk is an important means.At present, China’s financial market has opened its door to foreign capital banks. It must increase the competition. On the research of bank operating risk management, the thesis has the following innovation:1. Bringing forward the suggestion of using insurance to lessen bank operating risk. Some traditional measures are taking some passive means to prevent risk. But the effect is so limited and un-multiple. When bring insurance to operating risk management, some risk are passed to insurance companies. Using insurance is always an effective way to control and pass risk.2. Emphasize total management principle in operating risk management. Operating risk exist in every procedures of operating. Besides constitute a reasonable regulation and risk supervisor procedure, foster operating risk management culture and establish healthy operating risk management circumstance are also essential and important.The writer analyze bank operating risk research result and cases home and aboard, use the knowledge learned in postgraduate study, try to probe into the operating risk management. It is aim to prepare some theoretical principle to Chinese banks’operating risk management.更多还原