商业银行操作风险的实证分析与风险资本计量

利用自上而下模型中的收入模型对银行操作风险进行度量,从宏观视角建立商业银行净利润与经济增长及银行不良资产间的对应关系,对国内两家商业银行的操作风险状况进行实证分析,并在此基础上得出对操作风险资本的计量.研究发现:收入模型可以在某种程度上反映操作风险的大小.目前,我国商业银行面临着较为严重的操作风险,其中,市场因素对收入的影响比信用因素的影响更为明显.

The Empirical Analysis of Commercial Banks' Operational Risk and the Calculation of Venture Capital

With income model, one of the top- down models measuring the operational risk, the empirical analysis based on two commercial banks in China focuses on establishing the relationships between net income and the rate of bad debts, net income and the economic growth from a macro perspective. Operational risks are analyzed. The amount of venture capital is calculated. It shows that to some extend income model can reflect the operational risk, China is faced with the serious operational risk, and effect of the market element is stronger than the credit element.