20世纪90年代以来,全球多家银行出现操作风险引发的损失事件,引起了银行业

和研究学者的重视,2004年巴塞尔银行监管委员会将操作风险纳入全面风险控制体系,

要求银行对操作风险连同信用风险和市场风险一起计算风险资本需求。本文首先综述了

银行操作风险及度量方法研究,以实证分析的研究方法对NF银行广西分行操作风险程

度进行度量。主要目的是通过度量NF银行广西分行的操作风险数值,分析NF银行广

西分行操作风险的现状,找出风险产生的原因,并提出有效控制NF银行广西分行操作

风险的对策和建议。本文首先概括介绍了操作风险定义和分类,巴塞尔委员会和中国银

行业监督委员会关于操作风险管理的要求,并着重介绍了操作风险度量的各种模型。由

于NF银行尚未建立操作风险损失数据库,操作风险本身又难以度量,他行数据也难以

搜集到真实的损失数据。所以,本文选择自上而下模式中的基本指标法和收入模型法,

总结国内外学者的研究经验,选取影响银行利润相关性较高并且可以利用公开途径获得

数据的参数,对NF银行广西分行的操作风险进行了度量的实证分析。最后文章在度量

的实证分析后对NF银行广西分行的操作风险管理提出了措施和建议。本文介绍和阐述

了目前银行操作风险定性管理和定量的度量方法,重点介绍了高级计量方法,并按照收

入模型要求计算操作风险资本,对于NF银行广西分行的操作风险管理具有一定的实用

价值。

关键词:银行;操作风险;收入模型;风险度量

ABSTRACT

Since the 1990s,more and more global banks appeared the operational risk, the amount

of loss and exposed and the impact on banks is very large, in 2004,the Basel Committee on

banking supervision added the operational risk into the risk control system, requiring banks

to calculated the operational risk such as the credit risk and market risk. This paper first

reviewed the bank operation risk and measure methods, and then research to use the empirical

methods to measure the level of operational risk in ADBC Guangxi branch. The main purpose

is to measure the level of operational risk of ADBC Guangxi branch, analysis of the current

situation of operation risk management, want to find out the causes of risk,and puts forward

the effective control on the operational risk countermeasures and suggestions. This

paper firstly introduces the definition of operational risk and classification, requirements

of the Basel Committee and the China Banking Regulatory Commission on operational risk

management, and introduces the various models of operational risk measurement. Because the

ADBC has not yet been established operational risk loss database,operational risk is difficult

to measure. So this paper chooses the top-down model in the basic index method and

income method, summarizes the research experience of domestic and foreign scholars, select

two models to measure the operational risk of ADBC Guangxi

branch. Finally, analysis of operational risk of ADBC Guangxi branch and made some

suggestions. This paper introduced the bank's operational risk measurement methods from

theory to practice, qualitative to quantitative, and combined the actual needs of domestic and

foreign regulators, has a strong guiding significance and practical value.

KEY WORDS: ADBC; Operational risk; Income model; Research