An Identification of Operational Risk in Commercial Banks

บทคัดย่อ

With the financial globalization, the acceleration of financial innovation, and the continuous use of new technologies, the operational risk of commercial banks has become more prominent. In recent years, an endless stream of commercial bank operational risk events has brought huge losses to many commercial banks, as a result, people tend to pay more attention to the operational risk. At present, the emphasis and difficulty of operational risk management lies in the operational risk measurement. On the basis of collecting a large number of operational risk cases, this paper empirically analyzes and measures the operational risk of domestic commercial banks using the revenue model and the stock factor model. It is of great theoretical and practical significance to enrich and improve the theory and method of the operational risk management, improve the level of operational risk management of domestic commercial banks, and strengthen the supervision of operational risk capital of commercial banks.

The first step was a review of some national and international studies on the operational risk and its measurement which helped expound the research ideas, contents, and methods in this present study. Secondly, the theoretical data related to the operational risk such as its characteristics and definitions, common risk classification, and risk measurement methods were proposed. Then, the empirical analysis and test were conducted, taking the quarterly data of nine listed commercial banks from January 1, 2009 to March 1, 2019 as samples. The operational risk of nine listed commercial banks was measured based on the income model, and the influence of fixed effect was determined by the likelihood test. The accurate setting form of the model was determined by F test in a scientific and reasonable way to establish an empirical regression model which was in line with the actual situation. Finally, this paper proposed some suggestions for the effective management of operational risk in China's banking industry.