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摘 要

鉴于银行操作风险日趋猖獗及其对金融系统的巨大危害，巴赛尔银行监管委员会（Basel Committee of Banking Supervision，BCBS）于2004年6月26日将操作风险监管写入《资本计量和资本标准的国际协议：修订框架》(即新巴塞尔协议)。本文在综述国内外关于商业银行操作风险及其计量方法研究成果的基础上，针对中国工商银行，以实证分析和规范分析为主的研究方法，对中国工商银行的操作风险程度进行估计。主要目的是通过测定和评价中国工商银行的操作风险程度，分析类似中国工商银行这样的国有控股商业银行产生操作风险的类型，揭示导致这些风险的深层次原因，并按照新巴塞尔协议框架和结合中国金融市场环境，提出有效控制操作风险的对策和建议。

【关键词】 中国工商银行 操作风险 收入模型

Abstract

As a response to the frequently happened bank operational risk and its

devastating impact to the financial field, The Basel Committee on Banking Supervision(BCBS) issued operational risk(OR) management in its “The New Basel Capital Accord”(Basel II) in July 26th,2004．Based on the review of research results of OR measurement from domestic and foreign commercial banks, this paper estimates the extent of OR in ICBC using empirical and norms analysis. The purpose is mainly to test and evaluate OR of ICBC, and analysis the type of OR in state-controlled commercial banks which have similar situations like ICBC, and reveals deep-rooted reasons which caused these risks. Then we recommend some effective suggestions of OR control in accordance with the framework of Basel II and the financial market environment in China.

Key Words industrial and commercial bank of china（ICBC）

operational risk income model

目 录

摘 要 .......................................................................................................................... I Abstract ....................................................................................................................... I

第1章 绪 论 ........................................................................................................... 1

1.1 选题背景介绍 ............................................................................................. 1 1.2 研究目的及意义 ........................................................................................... 2 1.2.1 研究目的 .................................................................................................... 2

1.2.2 研究意义 ............................................................................................. 2 1.2.3 研究方法 ............................................................................................. 3 1.3 国内外研究现状 ......................................................................................... 3

1.3.1 国外研究现状 ..................................................................................... 3 1.3.2 国内研究现状 ..................................................................................... 4

第2章 操作风险概述 ............................................................................................... 6

2.1 操作风险的定义 ........................................................................................... 6 2.2 操作风险的分类及特点 ............................................................................... 6

2.2.1 操作风险的分类 ................................................................................. 6 2.2.2 操作风险的特点 ................................................................................. 8 2.3 操作风险量化分析基础方法 ....................................................................... 9

2.3.1 基本指标法 ......................................................................................... 9 2.3.2标准化方法 ........................................................................................ 10 2.3.3 收入模型简介 ................................................................................... 11

第3章 中国工商银行操作风险量化分析 ............................................................. 13

3.1 中国工商银行操作风险的现状分析 ......................................................... 13

3.1.1 数据分析 ........................................................................................... 15 3.1.2 结论 ................................................................................................... 22 3.2 工商银行操作风险计量及方法分析 ......................................................... 22

3.2.1 操作风险计量方法的选择 ............................................................... 22 3.2.2 基于收入模型的工商银行操作风险实证分析 ............................... 23