我国商业银行操作风险管理研究

【作者】 齐姣姣；

【导师】 曾志耕；

【作者基本信息】 西南财经大学 ， 金融学， 2005， 硕士

【摘要】 银行业是一个高风险的行业,对风险的防范、管理和化解是银行业发展的永恒主题。风险管理己经成为当前商业银行的生命线和核心竞争能力,科学有效的金融风险管理一方面可以保证金融机构健康、持续地运行,另一方面可以降低金融机构防范风险的资金成本,提高其竞争力。 目前,金融机构所面临的风险大体可以概括为市场风险、信用风险以及操作风险。市场风险和信用风险很早就引起了金融机构的重视,到目前为止都已经有较成熟的风险管理技术,并已在各个金融机构中建立起了较为有效的管理体系。对于操作风险这个概念虽然很早以前就已被提出,但将其与前两种风险真正并列为金融机构所必须面临的三种主要风险进行管理,则是《巴塞尔新资本协议》(以下简称《新资本协议》)发布以后的事情。随着金融业的开放、全球化、银行交易的复杂化以及信息技术的应用,操作风险及其有效管理在最近 10 年成为银行业越来越重要的课题。 2004 年 6 月 26 日,巴塞尔银行监管委员会正式发布了《巴塞尔新资本协议》,它体现了国际银行业监管的最新理念和风险管理的最新成果。特别值得关注的是它把操作风险纳入了最低资本充足要求的管理框架内,对国际银行业操作风险的度量以及管理提出了新的要求。新的资本协议框架要求对资本充足的监管能够更为准确反映银行经营的风险状况,为银行和金融监管当局提供更多的衡量资本充足的可供选择的方法,从而使巴塞尔委员会的资本充足框架具有更大的灵活性来适应金融体系的变化,以便更准确及时地反映银行经营活动中的实际风险水平及其所需要配置的资本水平,进而促进金融体系的平稳健康发展。 对于中国银行业而言,自加入 WTO 以来,中国经济日益融入世界经济,我国银行业面临前所未有的发展机遇与挑战,同时,随着2我国金融业的逐步放开,银行操作风险日趋严重。银行风险的加大,必然导致金融风险增加。国内的商业银行亦面临着逐步按照巴塞尔新资本协议的监管要求有效引入操作风险管理的现实问题。近几年,国内商业银行操作风险在金融实践中地位日趋彰显。不论是金融监管部门还是金融从业机构,都前所未有地加大了对操作风险的管理和控制的重视程度。如何提高中国银行业的操作风险的管理水平已经成为日渐重要的议题。面对加入 WTO 之后国际金融机构在国内市场上的激烈竞争,在对《巴塞尔新资本协议》中相关操作风险管理理论的认真研究的基础上,寻找适合加强我国商业银行操作风险管理的理论方法,按照通行的规则对中国银行业进行有效监管,控制金融风险,实现中国金融业的稳健、有效经营,具有十分重要的意义,这也正是本文选题的初衷。本文共分为三个部分。第一个部分,商业银行操作风险管理概述。本部分是商业银行操作风险及操作风险管理的相关基本理论,为后面展开分析做理论铺垫。首先对操作风险需要有一个明确的定义,不能仅仅从字面上去理解,否则容易造成银行业认识上的误区,缩小操作风险所包含的范围,进而商业银行也不能有效地度量和管理它。本文采用的是《新资本协议》中的定义,即操作风险是指由于不正确的内部操作流程、人员、系统或外部事件所导致的直接或间接损失的风险。操作风险不同于信用风险和市场风险,它关注内部操作,重视过程导向,容易受到外部事件的影响,而且内部控制系统在当中具有重要的作用。在此基础上,巴塞尔委员会的风险管理组织将操作风险损失按业务种类和损失事件划分为以下七种事件类型,它们是:内部欺诈、外部欺诈、雇员活动和工作场所安全问题、客户、产品和业务活动的安全问题、银行维系经营的实物资产损坏、业务中断和系统错误以及行政、交付和过程管理等。可以看到,操作风险所含范畴实际上是很广的。其次,在对操作风险给出初步的界定之后,如何运用适当的模3型和方式对操作风险进行衡量、进而提取相应的资本金,就成为关键性的内容。根据新资本协议提供的一套由简到繁的操作风险量化方法,操作风险的衡量可采用基本指标法、标准法和内部度量法。这三种方法适用于不同发展水平的商业银行。对操作风险数据的积累以及对其准确度量,是商业银行操作风险有效管理的必要前提。第三,对操作风险的全面管理,必然需要建立一个完整的管理框架。目前国际范围内在操作风险管理方面水平相对较高的金融机构,通常都建立了强有力的操作风险管理流程和框架,并将操作风险管理与管理其他风险所采用的方法和框架有机整合起来,而且通过有效管理操作风险减少了收入的波动性。新巴塞尔协议中操作风险管理的一般框架包括四个部分:1.建立适当的风险管理环境;2.风险管理:识别、衡量、监督和控制;3.监管者的作用;4.信息披露的作用。在新资本协议提供的一般框架基础上,不同的商业银行还需要慎重选择与自己发展水平相适应的衡量方法,保持独立的风险报告体系,从易到难建立起一套与信用风险和市场风险相一致的操作风险管理框架。第二个部分,我国商业银行操作风险管理的现状及理论分析。与国际银行业关于操作风险管理的领先实践相比较,国内商业银行存在巨大的差距。主要表现在:首先,对操作风险的认识存在误区。认为操?更多还原

【Abstract】 Scientific and efficient financial risk management can guarantee healthy, sustain operation of banking institute. On the other hand, it can lower the capital cost of precaution risk, and enhance enterprise competition. Currently, risks in banking institute can be generalized as market risk, credit risk and operational risk. With the opening and globalization of banking, complex in bank business and application of IT, operational risk gradually has become an important theme in recent ten years. New Basel Accord, issued by Basel Committee on June 26th, 2004, which brings operational risk into line with a managerial framework. The framework requires the least capital that is enough. Meanwhile, the accord puts forward a new claim of measurement and management of international bank operational risk. We will face intense competition in domestic market among international banking institutions after entering WTO. Therefore, we should research seriously on managerial theory of operational risk in the accord. On the basis of it, we seek for appropriate theory and method to improve operational risk management in our commercial bank. The international societies supervise our banking business efficiently, control financial risk according to general regulations. Those are significant for China banking business to achieve sustain, healthy and efficient management. Simultaneously, it is my original intention to choose the theme. There are three parts in the article. The beginning is the summary about operational risk in commercial bank management. At first, according to the New Basel Capital Accord,the definition of operation risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or external events. And on the basis of definition operation risk can be divided to seven kind of loss incidents. There are internal fraud, external fraud, employment practices and workplace safety, clients, products & business practices, damage to physical assets, business disruption and system failures and execution, delivery & process management. Then, after giving primary division of operational risk, we adopt a quantitative method that is from simple to difficult to measure operational risk. The measurement of operational risk can make use of three approaches: Basic Indicator Approach, Standardized Approach and Advanced Measurement Approach. At last, this chapter gives a brief introduction on the framework of operational risk management in the New Basel Capital Accord. It also includes nine aspects of building the framework for different commercial banks. The second part is about the current situation and theoretical analysis of operational risk management in our commercial banks. There is an enormous distance between domestic commercial banks and international banks in managerial level. The former has some misunderstanding in operational risk. Furthermore, we think the risk results from the cooperation of internal and external causes. In a word, there are three defects in our risk management. The last is to enhance inquiry and analysis on our risk management. It is the emphasis of this theme. At the beginning we consult the New Basel Capital Accord. We can carry out the framework from organizational structure, strategy and process in operational risk management. Then, we improve our quantitative research. Finally, we strengthen our content and process management. The main contribution of article: banking institution in developed countries have accumulated a wealth of experience and achieved a lot in operational risk. Nevertheless, domestic academic circles few researchfruits because of current banking market. Most publications put emphasis on the introduction about quantitative method and managerial principle in the accord. On the contrary, there is little about appropriate managerial approaches for domestic commercial banks. With analyzing general theory of operational risk management, combining it with present situation and seeking for rational approach, I hope the article can be conducive t更多还原