Commercial Bank Risk Management An Analysis of the Process[文献翻译]

1、原文：commercial bank risk management: an analysis of the processabstractthroughout the past year, on-site visits to financial service firms were conducted to review and evaluate their financial risk management systems. the commercial banking analysis covered a number of north american super-regionals

2、and quasimoney-center institutions as well as several firms outside the u.s. the information obtained covered both the philosophy and practice of financial risk management. this article outlines the results of this investigation. it reports the state of risk management techniques in the industry. it

3、 reports the standard of practice and evaluates how and why it is conducted in the particular way chosen. in addition, critiques are offered where appropriate. we discuss the problems which the industry finds most difficult to address, shortcomings of the current methodology used to analyze risk, an

4、d the elements that are missing in the current procedures of risk management.1. introductionthe past decade has seen dramatic losses in the banking industry. firms that had been performing well suddenly announced large losses due to credit exposures that turned sour,interest rate positions taken, or

5、 derivative exposures that may or may not have been assumed to hedge balance sheet risk. in response to this, commercial banks have almost universally embarked upon an upgrading of their risk management and control systems.coincidental to this activity, and in part because of our recognition of the

6、industrys vulnerability to financial risk, the wharton financial institutions center, with the support of the sloan foundation, has been involved in an analysis of financial risk management processes in the financial sector. through the past academic year, on-site visits were conducted to review and

7、 evaluate the risk management systems and the process of risk evaluation that is in place. in the banking sector, system evaluation was conducted covering many of north americas super-regionals and quasimoney-center commercial banks, as well as a number of major investment banking firms. these resul

8、ts were then presented to a much wider array of banking firms for reaction and verification.the purpose of the present article is to outline the findings of this investigation. it reports the state of risk management techniques in the industryquestions asked,questions answered, and questions left un

9、addressed by respondents.this report can not recite a litany of the approaches used within the industry, nor can it offer an evaluation of each and every approach. rather, it reports the standard of practice and evaluates how and why it is conducted in the particular way chosen. but, even the best p

10、ractice employed within the industry is not good enough in some areas. accordingly, critiques also will be offered where appropriate. the article concludes with a list of questions that are currently unanswered, or answered imprecisely in the current practice employed by this group of relatively sop

11、histicated banks. here, we discuss the problems which the industry finds most difficult to address, shortcomings of the current methodology used to analyze risk, and the elements that are missing in the current procedures of risk management and risk control.2.1. what type of risk is being considered

12、?commercial banks are in the risk business. in the process of providing financial services,they assume various kinds of financial risks. over the last decade our understanding of the place of commercial banks within the financial sector has improved substantially. over this time, much has been writt

13、en on the role of commercial banks in the financial sector,both in the academic literature and in the financial press.these arguments will be neither reviewed nor enumerated here. suffice it to say that market participants seek the services of these financial institutions because of their ability to

14、 provide market knowledge,transaction efficiency and funding capability. in performing these roles, they generally act as a principal in the transaction. as such, they use their own balance sheet to facilitate the transaction and to absorb the risks associated with it.to be sure, there are activitie

15、s performed by banking firms which do not have direct balance sheet implications. these services include agency and advisory activities such as(1) trust and investment management;(2) private and public placements through bestefforts or facilitating contracts; (3) standard underwriting through sectio

16、n 20 subsidiaries of the holding company; (4) the packaging, securitizing, distributing,and servicing of loans in the areas of consumer and real estate debt primarily. these items are absent from the traditional financial statement because the latter rely on generally accepted accounting procedures

17、rather than a true economic balance sheet. nonetheless,the overwhelming majority of the risks facing the banking firm are on-balance-sheet businesses. it is in this area that the discussion of risk management and of the necessary procedures for risk management and control has centered. accordingly,

18、it is here that our review of risk management procedures will concentrate.2.2. what kinds of risks are being absorbed?the risks contained in the banks principal activities, i.e., those involving its own balance sheet and its basic business of lending and borrowing, are not all borne by the bank itse

19、lf.in many instances the institution will eliminate or mitigate the financial risk associated with a transaction by proper business practices; in others, it will shift the risk to other parties through a combination of pricing and product design.the banking industry recognizes that an institution ne

20、ed not engage in business in amanner that unnecessarily imposes risk upon it; nor should it absorb risk that can be efficiently transferred to other participants. rather, it should only manage risks at the firm level that are more efficiently managed there than by the market itself or by their owner

21、s in their own portfolios. in short, it should accept only those risks that are uniquely a part of the banks array of services. elsewhere (oldfield and santomero, 1997) it has been argued that risks facing all financial institutions can be segmented into three separable types, from a management pers

22、pective. these are:1. risks that can be eliminated or avoided by simple business practices;2. risks that can be transferred to other participants; and3. risks that must be actively managed at the firm level.in the first of these cases, the practice of risk avoidance involves actions to reduce the ch

23、ances of idiosyncratic losses from standard banking activity by eliminating risks that are superuous to the institutions business purpose. common risk-avoidance practices here include at least three types of actions. the standardization of process, contracts, and procedures to prevent inefficient or

24、 incorrect financial decisions is the first of these. the construction of portfolios that benefit from diversification across borrowers and that reduce the effects of any one loss experience is another. the implementation of incentivecompatible contracts with the institutions management to require t

25、hat employees be held accountable is the third. in each case, the goal is to rid the firm of risks that are not essential to the financial service provided, or to absorb only an optimal quantity of a particular kind of risk.there are also some risks that can be eliminated, or at least substantially

26、reducedthrough the technique of risk transfer. markets exist for many of the risks borne by the banking firm. interest rate risk can be transferred by interest rate products such as swaps or other derivatives. borrowing terms can be altered to effect a change in their duration.finally, the bank can

27、buy or sell financial claims to diversify or concentrate the risks that result from servicing its client base. to the extent that the financial risks of the assets created by the firm are understood by the market, these assets can be sold at their fair value. unless the institution has a comparative

28、 advantage in managing the attendant risk and/or a desire for the embedded risk which they contain, there is no reason for the bank to absorb such risks, rather than transfer them.however, there are two classes of assets or activities where the risk inherent in the activity must and should be absorb

29、ed at the bank level. in these cases, good reasons exist for using firm resources to manage bank level risk. the first of these includes financial assets or activities where the nature of the embedded risk may be complex and difficult to communicate to third parties. this is the case when the bank h

30、olds complex and proprietary assets that have thin, if not nonexistent, secondary markets. communication in such cases may be more difficult or expensive than hedging the underlying risk. moreover, revealing information about the customer may give competitors an undue advantage. the second case incl

31、udes proprietary positions that are accepted because of their risks, and their expected return. here, risk positions that are central to the banks business purpose are absorbed because they are the raison detre of the firm. credit risk inherent in the lending activity is a clear case in point, as is

32、 market risk for the trading desk of banks active in certain markets. in all such circumstances, risk is absorbed and needs to be monitored and managed efficiently by the institution. only then will the firm systematically achieve its financial performance goal.2.4. how are these risks managed?in li

33、ght of the above, what are the necessary procedures that must be in place in order to carry out adequate risk management? in essence, what techniques are employed to both limit and manage the different types of risk, and how are they implemented in each area of risk control? it is to these questions

34、 that we now turn. after reviewing the procedures employed by leading firms, an approach emerges from an examination of large-scale risk management systems. the management of the banking firm relies on a sequence of steps to implement a risk management system. these can be seen as containing the fol

35、lowing four parts:1. standards and reports,2. position limits or rules,3. investment guidelines or strategies, and4. incentive contracts and compensation.in general, these tools are established to measure exposure, define procedures to manage these exposures, limit individual positions to acceptable

36、 levels, and encourage decision makers to manage risk in a manner that is consistent with the firms goals and objectives.to see how each of these four parts of basic risk-management techniques achieves these ends, we elaborate on each part of the process below. in section 4 we illustrate how these t

37、echniques are applied to manage each of the specific risks facing the banking community.standards and reports. the first of these risk-management techniques involves two different conceptual activities, i.e., standard setting and financial reporting. they are listed together because they are the sin

38、e qua non of any risk system. underwriting standards, risk categorizations, and standards of review are all traditional tools of risk management and control. consistent evaluation and rating of exposures of various types are essential to an understanding of the risks in the portfolio, and the extent

39、 to which these risks must be mitigated or absorbed.the standardization of financial reporting is the next ingredient. obviously, outside audits, regulatory reports, and rating agency evaluations are essential for investors to gauge asset quality and firm-level risk. these reports have long been sta

40、ndardized, for better or worse. however, the need here goes beyond public reports and audited statements to the need for management information on asset quality and risk posture. such internal reports need similar standardization and much more frequent reporting intervals, with daily or weekly repor

41、ts substituting for the quarterly gaap periodicity.position limits and rules. a second technique for internal control of active management is the use of position limits, and/or minimum standards for participation. in terms of the latter, the domain of risk taking is restricted to only those assets o

42、r counterparties that pass some prespecified quality standard. then, even for those investments that are eligible, limits are imposed to cover exposures to counterparties, credits, and overall position concentrations relative to various types of risks. while such limits are costly to establish and a

43、dminister, their imposition restricts the risk that can be assumed by anyone individual, and therefore by the organization as a whole. in general, each person who can commit capital will have a well-defined limit. this applies to traders, lenders,and portfolio managers. summary reports show limits a

44、s well as current exposure by business unit on a periodic basis. in large organizations with thousands of positions maintained, accurate and timely reporting is difficult, but even more essential.investment guidelines and strategies. investment guidelines and recommended positions for the immediate

45、future are the third technique commonly in use. here, strategies are outlined in terms of concentrations and commitments to particular aras of the market, the extent of desired asset-liability mismatching or exposure, and the need to hedge against systematic risk of a particular type.incentives sche

46、mes. to the extent that management can enter incentive compatible contracts with line managers and make compensation related to the risks borne by these individuals, then the need for elaborate and costly controls is lessened. however, such incentive contracts require accurate position valuation and

47、 proper internal control systems.source: anthony m. santomero,1997.“commercial bank risk management: an analysis of the process”, journal of financial services research ,pp.83-88译文：摘要在过去一年里，我们通过现场参观金融服务公司来进行审查和评估其金融风险管理系统。商业银行的分析涵盖了大量的北美超地区性和准货币中心机构，以及一些美国以外的公司，获得的信息包括了一些理念和财务风险管理的做法。本文概述了本次调查的结果，并报

48、告了该行业风险管理技术的状况。它报告了行业的执业标准和评价方式，以及为什么特定选择的方式进行。此外，本文提出了一些适当的批评。我们讨论这些问题，包括业界认为最难处理的、现行风险分析方法中的缺点以及现行风险管理程序中一些缺失的元素。介绍在过去十年中，银行业经历了一场惨痛的损失。由于信贷风险承担情况变差、利率变动和一些金融衍生工具理论上可能发生的对冲资产负债表风险，一些表现良好的公司突然宣布了自己的巨额亏损。在针对这种情况，商业银行已开始了一项对风险管理和控制系统的升级。在某种程度上来说，这次活动是出于我们对行业财务风险弱点的认识。在斯隆基金会的支持下，沃顿商学院金融机构中心，一直在金融部门中参与

49、对金融风险管理的分析。通过过去的一学年时间，实地考察的审查方法贯穿于评估风险管理制度和风险评估所订定的过程中。在银行部门，系统进行了评估，包括很多北美超地区性和准货币中心的商业银行，以及大量的大型投资银行公司。这些结果被提交给银行公司，继续参与更广泛的反应和验证。本文的目的是概述本次调查的结果。它报告了行业风险管理技术情况，包括问题的提出，问题的回答，以及受访者遗留问题的解决。此报告没有列举行业内普遍采用的方法，也没有提供对这些方法的评价。相反，它报告的是执业标准和评价方法，以及它为什么选择特定的方式进行。但是，在某些领域，甚至连一些最佳方法也并不适用。因此，批评也将在适当情况下给出。文章最后

50、提出了当前未答复的，或回答比较复杂、银行采用的现行做法尚不严密的问题清单。在这里，我们讨论的，包括业界认为最难处理的、现行风险分析方法中的缺点以及现行风险管理程序中一些缺失的元素。我们应该考虑什么类型的风险商业银行正承担着业务风险。在提供金融服务的过程中，他们承担各种金融风险。在过去十年中，我们对商业银行在金融部门的地位的认识已大大提高。在这段时间，商业银行在金融部门扮演的什么样的角色已经众所周知，无论是在学术文献或者金融新闻上都有体现。在本文中，这些参数这里既不会审查，也不会列举。我只想说，市场参与者寻求这些金融机构的服务，因为这些机构有能力为客户提供市场知识，交易效率和资金的能力。在履行这

51、些职责时，他们一般充当交易的主体。因此，他们用自己的资产负债表，以方便交易和承受与它相关的风险。可以肯定的是，这些银行业金融机构进行的活动不会直接受资产负债表的影响。这些服务包括代理和咨询活动，如：（1）信托及投资管理; （2）通过“最大努力”促进私人和公共存款合同; （3）通过第20条标准承保该控股公司的附属公司 （4）包装，证券化，分发，以及为消费和房地产领域的贷款债务提供服务。这些项目是在传统的财务报表之外的，因为后者依赖于普遍接受的会计程序，而不是一个真正的经济资产负债表。然而，银行业所面临的风险，绝大多数是来自于企业的资产负债表。在这里，我们对风险管理以及风险管理与控制的必要程序需要

52、集中探讨。因此，在这里，我们必须把风险的管理程序的审查集中起来。 何种风险将被吸收？在银行的主要业务，即那些涉及其自身的资产负债表和其基本的商业贷款和借款中的风险，并不完全由银行自身所承担.在许多情况下，机构将通过适当的商业行为的交易来消除或减轻金融风险与关联，在其他情况下，将通过定价和产品设计的结合把风险转移给其他缔约方。银行业认识到，一个机构并不需要以从事经营的方式，对自己施加不必要的风险。同时，银行也无需承担风险，它只需要把风险有效地转移给其他参与者。相反，对于企业来说，仅在原有的水平上管理风险要比管理市场本身或由业主自己的投资组合产生的风险来的有效的多。总之，它只应该接受一部分唯一来自

53、于银行服务阵列的风险。在其他地方（奥德菲尔德和圣多马罗，1997）有人认为，从管理角度来看，所有金融机构面临的风险可细分为三个类型。它们是：1通过简单的商业惯例可消除或避免的风险。2可转移给其他参与者的风险3在公司可控水平上积极管理的风险规避这些风险的第一种做法是，从标准银行活动特有的宗旨出发（尤其是该机构的经营宗旨），采取行动，减少和消除风险。共同的风险规避行为在这里至少包括三种类型。第一步，通过合同和程序的标准化来防止低下的效率和不正确的财务决策。第二步，通过多元化的投资组合分散借款人的利益，从而减少投资损失带来的影响。第三步，通过执行机构管理层激励兼容合同，要求员工承担责任。在每一种情况下，我们的目标都是摆脱风险，特别是金融服务公司没有必要承担的，或者只吸收了最佳数量的特定类型的风险。当然也存在通过风险转移技术就可以大大消除或降低的风险。虽然银行承担了市场上所存在公司的