推進金融機構風險管理ppt課件

1、Advancing Risk Management by Financial Institutions The Case of Japanese Banks推進金融機構風險管理： 日本銀行業(yè)的閱歷Tsuyoshi Oyama Bank of Japan日本銀行Workshop on Risk Management in Banking Sector商業(yè)銀行風險管理 培訓班Shanghai, December 21, 20052005年12月21日，上海1.Agenda 內容安排Background of Banks Efforts to Enhance Risk Management and

2、the BOJs Initiatives to Encourage These Efforts 銀行業(yè)推進風險管理及日本銀行支持舉措的背景Topics from the Sound Practices Papers and Discussions in the Seminars 金融機構整合風險管理研討會發(fā)布的相關報告“Advancing Credit Risk Management through Internal Rating Systems以內部評級制度為根底強化信譽風險管理 “Advancing Operational Risk Management 強化操作風險管理“Advancin

3、g Integrated Risk Management 強化整合風險管理2.Background of Banks Efforts銀行措施的背景The experience of overcoming NPL problems since the 1990s 90年代以來，抑制不良貸款問題的閱歷Enhance the risk management of Japanese financial institutions particularly in the area of credit risk management 推進日本金融機構風險管理，特別強化信譽風險管理Entail stabili

4、ty of financial system, which led to the lifting of blanket deposit insurance in April, 2005金融體系穩(wěn)定性，這導致2005年4月存款保險的整體上調。In this new environment, financial institutions are expected to develop further creative business services that meet the needs of customers through在新情況下，金融機構估計可經(jīng)過提供以下創(chuàng)新效力來滿足消費者需求：A

5、ssessing various risks not only in a conservative way but also in an accurate way. 穩(wěn)健而準確地進展風險評價。In other words, financial institutions are expected to grasp effectively the various risks inherent in their business (e.g. economic value and its volatility of all the assets they possess and transaction

6、s they engage in), and also to establish a framework that manages these risks in an integrated way.換句話說，金融機構估計能有效把握業(yè)務中存在的各種風險例如，其擁有和參與買賣的全部資產(chǎn)價值及動搖)，并建立風險綜合管理機制In addition, Basel II implementation surely pressures banks to intensify the above efforts.此外，巴塞爾 的出臺迫使銀行強化上述措施。3.Advancing Risk Management-M

7、eans What?強化風險管理意味著什么？ Our understanding of “advancing risk management 對“強化風險管理的了解Enhancing the communication tools among stakeholders (senior managers, risk managers, shareholders, regulators, etc.) to reach a consensus view of risk profile and amounts.促進利益各方高級經(jīng)理，風險管理經(jīng)理，股東，監(jiān)管者等的交流,以就風險預測及總量達成一致意見。

8、Not necessarily indicating a more use of Greek letters and math formula無需多用希臘字母和數(shù)學公式What banks need is more objective and more persuasive tools to assess risks 銀行業(yè)需求更客觀、更有壓服力的風險評價工具Objective and persuasive risk assessments lead to higher transparency of risk management process and thereby clarify th

9、e responsibility associated with risk taking activities help ensure the direction toward improving risk management.客觀而有壓服力的風險評價將加強風險管理過程透明性，進而明確風險活動各方的責任有助于確保改善風險管理There are no best practices of banks risk management, which could differ depending on their facing environments need to establish the in

10、centive mechanism to ensure the direction toward improving risk management. 并不存在能隨市場環(huán)境變化而變化的銀行風險管理最正確方案需求建立鼓勵機制，以確保改善風險管理4.The Bank of Japan released the following three papers at the end of July, 2005. 日本銀行于2001年7月公布以下三份報告Advancing Credit Risk Management through Internal Rating Systems以內部評級制度為根底強化信

11、譽風險管理 Advancing Operational Risk Management強化操作風險管理Advancing Integrated Risk Management強化整合風險管理HP： boj.or.jp/en/set/05/set_f.htmThese papers draw on the issues and measures, on which the Bank of Japan intends to use to start in-depth discussions of risk management with financial institutions at the

12、time of our on-site examinations and off-site monitoring.日本銀行將就上述報告提出的問題和措施，在進展實地調查和非實地監(jiān)管時，與各金融機構進展討論。 Main subjects of the three papers roughly correspond to the issues of implementing IRB, AMA and Pillar II under the Basel II 上述三份報告的主題都與巴塞爾出臺的IRB, AMA and Pillar II的規(guī)定相關。BOJs Initiative (1) - Publi

13、cation of Sound Practices Papers日本銀行的動作1-公布金融機構整合風險管理報告 5.The Bank of Japan established the Center for Advanced Financial Technology in July, 2005.日本銀行于2001年7月設立高級金融技術中心。One major mission of this new organization is to develop the third channel, besides on-site examinations and off-site monitoring,

14、to communicate with banks about the risk management framework and methods.這一新機構的主要義務之一是開展除實地調查和非實地監(jiān)管之外的第三種渠道，以就風險管理體制和方式與各家銀行進展溝通。Using the three sound practice papers as the main subjects, the Center has already hosted: 以三份報告為主題，該中心已勝利主辦：2 seminars for the large number of financial institutions foc

15、using on overall risk management issues that are dealt with by three papers, and2期有眾多金融機構參與的研討會，全面討論三份報告涉及的風險管理問題，以及12 seminars for regional banks (2030 banks for each) focusing on the issues that are dealt with by one paper for each seminar.12期由區(qū)域銀行參與的研討會每次2030家銀行，每期就一份報告涉及的相關問題展開討論。BOJs Initiative

16、 (2) - Hosting a Series of Seminars for Banks日本銀行的動作2-主辦一系列銀行業(yè)開展研討會6.BOJs Organizational Changes and Setting up the Center for Advanced Financial Technology日本銀行的機構調整和高級金融技術中心的設立之前 7月18日之后Financial Systems Dept.金融體系部 Policy Planning政策制定International Issues國際事務Bank Examination and Surveillance Dept.銀行

17、檢查與監(jiān)視部Policy Implementation政策執(zhí)行On-site Examination實地調查Off-site Monitoring非實地監(jiān)管Financial Systems and Bank Examination Dept.金融體系和銀行管理部Center for Advanced Financial Technology (Newly Established)高級金融技術中心新設立Planning and Implementation 制定和執(zhí)行International Issues國際事務On-site Examination實地調查Off-site Monitori

18、ng非實地監(jiān)管7.Advancing Risk Management-Its Relation with Basel II強化風險管理與巴塞爾 的關系The concept of “advancing risk management is in line with “successfully implementing Basel II“強化風險管理與“勝利實施巴塞爾理念一致The concept of Basel II that strongly pushes banks toward the direction of assessing risks “more precisely and “

19、transparently in a “self-disciplined manner is completely shared by us when advocating for the need of advancing risk management.巴塞爾的理念是經(jīng)過“自律方式進一步加強風險評價的“準確與“透明，我們所提倡的強化風險管理與其一致。Our strategy is to capitalize on, to the maximum, the implementation of Basel II and its accompanying momentum of advancin

20、g risk management among banks. 我們的戰(zhàn)略是最大限制的利用巴塞爾及其附隨文件中關于強化銀行風險管理的規(guī)定。The greatest challenge for us is how to convince banks of the need and usefulness of advancing risk management “by themselves in “a flexible manner and thereby avoid the case where banks seek for an excessively detailed “one-size-fi

21、ts-all type guidance.我們面臨的最大挑戰(zhàn)是如何壓服各銀行 “按本身情況自行采取靈敏方式強化風險管理的必要性和有效性，從而防止各銀行尋求一套通用風險管理體系的情況。8.“Advancing Credit Risk Management through Internal Rating Systems 以內部評級制度為根底強化信譽風險管理9.SPP-I: “Advancing Credit Risk Management through Internal Rating Systems報告I：以內部評級制度為根底強化信譽風險管理Contents內容Architecture of i

22、nternal rating system內部評級制度體系 Rating process and rating models評級實施程序和評級模型Estimation of risk components風險要素推算Uses of internal rating systems內部評級制度的靈敏運用Validation of internal rating systems內部評級制度的驗證Quantification of credit risk信譽風險的計量化The paper tries to show our thinking of sound practices, being comp

23、ared with current practices of major banks and thereby facilitate small banks to consider them as the real world cases.該報告引見整合風險管理的方法， 并與各大銀行目前做法比較，有助于指點小型銀行實踐操作10.Framework of Advancing Credit Risk Management強化信譽風險管理想象 (Major discussion points in the seminars) Definition of default, consistent trea

24、tment of counterparty risks of market transactions, data integrity required for estimating risk components, concentration risk control measures using UL outcome, etc .研討會的討論要點 違約的定義，市場買賣同伴風險的協(xié)調處置，風險要素評價所需求的資料整合，利用UL成果集中風險管理措施。Migration matrixProbability of default(PD)Internal useRisk ComponentsLoss

25、given default(LGD)Exposure at default(EAD)CorrelationCalculation of credit risk amount Expected loss (EL)Unexpected loss (UL)Stress testingPortfolio monitoringProvisioningPricingProfit managementCapital allocationQuantification of credit riskReporting tothe BoardInternal ratingQuantitative evaluatio

26、nFinancial dataQualitative evaluation11.Process of internal RatingsModel estimating PDs of obligors (Logit or Probit model債務人PD推算模型Model estimating external ratings 外部評級推算模型3. Hybrid model of 1. and 2.模型1、2的結合0%20%40%60%80%100%-5-4-3-2-1012345Score based onfinancial informationAssessing RatingsQuant

27、itative rating modelBorrowers financial dataFinal RatingRating mitigation after 1 yearPD per rating grade Initial evaluation (tentative)Estimation of PDNeeds attentionBankruptdefaultQuantitative evaluationQualitative evaluationBorrowers qualitative informationNormal PDScore based onfinancial informa

28、tion12.Quantitative and Qualitative Information Used for Rating Assignment評級需求的定量要素和定性要素 Examples of Quantitative Factors定量要素事例 Examples of Qualitative Factors定性要素事例 Examples of Factors Determining Facility Ratings工程評級的要素事例 Type of factorExampleSize of operationAmount of capital and net assetsSafety

29、Current ratio, capital adequacy ratio, and current account balance ratioProfitabilityReturn on assets, operating profit on sales, years required to pay back interest-bearing liabilities, and interest-coverage ratioOthersRate of growth in sales and profitsType of factorExampleIndustryGrowth potential

30、, size of market fluctuation, and entry barriersFirmRelationship with parent companies or firms with capital tie-ups, management ability, and existence of external auditType of factorReal estate financeProject financeQuantitative factorsCredit-extension period, LTV, and DSCRCredit-extension period a

31、nd DSCRQualitative factorsCharacteristics of real estates (e.g., locational conditions), adequacy of cash flow schedule, and risks attached to the sponsor of the project Risk attached to the project (e.g., risks attached to the sponsor and operator of the project, and the risk of being unable to com

32、plete the project) and transfer risk13.What Factors Determine the Ratings? 決議評級的要素(Major discussion points in the seminars) The need and usefulness of facility rating given the widespread use of unique pledge system in lending, i.e. “pooled collateral system where each collateral is not linked to ea

33、ch transactions but to each borrower.研討會的討論要點：市場普遍運用獨特貸款抵押制度，即抵押融資與債務人而非買賣相關聯(lián)的“集資抵押體系下，進展才干評價的必要性和有效性。One dimensional system bases facility ratings on borrower ratings and makes upward or downward adjustments to the grades as necessary to reflect the characteristics of the loan transaction concerned

34、.A twodimensional system combines borrower ratings with evaluation of the features of individual loan transactions independent of borrowers (e.g., ratings based on LGD).Grade123910Grade123910GradeABCIJBorrower ratings (1 to 10)Facility ratings (A to J) (One-dimensional system)Borrower ratingsFacilit

35、y ratings (A to J) (Twodimensional system) Ratings based on LGDBorrower ratings14.How to Validate Rating Model?評級模型的修正 Many banks including major ones are still seeking for the appropriate validation methods of internal rating systems and risk components.包括主要銀行在內的許多銀行仍在尋求的內部評級制度和風險要素恰當?shù)男拚椒ā?100CAP

36、curve of a perfect modelCAP curve of random model(no discriminatory power)CAP curve of a model being evaluated(%)ABA model has more accuracy as the curve moves to the upper leftRatio of cumulative number ofdefaulted firms 100(%)ScoreNon-defaulted firmsDefaulted firmsNumberof firms Area (B)Area (A) +

37、 Area (B)AR Rating at the end of the yearRating at the beginning of the yearCheck the order of migration rate from rating 1 to other ratings Check the order of default ratesCheck the order of migration rate to rating 7 from other ratings Default(Example 2)15.Use of Internal Rating Systems內部評級制度的靈敏運用

38、 Use of Internal rating systems內部評級制度的靈敏運用 (Loan Origination) 授信執(zhí)行階段 Setting upper credit limits based on rating grades設定各個評級的授信限額。 Setting authority ranks for loan approval by rating grade設定各個評級的授信決議權限。 Simplifying the loan review process for highergraded borrowers簡化優(yōu)良評級企業(yè)的審查程序。 (Monitoring) 中間管理 M

39、onitoring individual borrowers based on rating grades針對不同的評級對授信企業(yè)的管理 Monitoring the overall loan portfolio把握授信資產(chǎn)組合整體的信譽情況。 Uses of PD for each rating grade 各個評級PD的運用Quantification of credit risk and allocation of capital信譽風險的計量和資本配置 Pricing of loan rates reflecting credit risk思索信譽風險定價設定貸款基準利率 Evalua

40、ting the economic value of loans把握貸款的經(jīng)濟價值Many banks have already used the internal rating systems as indicated in the above with some exceptions such as facility rating.許多家銀行曾經(jīng)建立了除設備評價外的上述內部評級制度。16.II.Advancing Operational Risk強化操作風險管理 17.SPP-II: “Advancing Operational Risk Management 報告2：強化操作風險管理 C

41、ontents 內容Characteristics of op risk and the need to advance op risk management操作風險特征和強化操作風險管理的必要性Overview of efforts to advance op risk management and the establishment of an op risk management section強化操作風險管理機制的概要和操作風險總括部門設置Quantifying op risk操作風險的計量Approaches to identifying and assessing op risk

42、other than quantification計量以外的操作風險的把握、評價手法The paper tries to strike the right balance between the importance of advancing op risk management using e.g. risk quantification methods and the need to maintain the conventional op risk management by emphasizing their complementary characteristics. 該報告試圖探求

43、新舊兩種操作風險管理的合理安排，既突出運用風險計量方法等手段強化管理的重要性，又思索到維持傳統(tǒng)操作風險管理，發(fā)揚其補充作用的必要性。 18.Advancing Op. Risk - Why Now？目前強化操作風險管理的緣由何在？ Changes in the environment surrounding FIs operations 圍繞FIsoperations的外部環(huán)境變化 Business diversification, more sophisticated financial technologies, widely used IT and outsourcing.業(yè)務多元化、金

44、融技術高端化，業(yè)務處置的IT化、外包規(guī)模的擴展等局面 The introduction of Basel IIallocation of capital for op. risk)引入巴塞爾 操作風險也必需計提自有資本 Major disaster such as earthquakes, terrorist attacks and uncovering of serious corporate scandals (society is increasingly aware of the need for the firms management of op. risk).最近發(fā)生的地震、恐懼

45、事件等大規(guī)模災禍，以及國內外企業(yè)艱苦違規(guī)事件的攀升社會整體對操作風險的關懷程度越來越高 New challenges面臨的新挑戰(zhàn) Need to manage op. risk more efficiently by identifying op. risk profile in a firm-wide manner and thereby putting some priority on their management.金融機構繼續(xù)加強內在的綜合把握、評價操作風險的根底上，進一步執(zhí)行有張有弛的風險管理 Need to establish structures that can quickl

46、y detect heightened risk and respond appropriately before the risk materializes.提高操作風險增大的預期才干，完善在操作風險發(fā)生前采取穩(wěn)妥措施的體制 Need to create mechanisms for autonomous risk management in all sections of their operations.各個現(xiàn)場建立可以自律應對操作風險管理的機制19.Characteristic of Op. Risk操作風險特征Forms of risk materialization風險顯現(xiàn)形狀 D

47、irect loss, indirect loss or impact incurred to third parties直接損失、間接損失以及對第三方帶來的損失 High frequency and low severityorlow frequency and high severity“發(fā)生頻率高，損失規(guī)模小 或 “發(fā)生頻率低但損失規(guī)模大Causes of risk materialization風險發(fā)生的主要緣由 It is normally difficult to narrow down the factors causing such risk to materialize, a

48、nd quite often, it only emerges when several factors come into play simultaneously.操作風險通常很難找出特定的風險顯現(xiàn)的緣由，而且多個緣由共同作用風險才表達出來的情況也不在少數(shù)。Smallscale problems occurring at relatively high frequencyProblems that do not occur often but have severe consequences when they do occurDistribution of Losses Arising f

49、rom the Materialization of Op. RiskFrequencyAmount of loss of lossesFrequencyDistribution of Profits/Losses (Losses/Gains) Arising from the Materialization of Market RiskAmount of profits/lossesProfits/losses are distributed more or less symmetrically around the mean (close to zero)20.Conventional O

50、perational Risk Management Methods以前我國金融機構的操作風險管理手法Category 項目 Method 方 法Multilevel checks and balances system多層次的牽制體制 Reexamination and multiple signatory system再次鑒定、檢印制度Segregation of duties 權限分離Inhouse inspections 部門、店內檢查Insistence on recordkeeping 保存記錄Standardization and streamlining of business

51、 procedures事務內容的標準化和效率化 Establishment of P&P完善事務規(guī)程、指南等Institutionwide guidance on business operations本部進行事務指導Strengthening systems support強化系統(tǒng)支持Discipline and motivation規(guī)律、動機 Human resource (HR) management and performance evaluations人事層面的管理、業(yè)績評估Response to accidents and other problems事件、事故對策 Impleme

52、ntation of measures to prevent recurrences實施防止再次發(fā)生措施 Internal audits內部監(jiān)察 Auditor section audits內部審核部門獨立審核21.Considerations of Op. Risk Management操作風險管理時思索的要素 The need to cover a wide range of events and activities需求管理各種各樣的事情It is difficult to break down risk into the categories of exposure and risk

53、factors.對于操作風險，抽選出與風險暴露及風險要素相當?shù)墓こ淌欠浅＠щy的 The need for risk control in all sections within the institution管理組織內一切部門的必要性Op. risk exists in all sections throughout the institution.操作風險存在于組織內任何一個部門 The importance of risk management based on qualitative information定性手法的重要性It is not always easy to manage t

54、hem in a quantitative manner.采用定量手法進展風險管理并不容易 Reputational and systemic risk 聲望風險、系統(tǒng)風險It is necessary to take into consideration of the indirect loss and the effect on financial system.必需思索非直接要素呵斥的損失及其對金融系統(tǒng)的影響。(Major discussion points in the seminars) The need and merits of advancing op. risk manage

55、ment with risk quantification for regional banks, degree of independence of op risk control function, how to quantify op risk when facing lack of internal data and no external data, level of granularity of operational processes to be examined by CSA.研討會的討論要點：經(jīng)過對區(qū)域銀行風險計量加強操作風險管理的必要性和價值，操作風險控制功能的獨立性，缺

56、乏充足內部和外部數(shù)據(jù)時如何計量操作風險，CSA評價計量單位確實定。22.Establishment of an Operational Management Section操作風險總括部門設置Functions of Operational Management Section操作風險總括部門的作用Plan the op. risk management framework for the entire institution.制定組織整體的操作風險管理框架。Collect and analyze information on accidents and other problems, com

57、puter system malfunctions, and clerical errors arising in each section, then report to the management.搜集并分析各個部門發(fā)生的事件、事故，電腦系統(tǒng)缺點、事務操作失誤等資料，向運營者進展報告。Examine the adequacy and consistency of processes and procedures (P&P).審查業(yè)務規(guī)程和手續(xù)的合理性、延續(xù)性。Evaluate and guide the operational risk management situation.評價并指

58、點各個部門的操作風險管理情況Structure of Operational Management Section部門構造Integrated Risk Management Sectionsystem riskIT System Planning SectionSystem Risk Management SectionOperational Management SectionCompliance Management Sectionoperational complianceComputer CenterHead Office, Branch Officenumber: function

59、 weak relationshipOperations Planning Section23.Quantification of Op. Risk操作風險的計量Considerations思索要素 Appropriate collection, classification and update of loss data. 合理進展數(shù)據(jù)搜集、分類和遺失數(shù)據(jù)的更新 Selection of model which is able to identify cases of losses with low frequency but high severity. 選擇能捕捉“發(fā)生頻率低但是損失規(guī)模

60、大事件的計量模型 Setting group units for quantification. 為量化分析設立單位組 Introducing hypothetical data based on external data or scenario analyses into quantitative models. 將據(jù)外部信息和想象分析得到的假定數(shù)據(jù)引入計量模型 Using qualitative data to revise the quantification results. 用定性資料修訂定量分析得到的結果Loss amount per loss eventNumber of lo