操作风险计量框架最新修订及其对银行业的影响——基于《巴塞尔Ⅲ最终改革方案》的分析
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引用本文:冯 乾1,2,游 春3.操作风险计量框架最新修订及其对银行业的影响——基于《巴塞尔Ⅲ最终改革方案》的分析[J].财经理论与实践,2019,(1):2-9
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冯 乾1,2,游 春3 (1.北京大学 国家发展研究院北京 100871 2.中国工商银行风险管理部 北京 1001403. 国家金融与发展实验室 银行研究中心北京 100020) 
中文摘要:为了简化操作风险计量框架,提升资本计量的可比性和风险敏感性,巴塞尔委员会于2017年12月在《巴塞尔Ⅲ最终改革方案》中提出操作风险新标准法。新标准法使用业务指标衡量操作风险暴露,并采用分层法和边际系数来计算业务指标参数,同时引入基于损失数据的内部损失乘数作为损失调节因子。新标准法的实施对银行财务报表的精细化规范管理、风险管理基础设施建设及操作风险信息披露机制完善等方面提出更高要求,但对银行操作风险资本要求的影响具有不确定性。我国银行业应以新标准法实施为契机,建立操作风险损失数据收集制度,加快推进损失数据收集系统建设,完善操作风险信息披露机制,不断提升操作风险管理的科学性、有效性和前瞻性。
中文关键词:操作风险  资本计量  最新修订  巴塞尔Ⅲ  最终改革方案
 
The Latest Revision of Operational Risk Measurement Framework and Its Impact on Banking Sector——the Analysis Based on the Finalization of Basel Ⅲ
Abstract:In order to simplify the operational risk measurement framework, and enhance the comparability and risk sensitivity of capital measurement. In December 2017, the Basel Committee put forward a new standardized approach of operational risk in its finalization of Basel Ⅲ. The new standardized approach uses business indicator to measure operational risk exposure, and uses the stratification method and marginal coefficient to calculate the business indicator component, while introducing the internal loss multiplier based on the loss data as the loss regulating factor. The implementation of the new standardized approach will put forward higher requirements the finely standardized management of the bank financial statements, the infrastructure construction of risk management and the perfection of the information disclosure mechanism, but the impact on the banks' operating risk capital requirements is uncertain. China's banking sector should take the new standardized approach as an opportunity to set up a data collection system for operational risk loss, accelerate the construction of the loss data collection system, improve the information disclosure mechanism of operational risk, and continuously improve the scientific, effective and forward-looking management of operational risk management.
keywords:Operational risk  Capital measurement  The latest revision  Basel Ⅲ  Finalization
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