推進(jìn)金融機(jī)構(gòu)風(fēng)險(xiǎn)管理ppt課件

1、Advancing Risk Management by Financial Institutions The Case of Japanese Banks推進(jìn)金融機(jī)構(gòu)風(fēng)險(xiǎn)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(fēng)險(xiǎn)管理 培訓(xùn)班Shanghai, December 21, 20052005年12月21日，上海1.Agenda 內(nèi)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(jìn)風(fēng)險(xiǎn)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(jī)構(gòu)整合風(fēng)險(xiǎn)管理研討會(huì)發(fā)布的相關(guān)報(bào)告“Advancing Credit Risk Management through Internal Rating Systems以內(nèi)部評(píng)級(jí)制度為根底強(qiáng)化信譽(yù)風(fēng)險(xiǎn)管理 “Advancing Operational Risk Management 強(qiáng)化操作風(fēng)險(xiǎn)管理“Advancin

3、g Integrated Risk Management 強(qiáng)化整合風(fēng)險(xiǎn)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(jìn)日本金融機(jī)構(gòu)風(fēng)險(xiǎn)管理，特別強(qiáng)化信譽(yù)風(fēng)險(xiǎn)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(dǎo)致2005年4月存款保險(xiǎn)的整體上調(diào)。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(jī)構(gòu)估計(jì)可經(jīng)過提供以下創(chuàng)新效力來滿足消費(fèi)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(zhǔn)確地進(jìn)展風(fēng)險(xiǎn)評(píng)價(jià)。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(jī)構(gòu)估計(jì)能有效把握業(yè)務(wù)中存在的各種風(fēng)險(xiǎn)例如，其擁有和參與買賣的全部資產(chǎn)價(jià)值及動(dòng)搖)，并建立風(fēng)險(xiǎn)綜合管理機(jī)制In addition, Basel II implementation surely pressures banks to intensify the above efforts.此外，巴塞爾 的出臺(tái)迫使銀行強(qiáng)化上述措施。3.Advancing Risk Management-M

7、eans What?強(qiáng)化風(fēng)險(xiǎn)管理意味著什么？ Our understanding of “advancing risk management 對(duì)“強(qiáng)化風(fēng)險(xiǎn)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(jìn)利益各方高級(jí)經(jīng)理，風(fēng)險(xiǎn)管理經(jīng)理，股東，監(jiān)管者等的交流,以就風(fēng)險(xiǎn)預(yù)測及總量達(dá)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(xué)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(fēng)險(xiǎn)評(píng)價(jià)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(fēng)險(xiǎn)評(píng)價(jià)將加強(qiáng)風(fēng)險(xiǎn)管理過程透明性，進(jìn)而明確風(fēng)險(xiǎn)活動(dòng)各方的責(zé)任有助于確保改善風(fēng)險(xiǎn)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(fēng)險(xiǎn)管理最正確方案需求建立鼓勵(lì)機(jī)制，以確保改善風(fēng)險(xiǎn)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(bào)告Advancing Credit Risk Management through Internal Rating Systems以內(nèi)部評(píng)級(jí)制度為根底強(qiáng)化信

11、譽(yù)風(fēng)險(xiǎn)管理 Advancing Operational Risk Management強(qiáng)化操作風(fēng)險(xiǎn)管理Advancing Integrated Risk Management強(qiáng)化整合風(fēng)險(xiǎn)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(bào)告提出的問題和措施，在進(jìn)展實(shí)地調(diào)查和非實(shí)地監(jiān)管時(shí)，與各金融機(jī)構(gòu)進(jìn)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(bào)告的主題都與巴塞爾出臺(tái)的IRB, AMA and Pillar II的規(guī)定相關(guān)。BOJs Initiative (1) - Publi

13、cation of Sound Practices Papers日本銀行的動(dòng)作1-公布金融機(jī)構(gòu)整合風(fēng)險(xiǎn)管理報(bào)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(shè)立高級(jí)金融技術(shù)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(jī)構(gòu)的主要義務(wù)之一是開展除實(shí)地調(diào)查和非實(shí)地監(jiān)管之外的第三種渠道，以就風(fēng)險(xiǎn)管理體制和方式與各家銀行進(jìn)展溝通。Using the three sound practice papers as the main subjects, the Center has already hosted: 以三份報(bào)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(jī)構(gòu)參與的研討會(huì)，全面討論三份報(bào)告涉及的風(fēng)險(xiǎn)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(huì)每次2030家銀行，每期就一份報(bào)告涉及的相關(guān)問題展開討論。BOJs Initiative

16、 (2) - Hosting a Series of Seminars for Banks日本銀行的動(dòng)作2-主辦一系列銀行業(yè)開展研討會(huì)6.BOJs Organizational Changes and Setting up the Center for Advanced Financial Technology日本銀行的機(jī)構(gòu)調(diào)整和高級(jí)金融技術(shù)中心的設(shè)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(wù)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(shí)地調(diào)查Off-site Monitoring非實(shí)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(jí)金融技術(shù)中心新設(shè)立Planning and Implementation 制定和執(zhí)行International Issues國際事務(wù)On-site Examination實(shí)地調(diào)查Off-site Monitori

18、ng非實(shí)地監(jiān)管7.Advancing Risk Management-Its Relation with Basel II強(qiáng)化風(fēng)險(xiǎn)管理與巴塞爾 的關(guān)系The concept of “advancing risk management is in line with “successfully implementing Basel II“強(qiáng)化風(fēng)險(xiǎn)管理與“勝利實(shí)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(jìn)一步加強(qiáng)風(fēng)險(xiǎn)評(píng)價(jià)的“準(zhǔn)確與“透明，我們所提倡的強(qiáng)化風(fēng)險(xiǎn)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(guān)于強(qiáng)化銀行風(fēng)險(xiǎn)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(qiáng)化風(fēng)險(xiǎn)管理的必要性和有效性，從而防止各銀行尋求一套通用風(fēng)險(xiǎn)管理體系的情況。8.“Advancing Credit Risk Management through Internal Rating Systems 以內(nèi)部評(píng)級(jí)制度為根底強(qiáng)化信譽(yù)風(fēng)險(xiǎn)管理9.SPP-I: “Advancing Credit Risk Management through Internal Rating Systems報(bào)告I：以內(nèi)部評(píng)級(jí)制度為根底強(qiáng)化信譽(yù)風(fēng)險(xiǎn)管理Contents內(nèi)容Architecture of i

22、nternal rating system內(nèi)部評(píng)級(jí)制度體系 Rating process and rating models評(píng)級(jí)實(shí)施程序和評(píng)級(jí)模型Estimation of risk components風(fēng)險(xiǎn)要素推算Uses of internal rating systems內(nèi)部評(píng)級(jí)制度的靈敏運(yùn)用Validation of internal rating systems內(nèi)部評(píng)級(jí)制度的驗(yàn)證Quantification of credit risk信譽(yù)風(fēng)險(xiǎn)的計(jì)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(bào)告引見整合風(fēng)險(xiǎn)管理的方法， 并與各大銀行目前做法比較，有助于指點(diǎn)小型銀行實(shí)踐操作10.Framework of Advancing Credit Risk Management強(qiáng)化信譽(yù)風(fēng)險(xiǎn)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(huì)的討論要點(diǎn) 違約的定義，市場買賣同伴風(fēng)險(xiǎn)的協(xié)調(diào)處置，風(fēng)險(xiǎn)要素評(píng)價(jià)所需求的資料整合，利用UL成果集中風(fēng)險(xiǎn)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(wù)人PD推算模型Model estimating external ratings 外部評(píng)級(jí)推算模型3. Hybrid model of 1. and 2.模型1、2的結(jié)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(píng)級(jí)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(píng)級(jí)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(píng)級(jí)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(huì)的討論要點(diǎn)：市場普遍運(yùn)用獨(dú)特貸款抵押制度，即抵押融資與債務(wù)人而非買賣相關(guān)聯(lián)的“集資抵押體系下，進(jìn)展才干評(píng)價(jià)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(píng)級(jí)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(nèi)的許多銀行仍在尋求的內(nèi)部評(píng)級(jí)制度和風(fēng)險(xiǎn)要素恰當(dāng)?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(nèi)部評(píng)級(jí)制度的靈敏運(yùn)用

38、 Use of Internal rating systems內(nèi)部評(píng)級(jí)制度的靈敏運(yùn)用 (Loan Origination) 授信執(zhí)行階段 Setting upper credit limits based on rating grades設(shè)定各個(gè)評(píng)級(jí)的授信限額。 Setting authority ranks for loan approval by rating grade設(shè)定各個(gè)評(píng)級(jí)的授信決議權(quán)限。 Simplifying the loan review process for highergraded borrowers簡化優(yōu)良評(píng)級(jí)企業(yè)的審查程序。 (Monitoring) 中間管理 M

39、onitoring individual borrowers based on rating grades針對(duì)不同的評(píng)級(jí)對(duì)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(yù)情況。 Uses of PD for each rating grade 各個(gè)評(píng)級(jí)PD的運(yùn)用Quantification of credit risk and allocation of capital信譽(yù)風(fēng)險(xiǎn)的計(jì)量和資本配置 Pricing of loan rates reflecting credit risk思索信譽(yù)風(fēng)險(xiǎn)定價(jià)設(shè)定貸款基準(zhǔn)利率 Evalua

40、ting the economic value of loans把握貸款的經(jīng)濟(jì)價(jià)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(shè)備評(píng)價(jià)外的上述內(nèi)部評(píng)級(jí)制度。16.II.Advancing Operational Risk強(qiáng)化操作風(fēng)險(xiǎn)管理 17.SPP-II: “Advancing Operational Risk Management 報(bào)告2：強(qiáng)化操作風(fēng)險(xiǎn)管理 C

41、ontents 內(nèi)容Characteristics of op risk and the need to advance op risk management操作風(fēng)險(xiǎn)特征和強(qiáng)化操作風(fēng)險(xiǎn)管理的必要性O(shè)verview of efforts to advance op risk management and the establishment of an op risk management section強(qiáng)化操作風(fēng)險(xiǎn)管理機(jī)制的概要和操作風(fēng)險(xiǎn)總括部門設(shè)置Quantifying op risk操作風(fēng)險(xiǎn)的計(jì)量Approaches to identifying and assessing op risk

42、other than quantification計(jì)量以外的操作風(fēng)險(xiǎn)的把握、評(píng)價(jià)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(bào)告試圖探求

43、新舊兩種操作風(fēng)險(xiǎn)管理的合理安排，既突出運(yùn)用風(fēng)險(xiǎn)計(jì)量方法等手段強(qiáng)化管理的重要性，又思索到維持傳統(tǒng)操作風(fēng)險(xiǎn)管理，發(fā)揚(yáng)其補(bǔ)充作用的必要性。 18.Advancing Op. Risk - Why Now？目前強(qiáng)化操作風(fēng)險(xiǎn)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(wù)多元化、金

44、融技術(shù)高端化，業(yè)務(wù)處置的IT化、外包規(guī)模的擴(kuò)展等局面 The introduction of Basel IIallocation of capital for op. risk)引入巴塞爾 操作風(fēng)險(xiǎn)也必需計(jì)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(zāi)禍，以及國內(nèi)外企業(yè)艱苦違規(guī)事件的攀升社會(huì)整體對(duì)操作風(fēng)險(xiǎn)的關(guān)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(jī)構(gòu)繼續(xù)加強(qiáng)內(nèi)在的綜合把握、評(píng)價(jià)操作風(fēng)險(xiǎn)的根底上，進(jìn)一步執(zhí)行有張有弛的風(fēng)險(xiǎn)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(fēng)險(xiǎn)增大的預(yù)期才干，完善在操作風(fēng)險(xiǎn)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(gè)現(xiàn)場建立可以自律應(yīng)對(duì)操作風(fēng)險(xiǎn)管理的機(jī)制19.Characteristic of Op. Risk操作風(fēng)險(xiǎn)特征Forms of risk materialization風(fēng)險(xiǎn)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(duì)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(fēng)險(xiǎn)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(fēng)險(xiǎn)通常很難找出特定的風(fēng)險(xiǎn)顯現(xiàn)的緣由，而且多個(gè)緣由共同作用風(fēng)險(xiǎn)才表達(dá)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(jī)構(gòu)的操作風(fēng)險(xiǎn)管理手法Category 項(xiàng)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(quán)限分離Inhouse inspections 部門、店內(nèi)檢查Insistence on recordkeeping 保存記錄Standardization and streamlining of business

51、 procedures事務(wù)內(nèi)容的標(biāo)準(zhǔn)化和效率化 Establishment of P&P完善事務(wù)規(guī)程、指南等Institutionwide guidance on business operations本部進(jìn)行事務(wù)指導(dǎo)Strengthening systems support強(qiáng)化系統(tǒng)支持Discipline and motivation規(guī)律、動(dòng)機(jī) Human resource (HR) management and performance evaluations人事層面的管理、業(yè)績評(píng)估Response to accidents and other problems事件、事故對(duì)策 Impleme

52、ntation of measures to prevent recurrences實(shí)施防止再次發(fā)生措施 Internal audits內(nèi)部監(jiān)察 Auditor section audits內(nèi)部審核部門獨(dú)立審核21.Considerations of Op. Risk Management操作風(fēng)險(xiǎn)管理時(shí)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(duì)于操作風(fēng)險(xiǎn)，抽選出與風(fēng)險(xiǎn)暴露及風(fēng)險(xiǎn)要素相當(dāng)?shù)墓こ淌欠浅＠щy的 The need for risk control in all sections within the institution管理組織內(nèi)一切部門的必要性O(shè)p. risk exists in all sections throughout the institution.操作風(fēng)險(xiǎn)存在于組織內(nèi)任何一個(gè)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(jìn)展風(fēng)險(xiǎn)管理并不容易 Reputational and systemic risk 聲望風(fēng)險(xiǎn)、系統(tǒng)風(fēng)險(xiǎn)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(duì)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(huì)的討論要點(diǎn)：經(jīng)過對(duì)區(qū)域銀行風(fēng)險(xiǎn)計(jì)量加強(qiáng)操作風(fēng)險(xiǎn)管理的必要性和價(jià)值，操作風(fēng)險(xiǎn)控制功能的獨(dú)立性，缺

56、乏充足內(nèi)部和外部數(shù)據(jù)時(shí)如何計(jì)量操作風(fēng)險(xiǎn)，CSA評(píng)價(jià)計(jì)量單位確實(shí)定。22.Establishment of an Operational Management Section操作風(fēng)險(xiǎn)總括部門設(shè)置Functions of Operational Management Section操作風(fēng)險(xiǎn)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(fēng)險(xiǎn)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(gè)部門發(fā)生的事件、事故，電腦系統(tǒng)缺點(diǎn)、事務(wù)操作失誤等資料，向運(yùn)營者進(jìn)展報(bào)告。Examine the adequacy and consistency of processes and procedures (P&P).審查業(yè)務(wù)規(guī)程和手續(xù)的合理性、延續(xù)性。Evaluate and guide the operational risk management situation.評(píng)價(jià)并指

58、點(diǎn)各個(gè)部門的操作風(fēng)險(xiǎn)管理情況Structure of Operational Management Section部門構(gòu)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(fēng)險(xiǎn)的計(jì)量Considerations思索要素 Appropriate collection, classification and update of loss data. 合理進(jìn)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(jì)量模型 Setting group units for quantification. 為量化分析設(shè)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(jì)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(jié)果Loss amount per loss eventNumber of lo