文献类型：期刊文献

中文题名：基于收入模型的商业银行操作风险的实证分析

英文题名：An Empirical Analysis of Commercial Bank Operational Risk Based On the Income Model

作者：刘桂荣[1];赵妍[1]

机构：[1]华东理工大学商学院,上海200237

年份：2008

卷号：23

期号：3

起止页码：54

中文期刊名：华东理工大学学报（社会科学版）

外文期刊名：Journal of East China University of Science and Technology：Social Science Edition

收录：国家哲学社会科学学术期刊数据库

语种：中文

中文关键词：新巴塞尔协议;操作风险;收入模型

外文关键词：New Basel Capital Accord;operational risk; income model

摘要：1999年6月,巴塞尔委员会发布了"新巴塞尔资本协议"咨询文本,第一次提出银行监管资本要覆盖操作风险。操作风险、信用风险和市场风险并列为商业银行需要严加防范和控制的三大风险。而操作风险的量化管理是我国商业银行风险管理的核心。本文将以自上而下模型中的收入模型为依据,以中国银行和浦东发展银行为样本,对我国国有商业银行和股份制商业银行的操作风险进行实证分析。结果表明,国有商业银行操作风险损失的可能性大于股份制商业银行。
In the June of 1999, Basel Committee issued the new Basel Capital Accord.The committee put forward the Core Principles for effective banking supervision. Supervisors must be satisfied that banks have in place risk management policies and processes to identify, assess, monitor and control operational risk, credit risk and market risk. These policies and processes should be commensurate with the size and complexity of the bank. Furthermore, the quantification of operational risk is the core of banking risk management. This paper will focus on the income model of the top-down model, and select two domestic commercial banks to establish income models and carry out the empirical analysis of operational risk quantification. The conclusion is： the operational risk of state-owned commercial banks is more serious than that of others.