| 国有商业银行操作风险资本配置的实证分析——基于新巴塞尔协议框架 |
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| 引用本文： | 刘毅,郑又源.国有商业银行操作风险资本配置的实证分析——基于新巴塞尔协议框架[J].北京工商大学学报(社会科学版),2011,26(1):96-101. |
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| 作者姓名： | 刘毅 郑又源 |
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| 作者单位： | 北京工商大学经济学院; |
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| 基金项目： | 北京市教委、北京市人文社科重点项目“扩大开放经济条件下北京银行业的稳定与发展”(SZ200910011003/09BaJG240) |
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| 摘 要： | 新巴塞尔协议为实现对操作风险的量化管理,建议了三种操作风险测量方法:基本指标法、标准法和高级计量法。本文运用基本指标法和标准法对我国四大国有商业银行进行操作风险资本配置的计算与分析,结果发现这两种方法并不适用于我国的国有商业银行。由此得出结论:基于我国商业银行自身业务和组织结构的特殊性,在测算操作风险所需配置的资本时需要对巴塞尔协议建议的方法进行修订,设计符合自身情况的具体方法,高级计量法是未来我国国有商业银行操作风险管理唯一的可选方法。
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| 关 键 词： | 操作风险 新巴塞尔协议 基本指标法 标准法 |
Operational Risk Management of China's State-owned Commercial Banks: An Empirical Analysis Based on New Basel Accord |
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| Liu Yi,Zheng You-yuan.Operational Risk Management of China's State-owned Commercial Banks: An Empirical Analysis Based on New Basel Accord[J].Journal of Beijing Technology and Business University:Social Science,2011,26(1):96-101. |
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| Authors: | Liu Yi Zheng You-yuan |
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| Institution: | Liu Yi & Zheng You-yuan(School of Economics,Beijing Technology and Business University,Beijing 100048,China) |
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| Abstract: | In order to achieve the quantitative management of operational risks,the New Basel Accord proposes 3 methodologies for assessing them:the Basic Indicator Approach,the Standardized Approach and the Advanced Measurement Approach.In this paper,the Basic Indicator Approach and the Standardized Approach are applied to calculate and analyze the risk-based capital of China's four biggest state-owned commercial banks.However,it is discovered that these two approaches are not fully suitable for these banks.Conclusio... |
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| Keywords: | operational risks New Basel Accord Basic Indicator Approach Standardized Approach |
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