收入模型在我国商业银行操作风险度量中的应用
Application of income model in operational risk measurement for Chinese commercial banks
Abstract
随着近年来市场风险量化方法的逐渐成熟及信用风险量化方法的不断发展,国际银行业开始尝试对操作风险进行量化,并取得了一定的进展。文章首先简单介绍操作风险的度量方法,接着分析操作风险度量方法在我国商业银行的选择运用,最后采用收入模型对我国国内两家商业银行进行操作风险度量的实证分析。 Along with market risk quantification methods gradually matured and credit risk quantification methods unceasing developed in recent years, international banking industry starts to attempt the quantification to the operational risk and has made certain progress. The article first introduces simply the measurement methods of operational risk, then analyzes selection and application of the operational risk measurement methods for Chinese commercial banks, finally uses income model to carry on the empirical analysis of the operational risk measurement on dom estic two commercial banks.