推進(jìn)金融機(jī)構(gòu)風(fēng)險(xiǎn)管理之日本金融銀行業(yè)的經(jīng)驗(yàn)

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。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4TheBankofJapanreleasedthefollowingthreepapersattheendofJuly,2005.日本銀行于2001年7月公布以下三份報(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HP：http://www.boj.or.jp/en/set/05/set_f.htmThesepapersdrawontheissuesandmeasures,onwhichtheBankofJapanintendstousetostartin-depthdiscussionsofriskmanagementwithfinancialinstitutionsatthetimeofouron-siteexaminationsandoff-sitemonitoring.

日本銀行將就上述報(bào)告提出的問(wèn)題和措施，在進(jìn)行實(shí)地考查和非實(shí)地監(jiān)管時(shí)，與各金融機(jī)構(gòu)進(jìn)行探討。

MainsubjectsofthethreepapersroughlycorrespondtotheissuesofimplementingIRB,AMAandPillarIIundertheBaselII

上述三份報(bào)告的主題都與巴塞爾Ⅱ出臺(tái)的IRB,AMAandPillarII的規(guī)定相關(guān)。BOJ’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)化信用風(fēng)險(xiǎn)管理設(shè)想

(Majordiscussionpointsintheseminars)Definitionofdefault,consistenttreatmentofcounterpartyrisksofmarkettransactions,dataintegrityrequiredforestimatingriskcomponents,concentrationriskcontrolmeasuresusingULoutcome,etc.

（研討會(huì)的討論要點(diǎn)）違約的定義，市場(chǎng)交易伙伴風(fēng)險(xiǎn)的協(xié)調(diào)處理，風(fēng)險(xiǎn)因素評(píng)估所需要的資料整合，利用UL成果集中風(fēng)險(xiǎn)管理措施。MigrationmatrixProbabilityofdefault

(PD)InternaluseRiskComponentsLossgivendefault(LGD)Exposureatdefault(EAD)CorrelationCalculationofcreditriskamountExpectedloss(EL)Unexpectedloss(UL)StresstestingPortfoliomonitoringProvisioningPricingProfitmanagementCapitalallocationQuantificationofcreditriskReportingto

theBoardInternalratingQuantitativeevaluationFinancialdataQualitativeevaluation<Internalratingsystems>11ProcessofinternalRatingsModelestimatingPDsofobligors(LogitorProbitmodel）債務(wù)人PD推算模型Modelestimatingexternalratings外部評(píng)級(jí)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)需要的定量要素和定性要素

ExamplesofQuantitativeFactors

定量要素事例

ExamplesofQualitativeFactors

定性要素事例

ExamplesofFactorsDeterminingFacilityRatings項(xiàng)目評(píng)級(jí)的要素事例

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)的因素(Majordiscussionpointsintheseminars)Theneedandusefulnessoffacilityratinggiventhewidespreaduseofuniquepledgesysteminlending,i.e.“pooledcollateralsystem”whereeachcollateralisnotlinkedtoeachtransactionsbuttoeachborrower.

（研討會(huì)的討論要點(diǎn)）：市場(chǎng)普遍使用獨(dú)特貸款抵押制度，即抵押融資與債務(wù)人而非交易相關(guān)聯(lián)的“集資抵押體系”下，進(jìn)行能力評(píng)估的必要性和有效性。Onedimensionalsystembasesfacilityratingsonborrowerratingsandmakesupwardordownwardadjustmentstothegradesasnecessarytoreflectthecharacteristicsoftheloantransactionconcerned.Atwo?dimensionalsystemcombinesborrowerratingswithevaluationofthefeaturesofindividualloantransactionsindependentofborrowers(e.g.,ratingsbasedonLGD).Grade123……910Grade123……910GradeABC……IJBorrowerratings(1to10)Facilityratings(AtoJ)(One-dimensionalsystem)BorrowerratingsFacilityratings(AtoJ)(Two?dimensionalsystem)RatingsbasedonLGDBorrowerratings14HowtoValidateRatingModel?

評(píng)級(jí)模型的修正

Manybanksincludingmajoronesarestillseekingfortheappropriatevalidationmethodsofinternalratingsystemsandriskcomponents.

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)因素恰當(dāng)?shù)男拚椒ā?100CAPcurveofa

perfectmodelCAPcurveofrandommodel

(nodiscriminatorypower)CAPcurveofamodelbeingevaluated(%)ABAmodelhasmoreaccuracyasthecurvemovestotheupperleftRatioofcumulativenumberof

defaultedfirms100(%)ScoreNon-defaulted

firmsDefaultedfirmsNumber

offirmsArea(B)Area(A)+Area(B)AR＝RatingattheendoftheyearRatingatthebeginningoftheyearChecktheorderofmigrationratefromrating1tootherratingsChecktheorderofdefaultratesChecktheorderofmigrationratetorating7fromotherratingsDefault(Example2)15UseofInternalRatingSystems內(nèi)部評(píng)級(jí)制度的靈活運(yùn)用

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

（授信執(zhí)行階段）

Settinguppercreditlimitsbasedonratinggrades設(shè)定各個(gè)評(píng)級(jí)的授信限額。Settingauthorityranksforloanapprovalbyratinggrade設(shè)定各個(gè)評(píng)級(jí)的授信決定權(quán)限。Simplifyingtheloanreviewprocessforhigher?gradedborrowers簡(jiǎn)化優(yōu)良評(píng)級(jí)企業(yè)的審查程序。(Monitoring)（中間管理）Monitoringindividualborrowersbasedonratinggrades針對(duì)不同的評(píng)級(jí)對(duì)授信企業(yè)的管理Monitoringtheoverallloanportfolio把握授信資產(chǎn)組合整體的信用狀況。UsesofPDforeachratinggrade各個(gè)評(píng)級(jí)PD的運(yùn)用Quantificationofcreditriskandallocationofcapital信用風(fēng)險(xiǎn)的計(jì)量和資本配置Pricingofloanratesreflectingcreditrisk考慮信用風(fēng)險(xiǎn)定價(jià)（設(shè)定貸款基準(zhǔn)利率）Evaluatingtheeconomicvalueofloans把握貸款的經(jīng)濟(jì)價(jià)值Manybankshavealreadyusedtheinternalratingsystemsasindicatedintheabovewithsomeexceptionssuchasfacilityrating.

許多家銀行已經(jīng)建立了除設(shè)備評(píng)估外的上述內(nèi)部評(píng)級(jí)制度。16II.AdvancingOperationalRisk

強(qiáng)化操作風(fēng)險(xiǎn)管理

17SPP-II:“AdvancingOperationalRiskManagement”

報(bào)告－2：強(qiáng)化操作風(fēng)險(xiǎn)管理

Contents

內(nèi)容Characteristicsofopriskandtheneedtoadvanceopriskmanagement

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)verviewofeffortstoadvanceopriskmanagementandtheestablishmentofanopriskmanagementsection

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Quantifyingoprisk

操作風(fēng)險(xiǎn)的計(jì)量Approachestoidentifyingandassessingopriskotherthanquantification

計(jì)量以外的操作風(fēng)險(xiǎn)的把握、評(píng)估手法Thepapertriestostriketherightbalancebetweentheimportanceofadvancingopriskmanagementusinge.g.riskquantificationmethodsandtheneedtomaintaintheconventionalopriskmanagementbyemphasizingtheircomplementarycharacteristics.

該報(bào)告試圖探索新舊兩種操作風(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，又考慮到維持傳統(tǒng)操作風(fēng)險(xiǎn)管理，發(fā)揮其補(bǔ)充作用的必要性。18AdvancingOp.Risk---WhyNow？

目前強(qiáng)化操作風(fēng)險(xiǎn)管理的原因何在？

ChangesintheenvironmentsurroundingFIs’operations

圍繞FIs’operations的外部環(huán)境變化Businessdiversification,moresophisticatedfinancialtechnologies,widelyusedITandoutsourcing.

業(yè)務(wù)多元化、金融技術(shù)高端化，業(yè)務(wù)處理的IT化、外包規(guī)模的擴(kuò)大等局面TheintroductionofBaselII（allocationofcapitalforop.risk)

引入巴塞爾Ⅱ（操作風(fēng)險(xiǎn)也必須計(jì)提自有資本）Majordisastersuchasearthquakes,terroristattacksanduncoveringofseriouscorporatescandals(societyisincreasinglyawareoftheneedforthefirms’managementofop.risk).

最近發(fā)生的地震、恐怖事件等大規(guī)模災(zāi)害，以及國(guó)內(nèi)外企業(yè)重大違規(guī)事件的攀升（社會(huì)整體對(duì)操作風(fēng)險(xiǎn)的關(guān)心程度越來(lái)越高）

Newchallenges面臨的新挑戰(zhàn)Needtomanageop.riskmoreefficientlybyidentifyingop.riskprofileinafirm-widemannerandtherebyputtingsomepriorityontheirmanagement.金融機(jī)構(gòu)繼續(xù)增強(qiáng)內(nèi)在的綜合把握、評(píng)估操作風(fēng)險(xiǎn)的基礎(chǔ)上，進(jìn)一步執(zhí)行有張有弛的風(fēng)險(xiǎn)管理Needtoestablishstructuresthatcanquicklydetectheightenedriskandrespondappropriatelybeforetheriskmaterializes.提高操作風(fēng)險(xiǎn)增大的預(yù)期能力，完善在操作風(fēng)險(xiǎn)發(fā)生前采取穩(wěn)妥措施的體制Needtocreatemechanismsforautonomousriskmanagementinallsectionsoftheiroperations.各個(gè)現(xiàn)場(chǎng)建立能夠自律應(yīng)對(duì)操作風(fēng)險(xiǎn)管理的機(jī)制19CharacteristicofOp.Risk操作風(fēng)險(xiǎn)特征Formsofriskmaterialization風(fēng)險(xiǎn)顯現(xiàn)形態(tài)Directloss,indirectlossorimpactincurredtothirdparties

直接損失、間接損失以及對(duì)第三方帶來(lái)的損失Highfrequencyandlowseverityorlowfrequencyandhighseverity

“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”Causesofriskmaterialization風(fēng)險(xiǎn)發(fā)生的主要原因Itisnormallydifficulttonarrowdownthefactorscausingsuchrisktomaterialize,andquiteoften,itonlyemergeswhenseveralfactorscomeintoplaysimultaneously.操作風(fēng)險(xiǎn)通常很難找出特定的風(fēng)險(xiǎn)顯現(xiàn)的原因，而且多個(gè)原因共同作用風(fēng)險(xiǎn)才體現(xiàn)出來(lái)的情況也不在少數(shù)。Small?scaleproblemsoccurringatrelativelyhighfrequencyProblemsthatdonotoccuroftenbuthavesevere

consequenceswhentheydooccur[DistributionofLossesArisingfromtheMaterializationofOp.Risk]FrequencyAmountoflossoflossesFrequency[DistributionofProfits/Losses(Losses/Gains)ArisingfromtheMaterializationofMarketRisk]Amountofprofits/lossesProfits/lossesaredistributedmoreorlesssymmetricallyaroundthemean(closetozero)20ConventionalOperationalRiskManagementMethods以前我國(guó)金融機(jī)構(gòu)的操作風(fēng)險(xiǎn)管理手法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)管理時(shí)考慮的因素Theneedtocoverawiderangeofeventsandactivities

需要管理各種各樣的事情Itisdifficulttobreakdownriskintothecategoriesofexposureandriskfactors.

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)捻?xiàng)目是非常困難的Theneedforriskcontrolinallsectionswithintheinstitution管理組織內(nèi)所有部門的必要性O(shè)p.riskexistsinallsectionsthroughouttheinstitution.

操作風(fēng)險(xiǎn)存在于組織內(nèi)任何一個(gè)部門Theimportanceofriskmanagementbasedonqualitativeinformation定性手法的重要性Itisnotalwayseasytomanagetheminaquantitativemanner.

采用定量手法進(jìn)行風(fēng)險(xiǎn)管理并不容易R(shí)eputationalandsystemicrisk

聲望風(fēng)險(xiǎn)、系統(tǒng)風(fēng)險(xiǎn)Itisnecessarytotakeintoconsiderationoftheindirectlossandtheeffectonfinancialsystem.

必須考慮非直接因素造成的損失及其對(duì)金融系統(tǒng)的影響。(Majordiscussionpointsintheseminars)Theneedandmeritsofadvancingop.riskmanagementwithriskquantificationforregionalbanks,degreeofindependenceofopriskcontrolfunction,howtoquantifyopriskwhenfacinglackofinternaldataandnoexternaldata,levelofgranularityofoperationalprocessestobeexaminedbyCSA.

（研討會(huì)的討論要點(diǎn)）：通過(guò)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)估計(jì)量單位的確定。22EstablishmentofanOperationalManagementSection

操作風(fēng)險(xiǎn)總括部門設(shè)置FunctionsofOperationalManagementSection操作風(fēng)險(xiǎn)總括部門的作用Plantheop.riskmanagementframeworkfortheentireinstitution.

制定組織整體的操作風(fēng)險(xiǎn)管理框架。Collectandanalyzeinformationonaccidentsandotherproblems,computersystemmalfunctions,andclericalerrorsarisingineachsection,thenreporttothemanagement.

收集并分析各個(gè)部門發(fā)生的事件、事故，電腦系統(tǒng)故障、事務(wù)操作失誤等資料，向經(jīng)營(yíng)者進(jìn)行報(bào)告。Examinetheadequacyandconsistencyofprocessesandprocedures(P&P).

審查業(yè)務(wù)規(guī)程和手續(xù)的合理性、連續(xù)性。Evaluateandguidetheoperationalriskmanagementsituation.

評(píng)估并指導(dǎo)各個(gè)部門的操作風(fēng)險(xiǎn)管理狀況StructureofOperationalManagementSection部門結(jié)構(gòu)IntegratedRiskManagementSection（systemrisk）ITSystemPlanningSectionSystemRiskManagementSectionOperationalManagementSectionComplianceManagementSection（operational）（compliance）ComputerCenterHeadOffice,BranchOffice①②①②④①②③④①④○number:functionweakrelationshipOperationsPlanningSection23QuantificationofOp.Risk操作風(fēng)險(xiǎn)的計(jì)量Considerations考慮因素

Appropriatecollection,classificationandupdateoflossdata.

合理進(jìn)行數(shù)據(jù)搜集、分類和遺失數(shù)據(jù)的更新Selectionofmodelwhichisabletoidentifycasesoflosseswithlowfrequencybuthighseverity.

選擇能捕捉“發(fā)生頻率低但是損失規(guī)模大”事件的計(jì)量模型Settinggroupunitsforquantification.

為量化分析設(shè)立單位組Introducinghypotheticaldatabasedonexternaldataorscenarioanalysesintoquantitativemodels.

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Usingqualitativedatatorevisethequantificationresults.

用定性資料修訂定量分析得到的結(jié)果LossamountperlosseventNumberoflosseventsoccurringperyearFrequencyFrequencydistributionoflossevents(peryear)---e.g.PoissondistributionOp.riskamount((99.0%VaR)Op.riskamount(99.9%VaR)Annualcumulativelossamount③Cumulativelossamountdistributionforoneyear④①②FrequencyFrequencyDistributionoflossamountperlossevent---e.g.log?normaldistribution24ControlofSelf-AssessmentsandKeyRiskIndicators風(fēng)險(xiǎn)管理自我評(píng)估和重要風(fēng)險(xiǎn)管理指標(biāo)

ControlofSelf-Assessments風(fēng)險(xiǎn)管理自我評(píng)估Individualsectionsorbusinesslineswithinafinancialinstitutionevaluateinherentriskandinternalcontrolconditionsontheirown

金融機(jī)構(gòu)內(nèi)的各個(gè)部門或者是業(yè)務(wù)團(tuán)隊(duì)自行評(píng)估內(nèi)在風(fēng)險(xiǎn)和內(nèi)部管理機(jī)制

?Resultsarecoordinatedandsharedwithintheentireorganization

結(jié)果由組織整體進(jìn)行歸納總結(jié)Selectingmultipleindicatorsthatcontributetoearlydetectionofheightenedrisk

選定能夠及早預(yù)期操作風(fēng)險(xiǎn)增大的多個(gè)指標(biāo)?Monitoringoftheirmovements,andreactingpreemptively

asnecessary

跟蹤考察其變化情況，根據(jù)需要盡早制定修正措施的機(jī)制▽Exampleofindicator重要風(fēng)險(xiǎn)管理指標(biāo)的例子Operations：Businessvolumes,customers’waitingtime,numberofclericalerrors,numberofcomplaintsreceived,etc.

事務(wù)層面：事務(wù)量、柜臺(tái)等待的時(shí)間、事務(wù)失誤次數(shù)、投訴受理次數(shù)Computersystems：Numberofmalfunctions,numberofstepsindevelopingprograms,utilizationratioofsystemdevicessuchasCPUs,storages,networktraffics,etc.

電腦系統(tǒng)層面：故障次數(shù)、程序開發(fā)等級(jí)、CPU及磁盤等的資源剩余程度（比率）KeyRiskIndicators重要風(fēng)險(xiǎn)管理指標(biāo)25III.AdvancingIntegratedRiskManagement

強(qiáng)化整合風(fēng)險(xiǎn)管理26SPP-III:“AdvancingIntegratedRiskManagement”

報(bào)告－3：強(qiáng)化整合風(fēng)險(xiǎn)管理Contents

內(nèi)容Overviewofintegratedriskmanagementatfinancialinstitutions

我國(guó)金融機(jī)構(gòu)整合風(fēng)險(xiǎn)管理概要Integratedriskmanagementforuse:Issuestobeaddressedwithhighpriority

整合風(fēng)險(xiǎn)管理當(dāng)前的課題Otherissuestobediscussedforfurtherenhancingtheeffectivenessofintegratedriskmanagement

強(qiáng)化整合風(fēng)險(xiǎn)管理的論點(diǎn)Useofintegratedriskmanagementincorporatemanagement

整合風(fēng)險(xiǎn)管理在經(jīng)營(yíng)當(dāng)中的運(yùn)用SomerisksareveryimportantforJapanesebankstoaddress,butthemethodsforidentifyingthemhavenotyetbeenestablished,andthustheyaremanageddifferentlyfromonebankstoanother.Thepaperemphasizestheimportanceofincorporatingtheserisksintobanks’integratedriskmanagementframeworkaswellasothertraditionallywellidentifiedrisks.

某些風(fēng)險(xiǎn)急需日本各銀行應(yīng)對(duì)，但還未建立有效識(shí)別的方法，因此各家銀行對(duì)其處理方式各異。本報(bào)告強(qiáng)調(diào)將這些風(fēng)險(xiǎn)與其他已識(shí)別的風(fēng)險(xiǎn)一起引入銀行的整合風(fēng)險(xiǎn)管理框架中。SomegoodexamplesoftheuniqueriskstoJapanesebanksareriskassociatedwithpreferredstock,riskassociatedwithdeferredtaxassetsandriskassociatedwithloanstoborrowerswithstrongrelationship.

日本銀行業(yè)面臨的特殊風(fēng)險(xiǎn)包括：優(yōu)先股引起的風(fēng)險(xiǎn)、延稅資產(chǎn)引起的風(fēng)險(xiǎn)、由與銀行關(guān)系密切的債務(wù)人引起的風(fēng)險(xiǎn)。27FrameworkofIntegratedRiskManagement整合風(fēng)險(xiǎn)管理框架RiskisquantifiedusingthestatisticalmethodbasedonthepastdatasuchasVaR.

風(fēng)險(xiǎn)的計(jì)量多采用關(guān)注資產(chǎn)價(jià)值變動(dòng)的ValueatRisk（VaR）手法。Allocatinghypotheticalcapitalforinternalcontrolpurposestoeachsectionwithinthescopeoftotalcapital.Eachsectionthenmanagestherisksothatitdoesnotexceedtheallocatedcapital.

在總資本量?jī)?nèi)，將內(nèi)部風(fēng)險(xiǎn)控制預(yù)期資本額攤?cè)敫鞑块T。各部門在攤?cè)腼L(fēng)險(xiǎn)資本限額內(nèi)進(jìn)行管理。Theprofitabilityofeachsectionisassessedintermsofreturnagainstrisk.

信用風(fēng)險(xiǎn)扣除后利潤(rùn)當(dāng)作各部門業(yè)績(jī)的評(píng)估指標(biāo)。???---???---RiskcapitalQuantifiedriskAllocationofriskcapitalRiskcapitalcommensuratewithcreditriskRegulatorycapitalCreditriskMarketriskOp.riskProfitsmadebydepartmenteachsectionSecuringadequatecapitalrelativetoriskAssessingprofitabilityofeachdepartmentsectionintermsofreturnagainstriskRisktakingwithinthescopeofriskcapitalRiskcapitalcommensuratewithop.riskRiskcapitalcommensuratewithmarketrisk28OrganizationalFrameworks

組織體制Riskmanagementsectionandtreasurysectionhaveco-jurisdictionoverintegratedriskmanagement.

風(fēng)險(xiǎn)管理部門和財(cái)務(wù)部門來(lái)共同負(fù)責(zé)整合風(fēng)險(xiǎn)管理Itisdesirablethatriskmanagementsectionisindependentfromthefrontline.

最好將風(fēng)險(xiǎn)管理部門與第一線的業(yè)務(wù)部門獨(dú)立開來(lái)Ifdifficult,itisessentialtoensurethatsuchriskmanagementfunctionsinthefrontlinearesubjecttoproperchecksandbalancesthroughregularassessmentsbythird-party,thatis,internalaudits.

若無(wú)法實(shí)現(xiàn)，則必須對(duì)一線業(yè)務(wù)部門進(jìn)行適當(dāng)必要的牽制，一般通過(guò)內(nèi)部審計(jì)，從第三者的角度進(jìn)行檢查。＜ExampleofanIntegratedRiskManagementSystemUsingCross?OrganizationalForums＞Executivecommittee,integratedriskmanagementcommittee,etc.Secretariat:Integratedriskmanagementsection,planning&financesectionIntegratedriskmanagementsection-Managesquantifiedriskaggregates-Managesoverallmarketrisk-Quantifiesop.riskCreditpolicyandplanningsection-ManagesoverallcreditriskOperations&systemspolicyandplanningsection-Managesoverallop.riskexcludingquantificationCompliancesection-OverallCompliance---???29IdentifyingRisk

風(fēng)險(xiǎn)的把握手法Whenidentifyingriskandriskamounts,itisimportanttoconsiderthescopeofriskstobecovered,holdingperiod,confidenceinterval,correlationbetweenrisks,andstresstesting.

在把握風(fēng)險(xiǎn)種類和程度時(shí)，必需要考慮風(fēng)險(xiǎn)對(duì)象的范圍、持有期限、信賴水平、各風(fēng)險(xiǎn)之間的關(guān)系和壓力測(cè)試?yán)砟睢?/p>

①Targetingrisk:creditrisk,marketrisk,interestriskassociatedwithbonds,op.risk,etc.：

④Correlationbetweenrisks

?Needsofverifyingthestabilityofthecorrelation

frequency

amountofloss

Stresstesting

?

ComplementingthelimitofVaR?

Focusofobjectivityvsfocusofflexibility↑

Non-targetingrisk

?

Needsofconsideringhowtodealwiththeserisksintheintegratedriskmanagementframework

③Confidenceintervals(e.g.99%,99.9%,99.97%)

?

Directlylinkedtomanagementjudgment

②Holdingperiod:consistencywithinvestmentpoliciesofassets

（e.g.creditriskandinterestriskfor1yearandmarketriskfor3months)

⑤Stress30ComparingAllocatedCapitalandRisk

攤?cè)胭Y本和風(fēng)險(xiǎn)的比較Reactiontothesituationwheretherisktakenexceedsallocatedriskcapitalisalitmustestofeffectivenessofintegratedriskmanagementsystem

風(fēng)險(xiǎn)超過(guò)攤?cè)胭Y本時(shí)的應(yīng)對(duì)措施，是對(duì)整合風(fēng)險(xiǎn)管理機(jī)制的有效檢驗(yàn)。(Possiblereactions)可能的應(yīng)對(duì)措施Simplyreducingrisk,or直接降低風(fēng)險(xiǎn)，或Identifyingtheextentofcapitalinadequacytobecorrected,anddrawingup(andimplementing)aconcreteplantoeliminateit.準(zhǔn)確把握自有資本缺口程度，確立消除該風(fēng)險(xiǎn)的具體計(jì)劃，并執(zhí)行下去Whenthecapitaladequacyratiofallstotheregulatoryminimumlevel,itisimportanttocomparethepartwhichexceedsminimumlevelandrisk,andtherebyidentifystatisticallytheprobabilityofcapitalfallingbelow8%.

當(dāng)自有資本比率低于管制水準(zhǔn)時(shí)，應(yīng)對(duì)低于管制水平部分進(jìn)行分析比較，進(jìn)而統(tǒng)計(jì)資本降至低于

8％的可能性。<SampleComparisonsofCapitalandRisk>RiskTier1capitalTier2capitalRiskRiskpredicatedona99%confidencelevelRiskpredicatedonanX%confidencelevel?Possibilitythatthecapitaladequacyratiowillfallbelowthe8%levelwithaprobabilityof(100-X)%.Capitalequivalenttothe8%capitaladequacyratioTotalcapitalminuscapitalequivalenttothe8%ratio31HowtoIdentifytheRiskAssociatedwith

LoanstoBorrowerswithStrongRelationship

對(duì)關(guān)系密切的債務(wù)人，如何識(shí)別風(fēng)險(xiǎn)？Theissueishowtoassesstheriskofloanshiftingfromnon-maintomainbankatthetimeoftheborrowers’defaultduetospecialrelationshipsbetweenfinancialinstitutionsandborrowers.

問(wèn)題在于如何評(píng)估由于銀行和企業(yè)密切關(guān)系而導(dǎo)致的授信向主力銀行集中所帶來(lái)的風(fēng)險(xiǎn)。Ｘ非メイン先への返済が滯る→Ｘ年後にメイン寄せの傾向

▽Timingofoccurringriskassociatedwithloanstoborrowerswithstrongrelationship(Imagechart)

Creditexposureatnon-mainbank

Creditexposureatmainbank

（creditexposure）

WithXyears’experienceofsomedelayinrepaymenttobanks,non-mainbankstendtowithdrawtheirloans,whichhastobereplacedbythemainbankloans.

(Time)

▽Seniorityandtimingofrepayment

Senior