Please use this identifier to cite or link to this item:
https://rsuir-library.rsu.ac.th/handle/123456789/1330Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Duan Yun Long | - |
| dc.contributor.author | Zhizhong Zhou | - |
| dc.date.accessioned | 2022-12-14T02:33:45Z | - |
| dc.date.available | 2022-12-14T02:33:45Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.uri | https://rsuir-library.rsu.ac.th/handle/123456789/1330 | - |
| dc.description | Thesis (MBA (Business Administration)) -- Rangsit University, 2021 | en_US |
| dc.description.abstract | 作为金融全球化，金融创新不断加速，而且持续使用新技术，商业银行业的 风险也越来越突出。近年来，商业银行操作风险事件层出不穷，给商业银行带来 了巨大的损失，也使人们对操作风险越来越重视。目前，操作风险管理的重点和 难点是操作风险的度量。文章在搜集大量操作风险事例的基础上，对国内商业银 行操作风险使用收入模型和证券因素模型两种方法进行实证分析和度量，这是丰 富经营风险管理理论和方法的非常重要的理论意义和现实意义，提升国内商业银 行的运营风险管理水平，加强业务银行和风险投资监管。 文章首先是对国内外操作风险及其度量的相关研究进行综述。这部分重点对 国内外的相关文献进行梳理，并以此为基础阐述本文的研究思路、研究内容和研 究方法。其次是理论基础。这部分主要从操作风险的含义和特征两个角度对操作 风险做进一步的界定，描述比较常见的风险分类、风险度量方法等基本理论知识， 并阐述本文所选择的度量方法。紧接着，进行实证分析和检验，以中国9 家上市 商业银行2009 年1 月1 日到2019 年3 月1 日间的季度数据为样本，根据收入模 型，测量了9 个上市商业银行的操作风险，使用似然测试确定了固定效果的影响， 确定了F 测试确定模型的准确集形。以科学合理的方式建立符合实际情况的实证 回归模型，利用回归模型的总残差计算出样本整体或某类商业银行操作风险的大 小。最后，针对中国银行业操作风险的有效管理提出相关建议 | en_US |
| dc.language.iso | zh | en_US |
| dc.subject | Commercial banks | en_US |
| dc.subject | Financial services industry -- Risk management | en_US |
| dc.subject | Operational risk | en_US |
| dc.title | An identification of operational risk in commercial banks | en_US |
| dc.title.alternative | 商业银行操作风险识别研究 | en_US |
| dc.type | Thesis | en_US |
| dc.description.other-abstract | 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 | en_US |
| dc.description.degree-name | Master of Business Administration | en_US |
| dc.description.degree-level | Master's Degree | en_US |
| dc.contributor.degree-discipline | Business Administration | en_US |
| Appears in Collections: | InCC-BA-M-Thesis | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ZHIZHONG ZHOU.pdf | 1.88 MB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.