澳门摹银行操作风险及资本度量分析.pdf

摘 要 国际清算银行巴塞尔银行监理委员会于2004 年6 月发布新版之巴塞尔新 资本协议，正式将操作风险列入资本充足率项目，并于2007 年实施，其中新 增的操作风险资本计提，对银行资本充足性产生一定的冲击。本研究的目的在 于了解澳门银行在因应巴塞尔新资本协议的要求，导入新资本协议新增的操作 风险资本后的影响。 本文内容包括银行操作风险的一般介绍、澳门银行业操作风险分析、操作 风险资本度量分析、巴塞尔新资本协议对澳门银行业操作风险管理的启示。在 编写本文时，选取了一些国际银行业已经接受的观点和概念，着重针对 G 银 行分析： 1 操作风险管理制度的建置情形与进度； 2 操作风险资本度量； 3 在操作风险资本度量所遭遇的挑战，作为银行同业的参考。 关键词：巴塞尔新资本协定、操作风险、风险资本度量 I Abstract The New Basel Capital Accord, presented by the Basel Banking Supervision Committee, Bank of International Settlement in June 2004, which begins to implement in 2007, has officially included operational risk as a capital adequacy rate item. As the calculation of operational risk will bring immense influence on capital adequacy towards the banks, the purpose of this study is to understand the impact have on the banks in Macao had they apply the newly presented New Basel Capital Accord. This study begins with an introduction of the banking operational risk and then continues with a more in-depth analysis concerning the operational risk of the banking industry in Macao and the operational risk measurements, furthermore, the inspiration that the New Basel Capital Accord brings to the Macao banking industry regarding operational risk management. In addition, this study has also blended some concepts and point of views, which the international banking industry currently adopts, focus on Bank G and according to the regulations of New Basel Capital Accord, it carries out analysis in areas of operational risk capital measurements, the development and process of the operational risk management system, as well as, the challenges that operational risk capital measurement being