【作者】 谢小龙；

【导师】 沈沛龙；

【作者基本信息】 山西财经大学 ， 金融学， 2012， 硕士

【摘要】 对银行业来说，针对“操作风险”的研究已有近几十年的时间，其与信用风险、市场风险一起被视为商业银行面临的主要三大风险。分析操作风险的特征，可以发现其发生频率之高，目前操作风险损失几乎每天都会在商业银行的经营过程当中出现。其涉及范围之广，操作风险几乎涵盖了商业银行各个业务条线的运行。其计量难度之大，目前仍然没有一个模型能够完全准确的度量操作风险损失的大小。所以，关于操作风险的度量一直都是理论界关注的热点。2004年《巴塞尔新资本协议》（Basel ⅡAccord）首次对操作风险进行了严格的定义，并且提出了三种资本金计量方法：基本指标法、标准法和高级计量法。目前应用高级计量法度量操作风险是各大商业银行的趋势，并且现如今针对操作风险的研究也主要集中在高级计量法中，因为商业银行使用高级计量法可以根据自身的经营特征、内外部环境以及风险管理水平合理的估计面临的风险状况，更加精确的估计应计提的风险准备金，尽量减少因风险资本金计量偏差所导致的盈利能力下降或者是抵御风险能力不足的情况，从而为商业银行安全、稳健、快速的发展打下夯实的基础。在操作风险的高级计量法当中，相关性的问题一直没有得到很好的解决。而相关性问题可以理解为是一种传染的效应，风险同时发生或者同时不发生。如果风险在很长时间之内同时不发生，那么商业银行可能会渐渐忽略此种风险的存在，逐步减少此项资本金的计提。但是，一旦风险爆发，很可能会严重威胁商业银行的生存与发展，造成无法弥补的损失。所以针对操作风险相关性的问题，本文首先在各个方面系统分析了操作风险的成因、内涵、特点、性质以及现有的各种度量方法，接着引入了操作风险相关性度量问题，指出目前使用线性相关关系度量相关性的缺陷，然后探讨了相关性问题研究的最新进展，给出两种相关性度量理论——Copula函数和Common Shock模型，并在对比分析两种相关性理论的基础之上，根据现有数据的特点和计量方法的适用性，创新性的构造了操作风险相关性度量的Common Shock模型，给出了一种操作风险相关性度量的方法。最后采用巴塞尔委员会2009年公布的操作风险损失数据进行了实证研究，定量分析了操作风险的相关性问题。对商业银行操作风险管理有一定的借鉴意义。更多还原

【Abstract】 For the banking area, the operational risk measurement has last for several decades. And theoperational risk has been considered as one of the three most important risks banking confrontedwith credit risk and market risk. Analysis of the characteristics of operational risk, we can found ittaking place almost every day in banks’ operate. covered almost by all commercial bank businesslines and with great difficulty of measurement, by now still not a model can completely accuratemeasure of the size of the operational risk loss. In2004, Basel Ⅱ Accord the first time officiallydefined the operational risk and proposed three kinds of methods to measurement it, include BasicIndicator Approach, Standardized Approach and Advanced Measurement Approach. Use AdvancedMeasurement Approach to measure the operational risk is the trend of most of large commercialbanks, and for the most part of operational risk measurement research are still focus on it, becausebank uses this method could measure the operational risk on the basis of its own business feature,internal and external environment and risk management level to evaluate the risk conditionreasonable. So banks could count risk capital more accurate and prepare a good foundation for itssafety development, steady development and rapidly development.In the process of use Advanced Measurement Approach to measure the operational risk, Theproblem of correlation has not been very good solved. The correlation questions can be understoodas a kind of contagion effect，Risk may happen or at the same time not happen，If the risk does notoccur in a very long time, So the commercial Banks may get to ignore the existence of this kind ofrisk. But, once it outbreaks, it very dangerous. So according to the correlation problem of operationrisk, This paper analysis the causes of the operating risk nature and connotation in all aspects ofsystem of the existing measurement methods on top, and then followed the introduction ofoperational risk’s correlation measurement. Point out the defects of use linear correlation coefficient.After that give the latest operation risk’s correlation measurement, common shock model andCopula function. Finally, use the operational risk loss data published in2009by the BaselCommittee to carry out a empirical research. Combined with correlation measure of CommonShock model, Given a method of measure the correlation between the operation risk, it will givesome reference to the measure the correlation between the operation risk In the commercial bank.更多还原