推進金融機構(gòu)風(fēng)險管理

AdvancingRiskManagement

byFinancialInstitutions

TheCaseofJapaneseBanks

推進金融機構(gòu)風(fēng)險管理：日本銀行業(yè)的經(jīng)驗

TsuyoshiOyama

BankofJapan

日本銀行WorkshoponRiskManagementinBankingSector

商業(yè)銀行風(fēng)險管理培訓(xùn)班

Shanghai,December21,2005

2005年12月21日，上海1Agenda

內(nèi)容安排BackgroundofBanks’EffortstoEnhanceRiskManagementandtheBOJ’sInitiativestoEncourageTheseEfforts

銀行業(yè)推進風(fēng)險管理及日本銀行支持舉措的背景TopicsfromtheSoundPracticesPapersandDiscussionsintheSeminars

金融機構(gòu)整合風(fēng)險管理研討會發(fā)布的相關(guān)報告“AdvancingCreditRiskManagementthroughInternalRatingSystems”以內(nèi)部評級制度為基礎(chǔ)強化信用風(fēng)險管理

“AdvancingOperationalRiskManagement”強化操作風(fēng)險管理“AdvancingIntegratedRiskManagement”強化整合風(fēng)險管理2BackgroundofBanks’Efforts銀行措施的背景TheexperienceofovercomingNPLproblemssincethe1990s…

90年代以來，克服不良貸款問題的經(jīng)驗EnhancetheriskmanagementofJapanesefinancialinstitutionsparticularlyintheareaofcreditriskmanagement

推進日本金融機構(gòu)風(fēng)險管理，特別強化信用風(fēng)險管理Entailstabilityoffinancialsystem,whichledtotheliftingofblanketdepositinsuranceinApril,2005

金融體系穩(wěn)定性，這導(dǎo)致2005年4月存款保險的整體上調(diào)。Inthisnewenvironment,financialinstitutionsareexpectedtodevelopfurthercreativebusinessservicesthatmeettheneedsofcustomersthrough…

在新情況下，金融機構(gòu)預(yù)計可通過提供下列創(chuàng)新服務(wù)來滿足消費者需求：Assessingvariousrisksnotonlyinaconservativewaybutalsoinanaccurateway.

穩(wěn)健而準(zhǔn)確地進行風(fēng)險評估。Inotherwords,financialinstitutionsareexpectedtograspeffectivelythevariousrisksinherentintheirbusiness(e.g.economicvalueanditsvolatilityofalltheassetstheypossessandtransactionstheyengagein),andalsotoestablishaframeworkthatmanagestheserisksinanintegratedway.

換句話說，金融機構(gòu)預(yù)計能有效把握業(yè)務(wù)中存在的各種風(fēng)險（例如，其擁有和參與交易的全部資產(chǎn)價值及波動)，并建立風(fēng)險綜合管理機制Inaddition,BaselIIimplementationsurelypressuresbankstointensifytheaboveefforts.

此外，巴塞爾Ⅱ的出臺迫使銀行強化上述措施。3AdvancingRiskManagement---MeansWhat?

強化風(fēng)險管理意味著什么？

Ourunderstandingof“advancingriskmanagement”

對“強化風(fēng)險管理”的理解Enhancingthecommunicationtoolsamongstakeholders(seniormanagers,riskmanagers,shareholders,regulators,etc.)toreachaconsensusviewofriskprofileandamounts.

促進利益各方（高級經(jīng)理，風(fēng)險管理經(jīng)理，股東，監(jiān)管者等）的交流,以就風(fēng)險預(yù)測及總量達成一致意見。NotnecessarilyindicatingamoreuseofGreeklettersandmathformula

無需多用希臘字母和數(shù)學(xué)公式

Whatbanksneedismoreobjectiveandmorepersuasivetoolstoassessrisks

銀行業(yè)需要更客觀、更有說服力的風(fēng)險評估工具Objectiveandpersuasiveriskassessmentsleadtohighertransparencyofriskmanagementprocessandtherebyclarifytheresponsibilityassociatedwithrisktakingactivitieshelpensurethedirectiontowardimprovingriskmanagement.

客觀而有說服力的風(fēng)險評估將增強風(fēng)險管理過程透明性，進而明確風(fēng)險活動各方的責(zé)任有助于確保改善風(fēng)險管理Therearenobestpracticesofbanks’riskmanagement,whichcoulddifferdependingontheirfacingenvironmentsneedtoestablishtheincentivemechanismtoensurethedirectiontowardimprovingriskmanagement.

并不存在能隨市場環(huán)境變化而變化的銀行風(fēng)險管理最佳方案需要建立激勵機制，以確保改善風(fēng)險管理4BOJ’sInitiative(1)--PublicationofSoundPracticesPapers

日本銀行的動作（1）--公布金融機構(gòu)整合風(fēng)險管理報告

5TheBankofJapanestablishedtheCenterforAdvancedFinancialTechnologyinJuly,2005.

日本銀行于2001年7月設(shè)立高級金融技術(shù)中心。Onemajormissionofthisneworganizationistodevelopthethirdchannel,besideson-siteexaminationsandoff-sitemonitoring,tocommunicatewithbanksabouttheriskmanagementframeworkandmethods.

這一新機構(gòu)的主要任務(wù)之一是發(fā)展除實地考查和非實地監(jiān)管之外的第三種渠道，以就風(fēng)險管理體制和方式與各家銀行進行溝通。Usingthethreesoundpracticepapersasthemainsubjects,theCenterhasalreadyhosted:以三份報告為主題，該中心已成功主辦：2seminarsforthelargenumberoffinancialinstitutionsfocusingonoverallriskmanagementissuesthataredealtwithbythreepapers,and

2期有眾多金融機構(gòu)參與的研討會，全面討論三份報告涉及的風(fēng)險管理問題，以及12seminarsforregionalbanks(20—30banksforeach)focusingontheissuesthataredealtwithbyonepaperforeachseminar.

12期由區(qū)域銀行參與的研討會（每次20－30家銀行），每期就一份報告涉及的相關(guān)問題展開討論。BOJ’sInitiative(2)--HostingaSeriesofSeminarsforBanks

日本銀行的動作（2）--主辦一系列銀行業(yè)發(fā)展研討會6BOJ’sOrganizationalChangesandSettinguptheCenterforAdvancedFinancialTechnology

日本銀行的機構(gòu)調(diào)整和高級金融技術(shù)中心的設(shè)立＜之前＞＜7月18日之后＞FinancialSystemsDept.

金融體系部

PolicyPlanning

政策制訂InternationalIssues

國際事務(wù)BankExaminationandSurveillanceDept.

銀行檢查與監(jiān)督部PolicyImplementation政策執(zhí)行On-siteExamination

實地考查Off-siteMonitoring

非實地監(jiān)管FinancialSystemsandBankExaminationDept.

金融體系和銀行管理部CenterforAdvancedFinancialTechnology(NewlyEstablished)

高級金融技術(shù)中心（新設(shè)立）PlanningandImplementation

制訂和執(zhí)行InternationalIssues

國際事務(wù)On-siteExamination

實地考查Off-siteMonitoring

非實地監(jiān)管7AdvancingRiskManagement---ItsRelationwithBaselII

強化風(fēng)險管理－－與巴塞爾Ⅱ

的關(guān)系Theconceptof“advancingriskmanagement”isinlinewith“successfullyimplementingBaselII”

“強化風(fēng)險管理”與“成功實施巴塞爾Ⅱ”理念一致TheconceptofBaselIIthatstronglypushesbankstowardthedirectionofassessingrisks“moreprecisely”and“transparently”ina“self-disciplined”manneriscompletelysharedbyuswhenadvocatingfortheneedofadvancingriskmanagement.

巴塞爾Ⅱ的理念是通過“自律”方式進一步增強風(fēng)險評估的“準(zhǔn)確”與“透明”，我們所提倡的強化風(fēng)險管理與其一致。Ourstrategyistocapitalizeon,tothemaximum,theimplementationofBaselIIanditsaccompanyingmomentumofadvancingriskmanagementamongbanks.

我們的戰(zhàn)略是最大限度的利用巴塞爾Ⅱ及其附隨文件中關(guān)于強化銀行風(fēng)險管理的規(guī)定。Thegreatestchallengeforusishowtoconvincebanksoftheneedandusefulnessofadvancingriskmanagement“bythemselves”in“aflexiblemanner”andtherebyavoidthecasewherebanksseekforanexcessivelydetailed“one-size-fits-all”typeguidance.我們面臨的最大挑戰(zhàn)是如何說服各銀行“按自身情況自行采取靈活方式”強化風(fēng)險管理的必要性和有效性，從而避免各銀行尋求一套通用風(fēng)險管理體系的情況。8“AdvancingCreditRiskManagement

throughInternalRatingSystems”

以內(nèi)部評級制度為基礎(chǔ)強化信用風(fēng)險管理9SPP-I:“AdvancingCreditRiskManagement

throughInternalRatingSystems”

報告－I：以內(nèi)部評級制度為基礎(chǔ)強化信用風(fēng)險管理Contents內(nèi)容Architectureofinternalratingsystem

內(nèi)部評級制度體系Ratingprocessandratingmodels

評級實施程序和評級模型Estimationofriskcomponents

風(fēng)險要素推算Usesofinternalratingsystems

內(nèi)部評級制度的靈活運用Validationofinternalratingsystems

內(nèi)部評級制度的驗證Quantificationofcreditrisk

信用風(fēng)險的計量化Thepapertriestoshowourthinkingofsoundpractices,beingcomparedwithcurrentpracticesofmajorbanksandtherebyfacilitatesmallbankstoconsiderthemastherealworldcases.

該報告介紹整合風(fēng)險管理的方法，并與各大銀行目前做法比較，有助于指導(dǎo)小型銀行實際操作10FrameworkofAdvancingCreditRiskManagement強化信信用風(fēng)風(fēng)險管管理設(shè)設(shè)想(Majordiscussionpointsintheseminars)Definitionofdefault,consistenttreatmentofcounterpartyrisksofmarkettransactions,dataintegrityrequiredforestimatingriskcomponents,concentrationriskcontrolmeasuresusingULoutcome,etc.（研討討會的的討論論要點點）違約的的定義義，市市場交交易伙伙伴風(fēng)風(fēng)險的的協(xié)調(diào)調(diào)處理理，風(fēng)風(fēng)險因因素評評估所所需要要的資資料整整合，，利用用UL成果集集中風(fēng)風(fēng)險管管理措措施。。MigrationmatrixProbabilityofdefault(PD)InternaluseRiskComponentsLossgivendefault(LGD)Exposureatdefault(EAD)CorrelationCalculationofcreditriskamountExpectedloss(EL)Unexpectedloss(UL)StresstestingPortfoliomonitoringProvisioningPricingProfitmanagementCapitalallocationQuantificationofcreditriskReportingtotheBoardInternalratingQuantitativeevaluationFinancialdataQualitativeevaluation<Internalratingsystems>11ProcessofinternalRatingsModelestimatingPDsofobligors(LogitorProbitmodel）債務(wù)人PD推算模型Modelestimatingexternalratings外部評級推推算模型3.Hybridmodelof1.and2.模型1、2的結(jié)合0%20%40%60%80%100%-5-4-3-2-1012345Scorebasedon

financialinformationAssessingRatingsQuantitativeratingmodelBorrower’’sfinancialdata１２３４５６７８９１０１２３４５６７８９１０１２３４５６７８９１０FinalRatingRatingmitigationafter1yearPDperratinggradeInitialevaluation(tentative)?????????EstimationofPDNeedsattentionBankruptdefaultQuantitativeevaluationQualitativeevaluationBorrower’’squalitativeinformationNormal<Statisticalmodel>PDScorebasedon

financialinformation12QuantitativeandQualitativeInformationUsedforRatingAssignment評級需要的的定量要素和定性要素ExamplesofQuantitativeFactors定量要素事事例ExamplesofQualitativeFactors定性要素事事例ExamplesofFactorsDeterminingFacilityRatings項目評級的的要素事例例TypeoffactorExampleSizeofoperationAmountofcapitalandnetassetsSafetyCurrentratio,capitaladequacyratio,andcurrentaccountbalanceratioProfitabilityReturnonassets,operatingprofitonsales,yearsrequiredtopaybackinterest-bearingliabilities,andinterest-coverageratioOthersRateofgrowthinsalesandprofitsTypeoffactorExampleIndustryGrowthpotential,sizeofmarketfluctuation,andentrybarriersFirmRelationshipwithparentcompaniesorfirmswithcapitaltie-ups,managementability,andexistenceofexternalauditTypeoffactorRealestatefinanceProjectfinanceQuantitativefactorsCredit-extensionperiod,LTV,andDSCRCredit-extensionperiodandDSCRQualitativefactorsCharacteristicsofrealestates(e.g.,locationalconditions),adequacyofcashflowschedule,andrisksattachedtothesponsoroftheprojectRiskattachedtotheproject(e.g.,risksattachedtothesponsorandoperatoroftheproject,andtheriskofbeingunabletocompletetheproject)andtransferrisk13WhatFactorsDeterminetheRatings?決定評級的的因素(Majordiscussionpointsintheseminars)Theneedandusefulnessoffacilityratinggiventhewidespreaduseofuniquepledgesysteminlending,i.e.“pooledcollateralsystem””whereeachcollateralisnotlinkedtoeachtransactionsbuttoeachborrower.（研研討討會會的的討討論論要要點點））：：市市場場普普遍遍使使用用獨獨特特貸貸款款抵抵押押制制度度，，即即抵抵押押融融資資與與債債務(wù)務(wù)人人而而非非交交易易相相關(guān)關(guān)聯(lián)聯(lián)的的“集資資抵抵押押體體系系”下，，進進行行能能力力評評估估的的必必要要性性和和有有效效性性。。Onedimensionalsystembasesfacilityratingsonborrowerratingsandmakesupwardordownwardadjustmentstothegradesasnecessarytoreflectthecharacteristicsoftheloantransactionconcerned.Atwo??dimensionalsystemcombinesborrowerratingswithevaluationofthefeaturesofindividualloantransactionsindependentofborrowers(e.g.,ratingsbasedonLGD).Grade123……910Grade123……910GradeABC……IJBorrowerratings(1to10)Facilityratings(AtoJ)(One-dimensionalsystem)BorrowerratingsFacilityratings(AtoJ)(Two??dimensionalsystem)RatingsbasedonLGDBorrowerratings14HowtoValidateRatingModel?評級級模模型型的的修修正正Manybanksincludingmajoronesarestillseekingfortheappropriatevalidationmethodsofinternalratingsystemsandriskcomponents.包括括主主要要銀銀行行在在內(nèi)內(nèi)的的許許多多銀銀行行仍仍在在尋尋求求的的內(nèi)內(nèi)部部評評級級制制度度和和風(fēng)風(fēng)險險因因素素恰恰當(dāng)當(dāng)?shù)牡男扌拚椒椒ǚ??！?100CAPcurveofaperfectmodelCAPcurveofrandommodel(nodiscriminatorypower)CAPcurveofamodelbeingevaluated(%)ABAmodelhasmoreaccuracyasthecurvemovestotheupperleftRatioofcumulativenumberofdefaultedfirms100(%)ScoreNon-defaultedfirmsDefaultedfirmsNumber

offirmsArea(B)Area(A)+Area(B)AR＝RatingattheendoftheyearRatingatthebeginningoftheyearChecktheorderofmigrationratefromrating1tootherratingsChecktheorderofdefaultratesChecktheorderofmigrationratetorating7fromotherratingsDefault(Example2)15UseofInternalRatingSystems內(nèi)部評級制度度的靈活運用用UseofInternalratingsystems內(nèi)部評級制度度的靈活運用(LoanOrigination)（授信執(zhí)行階階段）Settinguppercreditlimitsbasedonratinggrades設(shè)定各個個評級的的授信限限額。Settingauthorityranksforloanapprovalbyratinggrade設(shè)定各個個評級的的授信決決定權(quán)限限。Simplifyingtheloanreviewprocessforhigher?gradedborrowers簡化優(yōu)良良評級企企業(yè)的審審查程序序。(Monitoring)（中間管管理）Monitoringindividualborrowersbasedonratinggrades針對不不同的的評級級對授授信企企業(yè)的的管理理Monitoringtheoverallloanportfolio把握授授信資資產(chǎn)組組合整整體的的信用用狀況況。UsesofPDforeachratinggrade各個評評級PD的運用用Quantificationofcreditriskandallocationofcapital信用風(fēng)風(fēng)險的的計量量和資資本配配置Pricingofloanratesreflectingcreditrisk考慮信信用風(fēng)風(fēng)險定定價（（設(shè)定定貸款款基準(zhǔn)準(zhǔn)利率率）Evaluatingtheeconomicvalueofloans把握貸貸款的的經(jīng)濟濟價值值Manybankshavealreadyusedtheinternalratingsystemsasindicatedintheabovewithsomeexceptionssuchasfacilityrating.許多家銀行行已經(jīng)建立立了除設(shè)備備評估外的的上述內(nèi)部部評級制度度。16II.AdvancingOperationalRisk強化操作風(fēng)風(fēng)險管理17SPP-II:““AdvancingOperationalRiskManagement”報告－2：強化操作作風(fēng)險管理理Contents內(nèi)容Characteristicsofopriskandtheneedtoadvanceopriskmanagement操作風(fēng)險特特征和強化化操作風(fēng)險險管理的必必要性O(shè)verviewofeffortstoadvanceopriskmanagementandtheestablishmentofanopriskmanagementsection強化操作風(fēng)風(fēng)險管理機機制的概要要和操作風(fēng)風(fēng)險總括部部門設(shè)置Quantifyingoprisk操作風(fēng)險的的計量Approachestoidentifyingandassessingopriskotherthanquantification計量以外的的操作風(fēng)險險的把握、、評估手法法Thepapertriestostriketherightbalancebetweentheimportanceofadvancingopriskmanagementusinge.g.riskquantificationmethodsandtheneedtomaintaintheconventionalopriskmanagementbyemphasizingtheircomplementarycharacteristics.該報告試圖圖探索新舊舊兩種操作作風(fēng)險管理理的合理安安排，既突突出運用風(fēng)風(fēng)險計量方方法等手段段強化管理理的重要性性，又考慮慮到維持傳傳統(tǒng)操作風(fēng)風(fēng)險管理，，發(fā)揮其補補充作用的的必要性。。18AdvancingOp.Risk---WhyNow？目前強化操操作風(fēng)險管管理的原因因何在？ChangesintheenvironmentsurroundingFIs’operations圍繞FIs’operations的外部環(huán)境境變化Businessdiversification,moresophisticatedfinancialtechnologies,widelyusedITandoutsourcing.業(yè)務(wù)多元化化、金融技技術(shù)高端化化，業(yè)務(wù)處處理的IT化、外包規(guī)規(guī)模的擴大大等局面TheintroductionofBaselII（（allocationofcapitalforop.risk)引入巴塞爾爾Ⅱ（操作風(fēng)險險也必須計計提自有資資本）Majordisastersuchasearthquakes,terroristattacksanduncoveringofseriouscorporatescandals(societyisincreasinglyawareoftheneedforthefirms’managementofop.risk).最近發(fā)生的的地震、恐恐怖事件等等大規(guī)模災(zāi)災(zāi)害，以及及國內(nèi)外企企業(yè)重大違違規(guī)事件的的攀升（社社會整體對對操作風(fēng)險險的關(guān)心程程度越來越越高）Newchallenges面臨的新挑挑戰(zhàn)Needtomanageop.riskmoreefficientlybyidentifyingop.riskprofileinafirm-widemannerandtherebyputtingsomepriorityontheirmanagement.金融機構(gòu)繼繼續(xù)增強內(nèi)內(nèi)在的綜合合把握、評評估操作風(fēng)風(fēng)險的基礎(chǔ)礎(chǔ)上，進一一步執(zhí)行有有張有弛的的風(fēng)險管理理Needtoestablishstructuresthatcanquicklydetectheightenedriskandrespondappropriatelybeforetheriskmaterializes.提高操作風(fēng)風(fēng)險增大的的預(yù)期能力力，完善在在操作風(fēng)險險發(fā)生前采采取穩(wěn)妥措措施的體制制Needtocreatemechanismsforautonomousriskmanagementinallsectionsoftheiroperations.各個現(xiàn)場建建立能夠自自律應(yīng)對操操作風(fēng)險管管理的機制制19CharacteristicofOp.Risk操作風(fēng)險特特征Formsofriskmaterialization風(fēng)險顯現(xiàn)形形態(tài)Directloss,indirectlossorimpactincurredtothirdparties直接損失、間接損失失以及對第第三方帶來來的損失Highfrequencyandlowseverityorlowfrequencyandhighseverity“發(fā)生頻率率高，損失失規(guī)模小””或““發(fā)生頻率率低但損失失規(guī)模大””Causesofriskmaterialization風(fēng)險發(fā)生的的主要原因因Itisnormallydifficulttonarrowdownthefactorscausingsuchrisktomaterialize,andquiteoften,itonlyemergeswhenseveralfactorscomeintoplaysimultaneously.操作風(fēng)險通通常很難找找出特定的的風(fēng)險顯現(xiàn)現(xiàn)的原因，，而且多個個原因共同同作用風(fēng)險險才體現(xiàn)出出來的情況況也不在少少數(shù)。Small?scaleproblemsoccurringatrelativelyhighfrequencyProblemsthatdonotoccuroftenbuthavesevereconsequenceswhentheydooccur[DistributionofLossesArisingfromtheMaterializationofOp.Risk]FrequencyAmountoflossoflossesFrequency[DistributionofProfits/Losses(Losses/Gains)ArisingfromtheMaterializationofMarketRisk]Amountofprofits/lossesProfits/lossesaredistributedmoreorlesssymmetricallyaroundthemean(closetozero)20ConventionalOperationalRiskManagementMethods以前我國國金融機機構(gòu)的操操作風(fēng)險險管理手手法Category項目Method方法Multilevelchecksandbalancessystem多層次的牽制體制Reexaminationandmultiplesignatorysystem

再次鑒定、檢印制度

Segregationofduties

權(quán)限分離

In?houseinspections

部門、店內(nèi)檢查

Insistenceonrecord?keeping

保存記錄Standardizationandstreamliningofbusinessprocedures

事務(wù)內(nèi)容的標(biāo)準(zhǔn)化和效率化EstablishmentofP&P

完善事務(wù)規(guī)程、指南等

Institution?wideguidanceonbusinessoperations

本部進行事務(wù)指導(dǎo)

Strengtheningsystemssupport

強化系統(tǒng)支持Disciplineandmotivation

規(guī)律、動機Humanresource(HR)managementandperformanceevaluations

人事層面的管理、業(yè)績評估Responsetoaccidentsandotherproblems

事件、事故對策Implementationofmeasurestopreventrecurrences

實施防止再次發(fā)生措施Internalaudits

內(nèi)部監(jiān)察Auditorsectionaudits

內(nèi)部審核部門獨立審核21ConsiderationsofOp.RiskManagement操作風(fēng)險險管理時時考慮的的因素Theneedtocoverawiderangeofeventsandactivities需要管理理各種各各樣的事事情Itisdifficulttobreakdownriskintothecategoriesofexposureandriskfactors.對于操作作風(fēng)險，，抽選出出與「風(fēng)風(fēng)險暴露露」及「「風(fēng)險要要素」相相當(dāng)?shù)捻楉椖渴欠欠浅＠щy難的Theneedforriskcontrolinallsectionswithintheinstitution管理組織織內(nèi)所有有部門的的必要性性O(shè)p.riskexistsinallsectionsthroughouttheinstitution.操作風(fēng)險險存在于于組織內(nèi)內(nèi)任何一一個部門門Theimportanceofriskmanagementbasedonqualitativeinformation定性手法法的重要要性Itisnotalwayseasytomanagetheminaquantitativemanner.采用定定量手手法進進行風(fēng)風(fēng)險管管理并并不容容易Reputationalandsystemicrisk聲望風(fēng)風(fēng)險、、系統(tǒng)統(tǒng)風(fēng)險險Itisnecessarytotakeintoconsiderationoftheindirectlossandtheeffectonfinancialsystem.必須考慮慮非直接接因素造造成的損損失及其其對金融融系統(tǒng)的的影響。。(Majordiscussionpointsintheseminars)Theneedandmeritsofadvancingop.riskmanagementwithriskquantificationforregionalbanks,degreeofindependenceofopriskcontrolfunction,howtoquantifyopriskwhenfacinglackofinternaldataandnoexternaldata,levelofgranularityofoperationalprocessestobeexaminedbyCSA.（研討會的討討論要點）：：通過對區(qū)域域銀行風(fēng)險計計量加強操作作風(fēng)險管理的的必要性和價價值，操作風(fēng)風(fēng)險控制功能能的獨立性，，缺乏充足內(nèi)內(nèi)部和外部數(shù)數(shù)據(jù)時如何計計量操作風(fēng)險險，CSA評估計量單位位的確定。22EstablishmentofanOperationalManagementSection操作風(fēng)險總括括部門設(shè)置FunctionsofOperationalManagementSection操作風(fēng)險總括括部門的作用用Plantheop.riskmanagementframeworkfortheentireinstitution.制定組織整體體的操作風(fēng)險險管理框架。。Collectandanalyzeinformationonaccidentsandotherproblems,computersystemmalfunctions,andclericalerrorsarisingineachsection,thenreporttothemanagement.收集并分析各各個部門發(fā)生生的事件、事事故，電腦系系統(tǒng)故障、事事務(wù)操作失誤誤等資料，向向經(jīng)營者進行行報告。Examinetheadequacyandconsistencyofprocessesandprocedures(P&P).審查業(yè)務(wù)規(guī)規(guī)程和手續(xù)續(xù)的合理性性、連續(xù)性性。Evaluateandguidetheoperationalriskmanagementsituation.評估并指導(dǎo)導(dǎo)各個部門門的操作風(fēng)風(fēng)險管理狀狀況StructureofOperationalManagementSection部門結(jié)構(gòu)IntegratedRiskManagementSection（systemrisk））ITSystemPlanningSectionSystemRiskManagementSectionOperationalManagementSectionComplianceManagementSection（operational））（compliance）ComputerCenterHeadOffice,BranchOffice①②①②④①②③④①④○number:functionweakrelationshipOperationsPlanningSection23QuantificationofOp.Risk操作風(fēng)險的的計量Considerations考慮因素Appropriatecollection,classificationandupdateoflossdata.合理進行數(shù)數(shù)據(jù)搜集、、分類和遺遺失數(shù)據(jù)的的更新Selectionofmodelwhichisabletoidentifycasesoflosseswithlowfrequencybuthighseverity.選擇能捕捉捉“發(fā)生頻頻率低但是是損失規(guī)模模大”事件件的計量模模型Settinggroupunitsforquantification.為量化分析析設(shè)立單位位組Introducinghypotheticaldatabasedonexternaldataorscenarioanalysesintoquantitativemodels.將據(jù)外部信信息和想象象分析得到到的假定數(shù)數(shù)據(jù)引入計計量模型Usingqualitativedatatorevisethequantificationresults.用定性資料料修訂定量量分析得到到的結(jié)果LossamountperlosseventNumberoflosseventsoccurringperyearFrequencyOp.riskamount((99.0%VaR)Op.riskamount(99.9%VaR)Annualcumulativelossamount③Cumulativelossamountdistributionforoneyear④①②FrequencyFrequencyDistributionoflossamountperlossevent---e.g.log?normaldistribution24ControlofSelf-AssessmentsandKeyRiskIndicators風(fēng)險管理自我我評估和重要風(fēng)險管管理指標(biāo)ControlofSelf-Assessments風(fēng)險管理自我我評估Individualsectionsorbusinesslineswithinafinancialinstitutionevaluateinherentriskandinternalcontrolconditionsontheirown金融機構(gòu)內(nèi)的的各個部門或或者是業(yè)務(wù)團團隊自行評估估內(nèi)在風(fēng)險和內(nèi)部管理機機制?Resultsarecoordinatedandsharedwithintheentireorganization結(jié)果由組織整整體進行歸納納總結(jié)Selectingmultipleindicatorsthatcontributetoearlydetectionofheightenedrisk選定能能夠及及早預(yù)預(yù)期操操作風(fēng)風(fēng)險增增大的的多個個指標(biāo)標(biāo)?Monitoringoftheirmovements,andreactingpreemptivelyasnecessary跟蹤考考察其其變化化情況況，根根據(jù)需需要盡盡早制制定修修正措措施的的機制制▽Exampleofindicator重要風(fēng)風(fēng)險管管理指指標(biāo)的的例子子Operations：：Businessvolumes,customers’waitingtime,numberofclericalerrors,numberofcomplaintsreceived,etc.事務(wù)務(wù)層層面面：：事務(wù)務(wù)量、、柜臺臺等待待的時時間、、事務(wù)務(wù)失誤誤次數(shù)數(shù)、投投訴受受理次次數(shù)Computersystems：：Numberofmalfunctions,numberofstepsindevelopingprograms,utilizationratioofsystemdevicessuchasCPUs,storages,networktraffics,etc.電腦系統(tǒng)層層面：故障障次數(shù)、程程序開發(fā)等等級、CPU及磁盤等的的資源剩余余程度（比比率）KeyRiskIndicators重要風(fēng)險管管理指標(biāo)25III.AdvancingIntegratedRiskManagement強化整合風(fēng)風(fēng)險管理26SPP-III:““AdvancingIntegratedRiskManagement””報告－3：強化整合風(fēng)風(fēng)險管理Contents內(nèi)容Overviewofintegratedriskmanagementatfinancialinstitutions我國金融機機構(gòu)整合風(fēng)風(fēng)險管理概概要Integratedriskmanagementforuse:Issuestobeaddressedwithhighpriority整合風(fēng)險管管理當(dāng)前的的課題Otherissuestobediscussedforfurtherenhancingtheeffectivenessofintegratedriskmanagement強化整合風(fēng)風(fēng)險管理的的論點Useofintegratedriskmanagementincorporatemanagement整合風(fēng)險管管理在經(jīng)營營當(dāng)中的運運用SomerisksareveryimportantforJapanesebankstoaddress,butthemethodsforidentifyingthemhavenotyetbeenestablished,andthustheyaremanageddifferentlyfromonebankstoanother.Thepaperemphasizestheimportanceofincorporatingtheserisksintobanks’integratedriskmanagementframeworkaswellasothertraditionallywellidentifiedrisks.某些風(fēng)險急急需日本各各銀行應(yīng)對對，但還未未建立有效效識別的方方法，因此此各家銀行行對其處理理方式各異異。本報告告強調(diào)將這這些風(fēng)險與與其他已識識別的風(fēng)險險一起引入入銀行的整整合風(fēng)險管管理框架中中。SomegoodexamplesoftheuniqueriskstoJapanesebanksareriskassociatedwithpreferredstock,riskassociatedwithdeferredtaxassetsandriskassociatedwithloanstoborrowerswithstrongrelationship.日本銀行業(yè)業(yè)面臨的特特殊風(fēng)險包包括：優(yōu)先先股引起的的風(fēng)險、延延稅資產(chǎn)引引起的風(fēng)險險、由與銀銀行關(guān)系密密切的債務(wù)務(wù)人引起的的風(fēng)險。27FrameworkofIntegratedRiskManagement整合風(fēng)險險管理框框架RiskisquantifiedusingthestatisticalmethodbasedonthepastdatasuchasVaR.風(fēng)險的計計量多采采用關(guān)注注資產(chǎn)價價值變動動的ValueatRisk（VaR）手法。Allocatinghypotheticalcapitalforinternalcontrolpurposestoeachsectionwithinthescopeoftotalcapital.Eachsectionthenmanagestherisksothatitdoesnotexceedtheallocatedcapital.在總資本本量內(nèi)，，將內(nèi)部部風(fēng)險控控制預(yù)期期資本額額攤?cè)敫鞲鞑块T。。各部門門在攤?cè)肴腼L(fēng)險資本本限額內(nèi)內(nèi)進行管管理。Theprofitabilityofeachsectionisassessedintermsofreturnagainstrisk.信用風(fēng)險險扣除后后利潤當(dāng)當(dāng)作各部部門業(yè)績績的評估估指標(biāo)。。???---???---RiskcapitalQuantifiedriskAllocationofriskcapitalRiskcapitalcommensuratewithcreditriskRegulatorycapitalCreditriskMarketriskOp.riskProfitsmadebydepartmenteachsectionSecuringadequatecapitalrelativetoriskAssessingprofitabilityofeachdepartmentsectionintermsofreturnagainstriskRisktakingwithinthescopeofriskcapitalRiskcapitalcommensuratewithop.riskRiskcapitalcommensuratewithmarketrisk28OrganizationalFrameworks組織體制Riskmanagementsectionandtreasurysectionhaveco-jurisdictionoverintegratedriskmanagement.風(fēng)險管理部門門和財務(wù)部門門來共同負(fù)責(zé)責(zé)整合風(fēng)險管管理Itisdesirablethatriskmanagementsectionisindependentfromthefrontline.最好將風(fēng)險管管理部門與第第一線的業(yè)務(wù)務(wù)部門獨立開開來Ifdifficult,itisessentialtoensurethatsuchriskmanagementfunctionsinthefrontlinearesubjecttoproperchecksandbalancesthroughregularassessmentsbythird-party,thatis,internalaudits.若無無法法實實現(xiàn)現(xiàn)，，則則必必須須對對一一線線業(yè)業(yè)務(wù)務(wù)部部門門進進行行適適當(dāng)當(dāng)必必要要的的牽牽制制，，一一般般通通過過內(nèi)內(nèi)部部審審計計，，從從第第三三者者的的角角度度進進行行檢檢查查。。＜ExampleofanIntegratedRiskManagementSystemUsingCross??OrganizationalForums＞Executivecommittee,integratedriskmanagementcommittee,etc.Secretariat:Integratedriskmanagementsection,planning&financesectionIntegratedriskmanagementsection-Managesquantifiedriskaggregates-Managesoverallmarketrisk-Quantifiesop.riskCreditpolicyandplanningsection-ManagesoverallcreditriskOperations&systemspolicyandplanningsection-Managesoverallop.riskexcludingquantificationCompliancesection-OverallCompliance---???29IdentifyingRisk風(fēng)險險的的把把握握手手法法Whenidentifyingriskandriskamounts,itisimportanttoconsiderthescopeofriskstobecovered,holdingperiod,confidenceinterval,correlationbetweenrisks,andstresstesting.在把把握握風(fēng)風(fēng)險險種種類類和和程程度度時時，，必必需需要要考考慮慮風(fēng)險險對對象象的范范圍圍、、持有有期期限限、信信賴賴水水平平、、各各風(fēng)風(fēng)險險之之間間的的關(guān)關(guān)系系和和壓壓力力測測試試?yán)砝砟钅睢?。①Targetingrisk:creditrisk,marketrisk,interestriskassociatedwithbonds,op.risk,etc.：④Correlationbetweenrisks?NeedsofverifyingthestabilityofthecorrelationfrequencyamountoflossStresstesting?ComplementingthelimitofVaR?Focusofobjectivityvsfocusofflexibility↑Non-targetingrisk?Needsofconsideringhowtodealwiththeserisksintheintegratedriskmanagementframework③Confidenceintervals(e.g.99%,99.9%,99.97%)?Directlylinkedtomanagementjudgment②Holdingperiod:consistencywithinvestmentpoliciesofassets3months)⑤Stress30ComparingAllocatedCapitalandRisk攤?cè)肴胭Y資本本和和風(fēng)風(fēng)險險的的比比較較Reactiontothesituationwheretherisktakenexceedsallocatedriskcapitalisalitmustestofeffectivenessofintegratedriskmanagementsystem風(fēng)險險超超過過攤攤?cè)肴胭Y資本本時時的的應(yīng)應(yīng)對對措措施施，，是是對對整整合合風(fēng)風(fēng)險險管管理理機機制制的的有有效效檢檢驗驗。。(Possiblereactions)可能能的的應(yīng)應(yīng)對對措措施施Simplyreducingrisk,or直接接降降低低風(fēng)風(fēng)險險，，或或Identifyingtheextentofcapitalinadequacytobecorrected,anddrawingup(andimplementing)aconcreteplantoeliminateit.準(zhǔn)確確把把握握自有有資資本本缺缺口口程度度，，確確立立消消除除該該風(fēng)風(fēng)險險的的具具體體計計劃劃，，并并執(zhí)執(zhí)行行下下去去Whenthecapitaladequacyratiofallstotheregulatoryminimumlevel,itisimportanttocomparethepartwhichexceedsminimumlevelandrisk,andtherebyidentifystatisticallytheprobabilityofcapitalfallingbelow8%.當(dāng)自自有有資資本本比比率率低低于于管管制制水水準(zhǔn)準(zhǔn)時時，，應(yīng)應(yīng)對對低低于于管管制制水水平平部部分分進進行行分分析析比比較較，，進進而而統(tǒng)統(tǒng)計計資資本本降降至至低低于于8％的可能能性。<SampleComparisonsofCapitalandRisk>RiskTier1capitalTier2capitalRiskRiskpredicatedona99%confidencelevelRiskpredicatedonanX%confidencelevel?Possibilitythatthecapitaladequ