商业银行操作风险的统计特征及其资本模拟实证

本文通过对近年我国发生的商业银行操作风险事件的统计,得出了我国商业银行操作风险的重要特征,包括:内部欺诈及其导致的操作风险损失所占比重最大,操作风险资本的顺经济周期效应表现明显,欺诈性操作风险与地区法治水平呈现背离走势等.在对操作风险事件各损失类型发生的频率和损失金额分布进行拟合的基础上,运用蒙特卡洛模拟方法对我国商业银行操作风险资本进行10 231次模拟计算,结果显示,在置信水平为99.9%的条件下,我国整个商业银行业在拨备了3 163亿元的操作风险资本以后,大致可以抵御150年所遭遇的全部操作风险损失带来的冲击.

An Empirical Study of Statistical Features and Capital Simulation of Operational Risk in Commercial Banks

By taking statistics on the operational risk-related incidents which happened in our commercial banks in recent years, this paper identifies some important features: internal fraud and related operational risk blamable for most of losses, obvious effect with the economic cycle of operational risk capital and reverse tendency of fraudulent operational risk against the level of rule by law in a region. By simulating loss frequency and loss amount distribution, this paper does 10 231 simulation calculations with Monte Carlo Simulation method and concludes that, with confidence level at 99.9%, our commercial banks can stand the shock from all losses induced by operational risks over a period of 150 years provided that they put aside 316.3 billion RMB in provision as operational risk capital.