推進(jìn)金融機(jī)構(gòu)風(fēng)險(xiǎn)管理

AdvancingRiskManagement

byFinancialInstitutions

TheCaseofJapaneseBanks

推進(jìn)金融機(jī)構(gòu)風(fēng)險(xiǎn)管理：日本銀行業(yè)的經(jīng)驗(yàn)

TsuyoshiOyama

BankofJapan

日本銀行WorkshoponRiskManagementinBankingSector

商業(yè)銀行風(fēng)險(xiǎn)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(jìn)風(fēng)險(xiǎn)管理及日本銀行支持舉措的背景TopicsfromtheSoundPracticesPapersandDiscussionsintheSeminars

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“AdvancingCreditRiskManagementthroughInternalRatingSystems”以內(nèi)部評(píng)級(jí)制度為基礎(chǔ)強(qiáng)化信用風(fēng)險(xiǎn)管理

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

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

推進(jìn)日本金融機(jī)構(gòu)風(fēng)險(xiǎn)管理，特別強(qiáng)化信用風(fēng)險(xiǎn)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(xiǎn)的整體上調(diào)。Inthisnewenvironment,financialinstitutionsareexpectedtodevelopfurthercreativebusinessservicesthatmeettheneedsofcustomersthrough…

在新情況下，金融機(jī)構(gòu)預(yù)計(jì)可通過(guò)提供下列創(chuàng)新服務(wù)來(lái)滿足消費(fèi)者需求：Assessingvariousrisksnotonlyinaconservativewaybutalsoinanaccurateway.

穩(wěn)健而準(zhǔn)確地進(jìn)行風(fēng)險(xiǎn)評(píng)估。Inotherwords,financialinstitutionsareexpectedtograspeffectivelythevariousrisksinherentintheirbusiness(e.g.economicvalueanditsvolatilityofalltheassetstheypossessandtransactionstheyengagein),andalsotoestablishaframeworkthatmanagestheserisksinanintegratedway.

換句話說(shuō)，金融機(jī)構(gòu)預(yù)計(jì)能有效把握業(yè)務(wù)中存在的各種風(fēng)險(xiǎn)（例如，其擁有和參與交易的全部資產(chǎn)價(jià)值及波動(dòng))，并建立風(fēng)險(xiǎn)綜合管理機(jī)制Inaddition,BaselIIimplementationsurelypressuresbankstointensifytheaboveefforts.

此外，巴塞爾Ⅱ的出臺(tái)迫使銀行強(qiáng)化上述措施。3AdvancingRiskManagement---MeansWhat?

強(qiáng)化風(fēng)險(xiǎn)管理意味著什么？

Ourunderstandingof“advancingriskmanagement”

對(duì)“強(qiáng)化風(fēng)險(xiǎn)管理”的理解Enhancingthecommunicationtoolsamongstakeholders(seniormanagers,riskmanagers,shareholders,regulators,etc.)toreachaconsensusviewofriskprofileandamounts.

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(cè)及總量達(dá)成一致意見(jiàn)。NotnecessarilyindicatingamoreuseofGreeklettersandmathformula

無(wú)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(shuō)服力的風(fēng)險(xiǎn)評(píng)估工具Objectiveandpersuasiveriskassessmentsleadtohighertransparencyofriskmanagementprocessandtherebyclarifytheresponsibilityassociatedwithrisktakingactivitieshelpensurethedirectiontowardimprovingriskmanagement.

客觀而有說(shuō)服力的風(fēng)險(xiǎn)評(píng)估將增強(qiáng)風(fēng)險(xiǎn)管理過(guò)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Therearenobestpracticesofbanks’riskmanagement,whichcoulddifferdependingontheirfacingenvironmentsneedtoestablishtheincentivemechanismtoensurethedirectiontowardimprovingriskmanagement.

并不存在能隨市場(chǎng)環(huán)境變化而變化的銀行風(fēng)險(xiǎn)管理最佳方案需要建立激勵(lì)機(jī)制，以確保改善風(fēng)險(xiǎn)管理4BOJ’sInitiative(1)--PublicationofSoundPracticesPapers

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

5TheBankofJapanestablishedtheCenterforAdvancedFinancialTechnologyinJuly,2005.

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

這一新機(jī)構(gòu)的主要任務(wù)之一是發(fā)展除實(shí)地考查和非實(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)行溝通。Usingthethreesoundpracticepapersasthemainsubjects,theCenterhasalreadyhosted:以三份報(bào)告為主題，該中心已成功主辦：2seminarsforthelargenumberoffinancialinstitutionsfocusingonoverallriskmanagementissuesthataredealtwithbythreepapers,and

2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(wèn)題，以及12seminarsforregionalbanks(20—30banksforeach)focusingontheissuesthataredealtwithbyonepaperforeachseminar.

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

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

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＞FinancialSystemsDept.

金融體系部

PolicyPlanning

政策制訂InternationalIssues

國(guó)際事務(wù)BankExaminationandSurveillanceDept.

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

實(shí)地考查Off-siteMonitoring

非實(shí)地監(jiān)管FinancialSystemsandBankExaminationDept.

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

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

制訂和執(zhí)行InternationalIssues

國(guó)際事務(wù)On-siteExamination

實(shí)地考查Off-siteMonitoring

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

強(qiáng)化風(fēng)險(xiǎn)管理－－與巴塞爾Ⅱ

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

“強(qiáng)化風(fēng)險(xiǎn)管理”與“成功實(shí)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(guò)“自律”方式進(jìn)一步增強(qiáng)風(fēng)險(xiǎn)評(píng)估的“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。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(qiáng)化銀行風(fēng)險(xiǎn)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(shuō)服各銀行“按自身情況自行采取靈活方式”強(qiáng)化風(fēng)險(xiǎn)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(xiǎn)管理體系的情況。8“AdvancingCreditRiskManagement

throughInternalRatingSystems”

以內(nèi)部評(píng)級(jí)制度為基礎(chǔ)強(qiáng)化信用風(fēng)險(xiǎn)管理9SPP-I:“AdvancingCreditRiskManagement

throughInternalRatingSystems”

報(bào)告－I：以內(nèi)部評(píng)級(jí)制度為基礎(chǔ)強(qiáng)化信用風(fēng)險(xiǎn)管理Contents內(nèi)容Architectureofinternalratingsystem

內(nèi)部評(píng)級(jí)制度體系Ratingprocessandratingmodels

評(píng)級(jí)實(shí)施程序和評(píng)級(jí)模型Estimationofriskcomponents

風(fēng)險(xiǎn)要素推算Usesofinternalratingsystems

內(nèi)部評(píng)級(jí)制度的靈活運(yùn)用Validationofinternalratingsystems

內(nèi)部評(píng)級(jí)制度的驗(yàn)證Quantificationofcreditrisk

信用風(fēng)險(xiǎn)的計(jì)量化Thepapertriestoshowourthinkingofsoundpractices,beingcomparedwithcurrentpracticesofmajorbanksandtherebyfacilitatesmallbankstoconsiderthemastherealworldcases.

該報(bào)告介紹整合風(fēng)險(xiǎn)管理的方法，并與各大銀行目前做法比較，有助于指導(dǎo)小型銀行實(shí)際操作10FrameworkofAdvancingCreditRiskManagement強(qiáng)化信信用風(fēng)風(fēng)險(xiǎn)管管理設(shè)設(shè)想(Majordiscussionpointsintheseminars)Definitionofdefault,consistenttreatmentofcounterpartyrisksofmarkettransactions,dataintegrityrequiredforestimatingriskcomponents,concentrationriskcontrolmeasuresusingULoutcome,etc.（研討討會(huì)的的討論論要點(diǎn)點(diǎn)）違約的的定義義，市市場(chǎng)交交易伙伙伴風(fēng)風(fēng)險(xiǎn)的的協(xié)調(diào)調(diào)處理理，風(fēng)風(fēng)險(xiǎn)因因素評(píng)評(píng)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(xiǎn)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(píng)級(jí)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(píng)級(jí)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(xiàng)目評(píng)級(jí)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(píng)級(jí)的的因素(Majordiscussionpointsintheseminars)Theneedandusefulnessoffacilityratinggiventhewidespreaduseofuniquepledgesysteminlending,i.e.“pooledcollateralsystem””whereeachcollateralisnotlinkedtoeachtransactionsbuttoeachborrower.（研研討討會(huì)會(huì)的的討討論論要要點(diǎn)點(diǎn)））：：市市場(chǎng)場(chǎng)普普遍遍使使用用獨(dú)獨(dú)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(jìn)進(jìn)行行能能力力評(píng)評(píng)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(píng)級(jí)級(jí)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(píng)評(píng)級(jí)級(jí)制制度度和和風(fēng)風(fēng)險(xiǎn)險(xiǎn)因因素素恰恰當(dāng)當(dāng)?shù)牡男扌拚椒椒ǚā！?100CAPcurveofaperfectmodelCAPcurveofrandommodel(nodiscriminatorypower)CAPcurveofamodelbeingevaluated(%)ABAmodelhasmoreaccuracyasthecurvemovestotheupperleftRatioofcumulativenumberofdefaultedfirms100(%)ScoreNon-defaultedfirmsDefaultedfirmsNumber

offirmsArea(B)Area(A)+Area(B)AR＝RatingattheendoftheyearRatingatthebeginningoftheyearChecktheorderofmigrationratefromrating1tootherratingsChecktheorderofdefaultratesChecktheorderofmigrationratetorating7fromotherratingsDefault(Example2)15UseofInternalRatingSystems內(nèi)部評(píng)級(jí)制度度的靈活運(yùn)用用UseofInternalratingsystems內(nèi)部評(píng)級(jí)制度度的靈活運(yùn)用(LoanOrigination)（授信執(zhí)行階階段）Settinguppercreditlimitsbasedonratinggrades設(shè)定各個(gè)個(gè)評(píng)級(jí)的的授信限限額。Settingauthorityranksforloanapprovalbyratinggrade設(shè)定各個(gè)個(gè)評(píng)級(jí)的的授信決決定權(quán)限限。Simplifyingtheloanreviewprocessforhigher?gradedborrowers簡(jiǎn)化優(yōu)良良評(píng)級(jí)企企業(yè)的審審查程序序。(Monitoring)（中間管管理）Monitoringindividualborrowersbasedonratinggrades針對(duì)不不同的的評(píng)級(jí)級(jí)對(duì)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(gè)評(píng)評(píng)級(jí)PD的運(yùn)用用Quantificationofcreditriskandallocationofcapital信用風(fēng)風(fēng)險(xiǎn)的的計(jì)量量和資資本配配置Pricingofloanratesreflectingcreditrisk考慮信信用風(fēng)風(fēng)險(xiǎn)定定價(jià)（（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(jì)濟(jì)價(jià)值值Manybankshavealreadyusedtheinternalratingsystemsasindicatedintheabovewithsomeexceptionssuchasfacilityrating.許多家銀行行已經(jīng)建立立了除設(shè)備備評(píng)估外的的上述內(nèi)部部評(píng)級(jí)制度度。16II.AdvancingOperationalRisk強(qiáng)化操作風(fēng)風(fēng)險(xiǎn)管理17SPP-II:““AdvancingOperationalRiskManagement”報(bào)告－2：強(qiáng)化操作作風(fēng)險(xiǎn)管理理Contents內(nèi)容Characteristicsofopriskandtheneedtoadvanceopriskmanagement操作風(fēng)險(xiǎn)特特征和強(qiáng)化化操作風(fēng)險(xiǎn)險(xiǎn)管理的必必要性O(shè)verviewofeffortstoadvanceopriskmanagementandtheestablishmentofanopriskmanagementsection強(qiáng)化操作風(fēng)風(fēng)險(xiǎn)管理機(jī)機(jī)制的概要要和操作風(fēng)風(fēng)險(xiǎn)總括部部門設(shè)置Quantifyingoprisk操作風(fēng)險(xiǎn)的的計(jì)量Approachestoidentifyingandassessingopriskotherthanquantification計(jì)量以外的的操作風(fēng)險(xiǎn)險(xiǎn)的把握、、評(píng)估手法法Thepapertriestostriketherightbalancebetweentheimportanceofadvancingopriskmanagementusinge.g.riskquantificationmethodsandtheneedtomaintaintheconventionalopriskmanagementbyemphasizingtheircomplementarycharacteristics.該報(bào)告試圖圖探索新舊舊兩種操作作風(fēng)險(xiǎn)管理理的合理安安排，既突突出運(yùn)用風(fēng)風(fēng)險(xiǎn)計(jì)量方方法等手段段強(qiáng)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(xiǎn)管理，，發(fā)揮其補(bǔ)補(bǔ)充作用的的必要性。。18AdvancingOp.Risk---WhyNow？目前強(qiáng)化操操作風(fēng)險(xiǎn)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(kuò)大大等局面TheintroductionofBaselII（（allocationofcapitalforop.risk)引入巴塞爾爾Ⅱ（操作風(fēng)險(xiǎn)險(xiǎn)也必須計(jì)計(jì)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(guó)內(nèi)外企企業(yè)重大違違規(guī)事件的的攀升（社社會(huì)整體對(duì)對(duì)操作風(fēng)險(xiǎn)險(xiǎn)的關(guān)心程程度越來(lái)越越高）Newchallenges面臨的新挑挑戰(zhàn)Needtomanageop.riskmoreefficientlybyidentifyingop.riskprofileinafirm-widemannerandtherebyputtingsomepriorityontheirmanagement.金融機(jī)構(gòu)繼繼續(xù)增強(qiáng)內(nèi)內(nèi)在的綜合合把握、評(píng)評(píng)估操作風(fēng)風(fēng)險(xiǎn)的基礎(chǔ)礎(chǔ)上，進(jìn)一一步執(zhí)行有有張有弛的的風(fēng)險(xiǎn)管理理Needtoestablishstructuresthatcanquicklydetectheightenedriskandrespondappropriatelybeforetheriskmaterializes.提高操作風(fēng)風(fēng)險(xiǎn)增大的的預(yù)期能力力，完善在在操作風(fēng)險(xiǎn)險(xiǎn)發(fā)生前采采取穩(wěn)妥措措施的體制制Needtocreatemechanismsforautonomousriskmanagementinallsectionsoftheiroperations.各個(gè)現(xiàn)場(chǎng)建建立能夠自自律應(yīng)對(duì)操操作風(fēng)險(xiǎn)管管理的機(jī)制制19CharacteristicofOp.Risk操作風(fēng)險(xiǎn)特特征Formsofriskmaterialization風(fēng)險(xiǎn)顯現(xiàn)形形態(tài)Directloss,indirectlossorimpactincurredtothirdparties直接損失、間接損失失以及對(duì)第第三方帶來(lái)來(lái)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(xiǎn)發(fā)生的的主要原因因Itisnormallydifficulttonarrowdownthefactorscausingsuchrisktomaterialize,andquiteoften,itonlyemergeswhenseveralfactorscomeintoplaysimultaneously.操作風(fēng)險(xiǎn)通通常很難找找出特定的的風(fēng)險(xiǎn)顯現(xiàn)現(xiàn)的原因，，而且多個(gè)個(gè)原因共同同作用風(fēng)險(xiǎn)險(xiǎn)才體現(xiàn)出出來(lái)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(guó)國(guó)金融機(jī)機(jī)構(gòu)的操操作風(fēng)險(xiǎn)險(xiǎn)管理手手法Category項(xiàng)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(jìn)行事務(wù)指導(dǎo)

Strengtheningsystemssupport

強(qiáng)化系統(tǒng)支持Disciplineandmotivation

規(guī)律、動(dòng)機(jī)Humanresource(HR)managementandperformanceevaluations

人事層面的管理、業(yè)績(jī)?cè)u(píng)估Responsetoaccidentsandotherproblems

事件、事故對(duì)策Implementationofmeasurestopreventrecurrences

實(shí)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(dú)立審核21ConsiderationsofOp.RiskManagement操作風(fēng)險(xiǎn)險(xiǎn)管理時(shí)時(shí)考慮的的因素Theneedtocoverawiderangeofeventsandactivities需要管理理各種各各樣的事事情Itisdifficulttobreakdownriskintothecategoriesofexposureandriskfactors.對(duì)于操作作風(fēng)險(xiǎn)，，抽選出出與「風(fēng)風(fēng)險(xiǎn)暴露露」及「「風(fēng)險(xiǎn)要要素」相相當(dāng)?shù)捻?xiàng)項(xiàng)目是非非常困難難的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(xiǎn)險(xiǎn)存在于于組織內(nèi)內(nèi)任何一一個(gè)部門門Theimportanceofriskmanagementbasedonqualitativeinformation定性手法法的重要要性Itisnotalwayseasytomanagetheminaquantitativemanner.采用定定量手手法進(jìn)進(jìn)行風(fēng)風(fēng)險(xiǎn)管管理并并不容容易R(shí)eputationalandsystemicrisk聲望風(fēng)風(fēng)險(xiǎn)、、系統(tǒng)統(tǒng)風(fēng)險(xiǎn)險(xiǎn)Itisnecessarytotakeintoconsiderationoftheindirectlossandtheeffectonfinancialsystem.必須考慮慮非直接接因素造造成的損損失及其其對(duì)金融融系統(tǒng)的的影響。。(Majordiscussionpointsintheseminars)Theneedandmeritsofadvancingop.riskmanagementwithriskquantificationforregionalbanks,degreeofindependenceofopriskcontrolfunction,howtoquantifyopriskwhenfacinglackofinternaldataandnoexternaldata,levelofgranularityofoperationalprocessestobeexaminedbyCSA.（研討會(huì)的討討論要點(diǎn)）：：通過(guò)對(duì)區(qū)域域銀行風(fēng)險(xiǎn)計(jì)計(jì)量加強(qiáng)操作作風(fēng)險(xiǎn)管理的的必要性和價(jià)價(jià)值，操作風(fēng)風(fēng)險(xiǎn)控制功能能的獨(dú)立性，，缺乏充足內(nèi)內(nèi)部和外部數(shù)數(shù)據(jù)時(shí)如何計(jì)計(jì)量操作風(fēng)險(xiǎn)險(xiǎn)，CSA評(píng)估計(jì)量單位位的確定。22EstablishmentofanOperationalManagementSection操作風(fēng)險(xiǎn)總括括部門設(shè)置FunctionsofOperationalManagementSection操作風(fēng)險(xiǎn)總括括部門的作用用Plantheop.riskmanagementframeworkfortheentireinstitution.制定組織整體體的操作風(fēng)險(xiǎn)險(xiǎn)管理框架。。Collectandanalyzeinformationonaccidentsandotherproblems,computersystemmalfunctions,andclericalerrorsarisingineachsection,thenreporttothemanagement.收集并分析各各個(gè)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(yíng)者進(jìn)行行報(bào)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(píng)估并指導(dǎo)導(dǎo)各個(gè)部門門的操作風(fēng)風(fēng)險(xiǎn)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(xiǎn)的的計(jì)量Considerations考慮因素Appropriatecollection,classificationandupdateoflossdata.合理進(jìn)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(jì)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(jì)計(jì)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(xiǎn)管理自我我評(píng)估和重要風(fēng)險(xiǎn)管管理指標(biāo)ControlofSelf-Assessments風(fēng)險(xiǎn)管理自我我評(píng)估Individualsectionsorbusinesslineswithinafinancialinstitutionevaluateinherentriskandinternalcontrolconditionsontheirown金融機(jī)構(gòu)內(nèi)的的各個(gè)部門或或者是業(yè)務(wù)團(tuán)團(tuán)隊(duì)自行評(píng)估估內(nèi)在風(fēng)險(xiǎn)和內(nèi)部管理機(jī)機(jī)制?Resultsarecoordinatedandsharedwithintheentireorganization結(jié)果由組織整整體進(jìn)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(xiǎn)增增大的的多個(gè)個(gè)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(jī)制制▽Exampleofindicator重要風(fēng)風(fēng)險(xiǎn)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(tái)臺(tái)等待待的時(shí)時(shí)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(kāi)發(fā)等等級(jí)、CPU及磁盤等的的資源剩余余程度（比比率）KeyRiskIndicators重要風(fēng)險(xiǎn)管管理指標(biāo)25III.AdvancingIntegratedRiskManagement強(qiáng)化整合風(fēng)風(fēng)險(xiǎn)管理26SPP-III:““AdvancingIntegratedRiskManagement””報(bào)告－3：強(qiáng)化整合風(fēng)風(fēng)險(xiǎn)管理Contents內(nèi)容Overviewofintegratedriskmanagementatfinancialinstitutions我國(guó)金融機(jī)機(jī)構(gòu)整合風(fēng)風(fēng)險(xiǎn)管理概概要Integratedriskmanagementforuse:Issuestobeaddressedwithhighpriority整合風(fēng)險(xiǎn)管管理當(dāng)前的的課題Otherissuestobediscussedforfurtherenhancingtheeffectivenessofintegratedriskmanagement強(qiáng)化整合風(fēng)風(fēng)險(xiǎn)管理的的論點(diǎn)Useofintegratedriskmanagementincorporatemanagement整合風(fēng)險(xiǎn)管管理在經(jīng)營(yíng)營(yíng)當(dāng)中的運(yùn)運(yùn)用SomerisksareveryimportantforJapanesebankstoaddress,butthemethodsforidentifyingthemhavenotyetbeenestablished,andthustheyaremanageddifferentlyfromonebankstoanother.Thepaperemphasizestheimportanceofincorporatingtheserisksintobanks’integratedriskmanagementframeworkaswellasothertraditionallywellidentifiedrisks.某些風(fēng)險(xiǎn)急急需日本各各銀行應(yīng)對(duì)對(duì)，但還未未建立有效效識(shí)別的方方法，因此此各家銀行行對(duì)其處理理方式各異異。本報(bào)告告強(qiáng)調(diào)將這這些風(fēng)險(xiǎn)與與其他已識(shí)識(shí)別的風(fēng)險(xiǎn)險(xiǎn)一起引入入銀行的整整合風(fēng)險(xiǎn)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(xiǎn)包包括：優(yōu)先先股引起的的風(fēng)險(xiǎn)、延延稅資產(chǎn)引引起的風(fēng)險(xiǎn)險(xiǎn)、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(xiǎn)。27FrameworkofIntegratedRiskManagement整合風(fēng)險(xiǎn)險(xiǎn)管理框框架RiskisquantifiedusingthestatisticalmethodbasedonthepastdatasuchasVaR.風(fēng)險(xiǎn)的計(jì)計(jì)量多采采用關(guān)注注資產(chǎn)價(jià)價(jià)值變動(dòng)動(dòng)的ValueatRisk（VaR）手法。Allocatinghypotheticalcapitalforinternalcontrolpurposestoeachsectionwithinthescopeoftotalcapital.Eachsectionthenmanagestherisksothatitdoesnotexceedtheallocatedcapital.在總資本本量?jī)?nèi)，，將內(nèi)部部風(fēng)險(xiǎn)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(xiǎn)資本本限額內(nèi)內(nèi)進(jìn)行管管理。Theprofitabilityofeachsectionisassessedintermsofreturnagainstrisk.信用風(fēng)險(xiǎn)險(xiǎn)扣除后后利潤(rùn)當(dāng)當(dāng)作各部部門業(yè)績(jī)績(jī)的評(píng)估估指標(biāo)。。???---???---RiskcapitalQuantifiedriskAllocationofriskcapitalRiskcapitalcommensuratewithcreditriskRegulatorycapitalCreditriskMarketriskOp.riskProfitsmadebydepartmenteachsectionSecuringadequatecapitalrelativetoriskAssessingprofitabilityofeachdepartmentsectionintermsofreturnagainstriskRisktakingwithinthescopeofriskcapitalRiskcapitalcommensuratewithop.riskRiskcapitalcommensuratewithmarketrisk28OrganizationalFrameworks組織體制Riskmanagementsectionandtreasurysectionhaveco-jurisdictionoverintegratedriskmanagement.風(fēng)險(xiǎn)管理部門門和財(cái)務(wù)部門門來(lái)共同負(fù)責(zé)責(zé)整合風(fēng)險(xiǎn)管管理Itisdesirablethatriskmanagementsectionisindependentfromthefrontline.最好將風(fēng)險(xiǎn)管管理部門與第第一線的業(yè)務(wù)務(wù)部門獨(dú)立開(kāi)開(kāi)來(lái)Ifdifficult,itisessentialtoensurethatsuchriskmanagementfunctionsinthefrontlinearesubjecttoproperchecksandbalancesthroughregularassessmentsbythird-party,thatis,internalaudits.若無(wú)無(wú)法法實(shí)實(shí)現(xiàn)現(xiàn)，，則則必必須須對(duì)對(duì)一一線線業(yè)業(yè)務(wù)務(wù)部部門門進(jìn)進(jìn)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(guò)過(guò)內(nèi)內(nèi)部部審審計(jì)計(jì)，，從從第第三三者者的的角角度度進(jìn)進(jìn)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(xiǎn)險(xiǎn)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(xiǎn)險(xiǎn)種種類類和和程程度度時(shí)時(shí)，，必必需需要要考考慮慮風(fēng)險(xiǎn)險(xiǎn)對(duì)對(duì)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(xiǎn)險(xiǎn)之之間間的的關(guān)關(guān)系系和和壓壓力力測(cè)測(cè)試試?yán)砝砟钅?。。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(xiǎn)險(xiǎn)的的比比較較Reactiontothesituationwheretherisktakenexceedsallocatedriskcapitalisalitmustestofeffectivenessofintegratedriskmanagementsystem風(fēng)險(xiǎn)險(xiǎn)超超過(guò)過(guò)攤攤?cè)肴胭Y資本本時(shí)時(shí)的的應(yīng)應(yīng)對(duì)對(duì)措措施施，，是是對(duì)對(duì)整整合合風(fēng)風(fēng)險(xiǎn)險(xiǎn)管管理理機(jī)機(jī)制制的的有有效效檢檢驗(yàn)驗(yàn)。。(Possiblereactions)可能能的的應(yīng)應(yīng)對(duì)對(duì)措措施施Simplyreducingrisk,or直接接降降低低風(fēng)風(fēng)險(xiǎn)險(xiǎn)，，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(xiǎn)險(xiǎn)的的具具體體計(jì)計(jì)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(shí)時(shí)，，應(yīng)應(yīng)對(duì)對(duì)低低于于管管制制水水平平部部分分進(jìn)進(jìn)行行分分析析比比較較，，進(jìn)進(jìn)而而統(tǒng)統(tǒng)計(jì)計(jì)資資本本降降至至低低于于8％的可能能性。<SampleComparisonsofCapitalandRisk>RiskTier1capitalTier2capitalRiskRiskpredicatedona99%confidencelevelRiskpredicatedonanX%confidencelevel?Possibilitythatthecapitaladequ