操作风险计量框架最新修订及其对银行业的影响
投稿时间:2018-11-05  修订日期:2018-11-05  点此下载全文
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冯乾 北京大学国家发展研究院中国工商银行风险管理部 100081
基金项目:(项目编号:2016M601091)、中国行为法学会2017年度法学研究课题(项目编号:中行法研004)资助。
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月在其发布的《巴Ⅲ最终改革方案》提出了操作风险新标准法。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。新标准法的实施将对银行财务报表的精细化规范化管理、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了更高要求,但对银行操作风险资本要求的影响具有不确定性。我国银行业需要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
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 standardised approach of operational risk in its finalisation of Basel III. The new standardised 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 standardised 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 standardised 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, Finalisation
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