基于证据理论的商业银行操作风险评价体系研究
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摘要
20世纪90年代以来,随着国际银行业的运行环境和监管环境的变化,信用风险和市场风险远未消除,操作风险的破坏力日趋显现,金融监管层和银行界已经认识到操作风险正在改变金融机构的风险结构。巴塞尔委员会在《新资本协议》中提出了对银行识别、评价、监测和缓解操作风险的原则和要求。然而目前操作风险评价方法多是从信用风险评价方法中演变而来的,不能反映操作风险的内在特征和规律,评价体系在技术性、数据支撑和制度文化基础等方面存在问题,难以满足商业银行对操作风险监管的要求。研究我国商业银行操作风险评价方法,对提高银行的操作风险监管能力,在提高经营效率的同时保证安全性,具有重要的理论和现实意义。针对商业银行操作风险评价中的问题,基于证据理论研究不完全信息下商业银行操作风险评价方法,构建开放性识别框架、融合专家评价的不确定信息和公开财务信息,给出满足管理情境的我国商业银行操作风险评价方法。论文主要研究工作和创新点如下:
1.构建商业银行操作风险评价指标体系
通过对银行操作风险成因的经济学分析,运用信息经济学的金融风险微观机理、金融制度风险理论,从宏观假说和微观基础、静态与动态分析方法揭示我国商业银行操作风险驱动要素。在研究操作风险评价模型特征和评价规则的基础上,分析公开市场信息与非公开信息对商业银行操作风险评价的作用,构建我国商业银行操作风险的定性和定量评价指标体系。基于对现有商业银行的业务流程和资产管理平台的分析,探讨商业银行操作风险控制的风险点,从人员因素、制度体系、战略组织架构和业务流程等方面设计基于过程的商业银行操作风险的定性评价指标结构。构建我国商业银行操作风险案例库,采用CBR方法筛选商业银行操作风险评价具体指标,通过专家现场检查评判获取定性的操作风险内部(非公开)评价信息。依据中国银监会《商业银行操作风险控制指引》和美国金融机构CAMELS评价体系,结合中国上市商业银行财务信息披露的状况,设计商业银行操作风险评价的定量指标用以归集公开披露的财务信息。
2.商业银行操作风险不完全信息评价公理和群决策规则设计
由于存在评价资源信息和评价者认知的不完全性,商业银行操作风险评价属于不完全信息的群决策过程。作为不完全信息的多属性群决策过程,银行操作风险评价存在个体判断集结一致性和不完全信息融合的问题。分析Arrow群体理性可排规则在不完全信息群决策中的拓展条件,研究不完全信息下个体信息集结为群体偏好函数的公理为:①存在开放的客观认知空间;②存在充分尊重决策者个体意见的综合规则;③满足备选方案的保序性公理;④不存在决策者的独裁规则。并证明通过放松Arrow公理限制以使群决策偏好集结可行的拓展研究具有合理性。
研究不完全信息操作风险评价的决策者行为假设和分类方法,构建理性决策路径和决策机制:①放松Arrow选择理论的决策者个人偏好连续或可分假设、无关方案独立性条件,以满足决策过程的实际情况。②构建开放的决策识别框架,依据序贯路径无关条件的“两两比较”思想,保证群体决策结果的最优性;在开放的识别框架中建立层次结构,增加识别粒度。将主观信息表达(语言评价值或模糊数)转化为专家对某一属性判断的基本可信度分配,运用证据理论处理不完全信息的融合问题。③基于包含度的分层约简方法降低决策复杂度。在矛盾知识的谐调和规则的获取方面提高了评价效率。证明了改进的决策路径设计能够避免Arrow不可能定理的出现。为基于证据理论的不完全信息商业银行操作风险评价方法设计提供理论基础。
3.基于证据理论的银行操作风险评价方法研究
研究我国现行操作风险评价体系在监控机制、操作风险评价指标、模型设计和信息数据支持等方面的问题,给出操作风险度量模型的基本要素:①模型的风险事件界定。操作风险评价模型是考虑风险及其变化转移的评级模型,风险事件依据风险战略组织架构、业务流程、人员和系统/体制等四方面界定。②模型对风险特征的描述。操作风险事件有非正态分布、非线性和不可套期保值等特点,非预期的操作风险具有低频高危性,操作风险的平均损失分布偏向原点且有较长的右尾。③模型的风险驱动要素/输入量。依据风险事件界定确定操作风险驱动要素,输入量为反映资产质量和经营安全性、操作风险迁移状况和操作风险补偿性的定量指标和反映操作风险内部风险源的定性指标。运用证据理论将专家的评判信息对应一定的评价指标结构进行分层,给出引入包含度的操作风险评价的分组决策属性约简策略和决策规则提取方法。检验表明,所提方法比传统粗集理论的决策属性约简方法在矛盾知识的谐调、降低计算复杂度和提取清晰的规则等方面具有一定的优势。
研究基于证据理论的不完全信息群决策方法,分析模糊数和语言值等形式的不确定评价信息输入下的模型框架,基于证据体间距离的不完全信息融合的修正规则,将证据理论更好地运用于不完全信息的银行操作风险评价。论文选择有代表性的国内四家商业银行作为案例进行实例研究,采集2003-2008年的案例银行的财务数据和现场检查的专家评价信息,对商业银行操作风险进行评价。并采用四家案例银行2003-2008年的操作风险实际案例数据作为参考,对模型评价结果进行检验。结果显示,基于证据理论的不完全信息商业银行操作风险评价方法,提高了风险度量的准确度,降低了风险评价结果中的不确定性,使得商业银行在现有环境和经营条件下的操作风险有效监控得到提升。
The operational risk in banking system is becoming more series as credit risk and market risk along with the change in banking function and supervising environment in 1990’s. Basel Committee on Banking Supervision (BCBS) had proposed the principle of identifying, assessing, inspecting and releasing the operational risk for banks. Whereas the measurement of operational risk is not satisfied the demand for operational risk supervising, which is developed from the models for credit risk and cannot reflect the characteristics of operational risk. Research on assessment approach of operational risk in banking has significant practical meaning in enhancing the risk supervising ability and management efficiency. Aiming at the problems of actual measures, such as model technical matter, data supporting and foundation of system culture in operational risk management, this dissertation focused on incomplete information decision-making based evidence theory, built the opening frame of discernment, and syncretized the public and private inspecting information in operational risk measure. The main research and innovation of this dissertation are:
1. Set an assessing indicators system for banking operational risk
Using financial risk micro-mechanism of informational economic, financial system risk theory, static and dynamic analysis revealed the risk driving factors in our banks. This paper built an assessment indicator system for operational risk by anglicizing the model characteristics and assessing rules, designed the workflow-based expert inspecting proceeding and content for operational risk by studying the workflows and management platform in banking, and got the main reasons of operational risk in our banks as personnel factor, system, stratagem structure and workflow by case-based reasoning (CBR) in the operational risk case base. 2. Research on axiom of incomplete informational operational risk assessment and group decision-making rules
As the process of incomplete informational multi-attribute group decision making, assessment of operational risk in banks has the problems as consistency of individual utility concentrating and amalgamation of incomplete information. This paper proposed the axiom of conversion function of individual utility to group preference by analysis the developmental conditions of Arrow’s choice theory:①there is an opening objective frame of discernment;②there is a integrating rule that respect individual opinion;③there is the order preserved axiom of alternatives; and④there is no autarchy rule for any decision-maker. The paper demonstrated the rationality of developmental study of releasing the restrictions of Arrow’s theory.
Researching on the decision-maker’s behavior hypothesis and classification principle in incomplete informational risk assessment, this paper built the rational decision-making route as①releasing the sequential or partible hypothesis of individual preference and alternatives independence condition in order to satisfy the actual decision-making;②keeping the optimal result of group decision-making according as the thought of“Binary comparison”of sequence path independence condition (SPI); building the hierarchy structure in opening frame of discernment to increase granularity of discernment.③reducing complexity of decision-making based on including degree. This paper proposed the grouping reduction strategy of attribute and distilment of decision-making rule in operational risk.
3. Research on banking operational risk assessment based on evidence theory
Studying on the problems of operational risk assessment in Chinese banks as supervising mechanism, risk indicators, model design and data support, this paper gave the essence factors of operational risk model:①risk events definition of model.②risk character portrayed by model. Operational risk had non-normal distribution, non-linearity and long right-tail.③inputs of model. This paper made risk drivers by definition of risk events, had the inputs of model as quantitative and qualitative variables.
This paper gave the delaminating of assessing indicators structure for experts’judgment information based on DS evidence theory, and studied the strategy of grouping attributes reduction and decision-making rules obtaining method by including degree for operational risk measurement. The test confirmed that the proposed approach had advantages in consonance of conflictive knowledge, reduction of calculating complexity and the legible rules obtaining than traditional rough set.
This paper studied the decision-making under uncertainty expressed with fuzzy and language text variables as the inputs of assessment model, proposed the emendatory uncertainty compound rule based on the distance between different evidence. Case study chose four commercial banks and gathered data of risk events during 2003-2008; this paper tested the operational risk model of public quantitative information, private qualitative information and combination of two sources of information, the result revealed that the risk assessment model based evidence theory proposed in this paper made the operational risk management more exactitude and reasonable.
1.构建商业银行操作风险评价指标体系
通过对银行操作风险成因的经济学分析,运用信息经济学的金融风险微观机理、金融制度风险理论,从宏观假说和微观基础、静态与动态分析方法揭示我国商业银行操作风险驱动要素。在研究操作风险评价模型特征和评价规则的基础上,分析公开市场信息与非公开信息对商业银行操作风险评价的作用,构建我国商业银行操作风险的定性和定量评价指标体系。基于对现有商业银行的业务流程和资产管理平台的分析,探讨商业银行操作风险控制的风险点,从人员因素、制度体系、战略组织架构和业务流程等方面设计基于过程的商业银行操作风险的定性评价指标结构。构建我国商业银行操作风险案例库,采用CBR方法筛选商业银行操作风险评价具体指标,通过专家现场检查评判获取定性的操作风险内部(非公开)评价信息。依据中国银监会《商业银行操作风险控制指引》和美国金融机构CAMELS评价体系,结合中国上市商业银行财务信息披露的状况,设计商业银行操作风险评价的定量指标用以归集公开披露的财务信息。
2.商业银行操作风险不完全信息评价公理和群决策规则设计
由于存在评价资源信息和评价者认知的不完全性,商业银行操作风险评价属于不完全信息的群决策过程。作为不完全信息的多属性群决策过程,银行操作风险评价存在个体判断集结一致性和不完全信息融合的问题。分析Arrow群体理性可排规则在不完全信息群决策中的拓展条件,研究不完全信息下个体信息集结为群体偏好函数的公理为:①存在开放的客观认知空间;②存在充分尊重决策者个体意见的综合规则;③满足备选方案的保序性公理;④不存在决策者的独裁规则。并证明通过放松Arrow公理限制以使群决策偏好集结可行的拓展研究具有合理性。
研究不完全信息操作风险评价的决策者行为假设和分类方法,构建理性决策路径和决策机制:①放松Arrow选择理论的决策者个人偏好连续或可分假设、无关方案独立性条件,以满足决策过程的实际情况。②构建开放的决策识别框架,依据序贯路径无关条件的“两两比较”思想,保证群体决策结果的最优性;在开放的识别框架中建立层次结构,增加识别粒度。将主观信息表达(语言评价值或模糊数)转化为专家对某一属性判断的基本可信度分配,运用证据理论处理不完全信息的融合问题。③基于包含度的分层约简方法降低决策复杂度。在矛盾知识的谐调和规则的获取方面提高了评价效率。证明了改进的决策路径设计能够避免Arrow不可能定理的出现。为基于证据理论的不完全信息商业银行操作风险评价方法设计提供理论基础。
3.基于证据理论的银行操作风险评价方法研究
研究我国现行操作风险评价体系在监控机制、操作风险评价指标、模型设计和信息数据支持等方面的问题,给出操作风险度量模型的基本要素:①模型的风险事件界定。操作风险评价模型是考虑风险及其变化转移的评级模型,风险事件依据风险战略组织架构、业务流程、人员和系统/体制等四方面界定。②模型对风险特征的描述。操作风险事件有非正态分布、非线性和不可套期保值等特点,非预期的操作风险具有低频高危性,操作风险的平均损失分布偏向原点且有较长的右尾。③模型的风险驱动要素/输入量。依据风险事件界定确定操作风险驱动要素,输入量为反映资产质量和经营安全性、操作风险迁移状况和操作风险补偿性的定量指标和反映操作风险内部风险源的定性指标。运用证据理论将专家的评判信息对应一定的评价指标结构进行分层,给出引入包含度的操作风险评价的分组决策属性约简策略和决策规则提取方法。检验表明,所提方法比传统粗集理论的决策属性约简方法在矛盾知识的谐调、降低计算复杂度和提取清晰的规则等方面具有一定的优势。
研究基于证据理论的不完全信息群决策方法,分析模糊数和语言值等形式的不确定评价信息输入下的模型框架,基于证据体间距离的不完全信息融合的修正规则,将证据理论更好地运用于不完全信息的银行操作风险评价。论文选择有代表性的国内四家商业银行作为案例进行实例研究,采集2003-2008年的案例银行的财务数据和现场检查的专家评价信息,对商业银行操作风险进行评价。并采用四家案例银行2003-2008年的操作风险实际案例数据作为参考,对模型评价结果进行检验。结果显示,基于证据理论的不完全信息商业银行操作风险评价方法,提高了风险度量的准确度,降低了风险评价结果中的不确定性,使得商业银行在现有环境和经营条件下的操作风险有效监控得到提升。
The operational risk in banking system is becoming more series as credit risk and market risk along with the change in banking function and supervising environment in 1990’s. Basel Committee on Banking Supervision (BCBS) had proposed the principle of identifying, assessing, inspecting and releasing the operational risk for banks. Whereas the measurement of operational risk is not satisfied the demand for operational risk supervising, which is developed from the models for credit risk and cannot reflect the characteristics of operational risk. Research on assessment approach of operational risk in banking has significant practical meaning in enhancing the risk supervising ability and management efficiency. Aiming at the problems of actual measures, such as model technical matter, data supporting and foundation of system culture in operational risk management, this dissertation focused on incomplete information decision-making based evidence theory, built the opening frame of discernment, and syncretized the public and private inspecting information in operational risk measure. The main research and innovation of this dissertation are:
1. Set an assessing indicators system for banking operational risk
Using financial risk micro-mechanism of informational economic, financial system risk theory, static and dynamic analysis revealed the risk driving factors in our banks. This paper built an assessment indicator system for operational risk by anglicizing the model characteristics and assessing rules, designed the workflow-based expert inspecting proceeding and content for operational risk by studying the workflows and management platform in banking, and got the main reasons of operational risk in our banks as personnel factor, system, stratagem structure and workflow by case-based reasoning (CBR) in the operational risk case base. 2. Research on axiom of incomplete informational operational risk assessment and group decision-making rules
As the process of incomplete informational multi-attribute group decision making, assessment of operational risk in banks has the problems as consistency of individual utility concentrating and amalgamation of incomplete information. This paper proposed the axiom of conversion function of individual utility to group preference by analysis the developmental conditions of Arrow’s choice theory:①there is an opening objective frame of discernment;②there is a integrating rule that respect individual opinion;③there is the order preserved axiom of alternatives; and④there is no autarchy rule for any decision-maker. The paper demonstrated the rationality of developmental study of releasing the restrictions of Arrow’s theory.
Researching on the decision-maker’s behavior hypothesis and classification principle in incomplete informational risk assessment, this paper built the rational decision-making route as①releasing the sequential or partible hypothesis of individual preference and alternatives independence condition in order to satisfy the actual decision-making;②keeping the optimal result of group decision-making according as the thought of“Binary comparison”of sequence path independence condition (SPI); building the hierarchy structure in opening frame of discernment to increase granularity of discernment.③reducing complexity of decision-making based on including degree. This paper proposed the grouping reduction strategy of attribute and distilment of decision-making rule in operational risk.
3. Research on banking operational risk assessment based on evidence theory
Studying on the problems of operational risk assessment in Chinese banks as supervising mechanism, risk indicators, model design and data support, this paper gave the essence factors of operational risk model:①risk events definition of model.②risk character portrayed by model. Operational risk had non-normal distribution, non-linearity and long right-tail.③inputs of model. This paper made risk drivers by definition of risk events, had the inputs of model as quantitative and qualitative variables.
This paper gave the delaminating of assessing indicators structure for experts’judgment information based on DS evidence theory, and studied the strategy of grouping attributes reduction and decision-making rules obtaining method by including degree for operational risk measurement. The test confirmed that the proposed approach had advantages in consonance of conflictive knowledge, reduction of calculating complexity and the legible rules obtaining than traditional rough set.
This paper studied the decision-making under uncertainty expressed with fuzzy and language text variables as the inputs of assessment model, proposed the emendatory uncertainty compound rule based on the distance between different evidence. Case study chose four commercial banks and gathered data of risk events during 2003-2008; this paper tested the operational risk model of public quantitative information, private qualitative information and combination of two sources of information, the result revealed that the risk assessment model based evidence theory proposed in this paper made the operational risk management more exactitude and reasonable.
引文
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