推进金融机构风险管理

AdvancingRiskManagement

byFinancialInstitutions

TheCaseofJapaneseBanks

推进金融机构风险管理：日本银行业的经验

TsuyoshiOyama

BankofJapan

日本银行WorkshoponRiskManagementinBankingSector

商业银行风险管理培训班

Shanghai,December21,2005

2005年12月21日，上海1Agenda

内容安排BackgroundofBanks’EffortstoEnhanceRiskManagementandtheBOJ’sInitiativestoEncourageTheseEfforts

银行业推进风险管理及日本银行支持举措的背景TopicsfromtheSoundPracticesPapersandDiscussionsintheSeminars

金融机构整合风险管理研讨会发布的相关报告“AdvancingCreditRiskManagementthroughInternalRatingSystems”以内部评级制度为基础强化信用风险管理

“AdvancingOperationalRiskManagement”强化操作风险管理“AdvancingIntegratedRiskManagement”强化整合风险管理2BackgroundofBanks’Efforts银行措施的背景TheexperienceofovercomingNPLproblemssincethe1990s…

90年代以来，克服不良贷款问题的经验EnhancetheriskmanagementofJapanesefinancialinstitutionsparticularlyintheareaofcreditriskmanagement

推进日本金融机构风险管理，特别强化信用风险管理Entailstabilityoffinancialsystem,whichledtotheliftingofblanketdepositinsuranceinApril,2005

金融体系稳定性，这导致2005年4月存款保险的整体上调。Inthisnewenvironment,financialinstitutionsareexpectedtodevelopfurthercreativebusinessservicesthatmeettheneedsofcustomersthrough…

在新情况下，金融机构预计可通过提供下列创新服务来满足消费者需求：Assessingvariousrisksnotonlyinaconservativewaybutalsoinanaccurateway.

稳健而准确地进行风险评估。Inotherwords,financialinstitutionsareexpectedtograspeffectivelythevariousrisksinherentintheirbusiness(e.g.economicvalueanditsvolatilityofalltheassetstheypossessandtransactionstheyengagein),andalsotoestablishaframeworkthatmanagestheserisksinanintegratedway.

换句话说，金融机构预计能有效把握业务中存在的各种风险（例如，其拥有和参与交易的全部资产价值及波动)，并建立风险综合管理机制Inaddition,BaselIIimplementationsurelypressuresbankstointensifytheaboveefforts.

此外，巴塞尔Ⅱ的出台迫使银行强化上述措施。3AdvancingRiskManagement---MeansWhat?

强化风险管理意味着什么？

Ourunderstandingof“advancingriskmanagement”

对“强化风险管理”的理解Enhancingthecommunicationtoolsamongstakeholders(seniormanagers,riskmanagers,shareholders,regulators,etc.)toreachaconsensusviewofriskprofileandamounts.

促进利益各方（高级经理，风险管理经理，股东，监管者等）的交流,以就风险预测及总量达成一致意见。NotnecessarilyindicatingamoreuseofGreeklettersandmathformula

无需多用希腊字母和数学公式

Whatbanksneedismoreobjectiveandmorepersuasivetoolstoassessrisks

银行业需要更客观、更有说服力的风险评估工具Objectiveandpersuasiveriskassessmentsleadtohighertransparencyofriskmanagementprocessandtherebyclarifytheresponsibilityassociatedwithrisktakingactivitieshelpensurethedirectiontowardimprovingriskmanagement.

客观而有说服力的风险评估将增强风险管理过程透明性，进而明确风险活动各方的责任有助于确保改善风险管理Therearenobestpracticesofbanks’riskmanagement,whichcoulddifferdependingontheirfacingenvironmentsneedtoestablishtheincentivemechanismtoensurethedirectiontowardimprovingriskmanagement.

并不存在能随市场环境变化而变化的银行风险管理最佳方案需要建立激励机制，以确保改善风险管理4BOJ’sInitiative(1)--PublicationofSoundPracticesPapers

日本银行的动作（1）--公布金融机构整合风险管理报告

5TheBankofJapanestablishedtheCenterforAdvancedFinancialTechnologyinJuly,2005.

日本银行于2001年7月设立高级金融技术中心。Onemajormissionofthisneworganizationistodevelopthethirdchannel,besideson-siteexaminationsandoff-sitemonitoring,tocommunicatewithbanksabouttheriskmanagementframeworkandmethods.

这一新机构的主要任务之一是发展除实地考查和非实地监管之外的第三种渠道，以就风险管理体制和方式与各家银行进行沟通。Usingthethreesoundpracticepapersasthemainsubjects,theCenterhasalreadyhosted:以三份报告为主题，该中心已成功主办：2seminarsforthelargenumberoffinancialinstitutionsfocusingonoverallriskmanagementissuesthataredealtwithbythreepapers,and

2期有众多金融机构参与的研讨会，全面讨论三份报告涉及的风险管理问题，以及12seminarsforregionalbanks(20—30banksforeach)focusingontheissuesthataredealtwithbyonepaperforeachseminar.

12期由区域银行参与的研讨会（每次20－30家银行），每期就一份报告涉及的相关问题展开讨论。BOJ’sInitiative(2)--HostingaSeriesofSeminarsforBanks

日本银行的动作（2）--主办一系列银行业发展研讨会6BOJ’sOrganizationalChangesandSettinguptheCenterforAdvancedFinancialTechnology

日本银行的机构调整和高级金融技术中心的设立＜之前＞＜7月18日之后＞FinancialSystemsDept.

金融体系部

PolicyPlanning

政策制订InternationalIssues

国际事务BankExaminationandSurveillanceDept.

银行检查与监督部PolicyImplementation政策执行On-siteExamination

实地考查Off-siteMonitoring

非实地监管FinancialSystemsandBankExaminationDept.

金融体系和银行管理部CenterforAdvancedFinancialTechnology(NewlyEstablished)

高级金融技术中心（新设立）PlanningandImplementation

制订和执行InternationalIssues

国际事务On-siteExamination

实地考查Off-siteMonitoring

非实地监管7AdvancingRiskManagement---ItsRelationwithBaselII

强化风险管理－－与巴塞尔Ⅱ

的关系Theconceptof“advancingriskmanagement”isinlinewith“successfullyimplementingBaselII”

“强化风险管理”与“成功实施巴塞尔Ⅱ”理念一致TheconceptofBaselIIthatstronglypushesbankstowardthedirectionofassessingrisks“moreprecisely”and“transparently”ina“self-disciplined”manneriscompletelysharedbyuswhenadvocatingfortheneedofadvancingriskmanagement.

巴塞尔Ⅱ的理念是通过“自律”方式进一步增强风险评估的“准确”与“透明”，我们所提倡的强化风险管理与其一致。Ourstrategyistocapitalizeon,tothemaximum,theimplementationofBaselIIanditsaccompanyingmomentumofadvancingriskmanagementamongbanks.

我们的战略是最大限度的利用巴塞尔Ⅱ及其附随文件中关于强化银行风险管理的规定。Thegreatestchallengeforusishowtoconvincebanksoftheneedandusefulnessofadvancingriskmanagement“bythemselves”in“aflexiblemanner”andtherebyavoidthecasewherebanksseekforanexcessivelydetailed“one-size-fits-all”typeguidance.我们面临的最大挑战是如何说服各银行“按自身情况自行采取灵活方式”强化风险管理的必要性和有效性，从而避免各银行寻求一套通用风险管理体系的情况。8“AdvancingCreditRiskManagement

throughInternalRatingSystems”

以内部评级制度为基础强化信用风险管理9SPP-I:“AdvancingCreditRiskManagement

throughInternalRatingSystems”

报告－I：以内部评级制度为基础强化信用风险管理Contents内容Architectureofinternalratingsystem

内部评级制度体系Ratingprocessandratingmodels

评级实施程序和评级模型Estimationofriskcomponents

风险要素推算Usesofinternalratingsystems

内部评级制度的灵活运用Validationofinternalratingsystems

内部评级制度的验证Quantificationofcreditrisk

信用风险的计量化Thepapertriestoshowourthinkingofsoundpractices,beingcomparedwithcurrentpracticesofmajorbanksandtherebyfacilitatesmallbankstoconsiderthemastherealworldcases.

该报告介绍整合风险管理的方法，并与各大银行目前做法比较，有助于指导小型银行实际操作10FrameworkofAdvancingCreditRiskManagement强化信信用风风险管管理设设想(Majordiscussionpointsintheseminars)Definitionofdefault,consistenttreatmentofcounterpartyrisksofmarkettransactions,dataintegrityrequiredforestimatingriskcomponents,concentrationriskcontrolmeasuresusingULoutcome,etc.（研讨讨会的的讨论论要点点）违约的的定义义，市市场交交易伙伙伴风风险的的协调调处理理，风风险因因素评评估所所需要要的资资料整整合，，利用用UL成果集集中风风险管管理措措施。。MigrationmatrixProbabilityofdefault(PD)InternaluseRiskComponentsLossgivendefault(LGD)Exposureatdefault(EAD)CorrelationCalculationofcreditriskamountExpectedloss(EL)Unexpectedloss(UL)StresstestingPortfoliomonitoringProvisioningPricingProfitmanagementCapitalallocationQuantificationofcreditriskReportingtotheBoardInternalratingQuantitativeevaluationFinancialdataQualitativeevaluation<Internalratingsystems>11ProcessofinternalRatingsModelestimatingPDsofobligors(LogitorProbitmodel）债务人PD推算模型Modelestimatingexternalratings外部评级推推算模型3.Hybridmodelof1.and2.模型1、2的结合0%20%40%60%80%100%-5-4-3-2-1012345Scorebasedon

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

financialinformation12QuantitativeandQualitativeInformationUsedforRatingAssignment评级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项目评级的的要素事例例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?决定评级的的因素(Majordiscussionpointsintheseminars)Theneedandusefulnessoffacilityratinggiventhewidespreaduseofuniquepledgesysteminlending,i.e.“pooledcollateralsystem””whereeachcollateralisnotlinkedtoeachtransactionsbuttoeachborrower.（研研讨讨会会的的讨讨论论要要点点））：：市市场场普普遍遍使使用用独独特特贷贷款款抵抵押押制制度度，，即即抵抵押押融融资资与与债债务务人人而而非非交交易易相相关关联联的的“集资资抵抵押押体体系系”下，，进进行行能能力力评评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?评级级模模型型的的修修正正Manybanksincludingmajoronesarestillseekingfortheappropriatevalidationmethodsofinternalratingsystemsandriskcomponents.包括括主主要要银银行行在在内内的的许许多多银银行行仍仍在在寻寻求求的的内内部部评评级级制制度度和和风风险险因因素素恰恰当当的的修修正正方方法法。。0100CAPcurveofaperfectmodelCAPcurveofrandommodel(nodiscriminatorypower)CAPcurveofamodelbeingevaluated(%)ABAmodelhasmoreaccuracyasthecurvemovestotheupperleftRatioofcumulativenumberofdefaultedfirms100(%)ScoreNon-defaultedfirmsDefaultedfirmsNumber

offirmsArea(B)Area(A)+Area(B)AR＝RatingattheendoftheyearRatingatthebeginningoftheyearChecktheorderofmigrationratefromrating1tootherratingsChecktheorderofdefaultratesChecktheorderofmigrationratetorating7fromotherratingsDefault(Example2)15UseofInternalRatingSystems内部评级制度度的灵活运用用UseofInternalratingsystems内部评级制度度的灵活运用(LoanOrigination)（授信执行阶阶段）Settinguppercreditlimitsbasedonratinggrades设定各个个评级的的授信限限额。Settingauthorityranksforloanapprovalbyratinggrade设定各个个评级的的授信决决定权限限。Simplifyingtheloanreviewprocessforhigher‑gradedborrowers简化优良良评级企企业的审审查程序序。(Monitoring)（中间管管理）Monitoringindividualborrowersbasedonratinggrades针对不不同的的评级级对授授信企企业的的管理理Monitoringtheoverallloanportfolio把握授授信资资产组组合整整体的的信用用状况况。UsesofPDforeachratinggrade各个评评级PD的运用用Quantificationofcreditriskandallocationofcapital信用风风险的的计量量和资资本配配置Pricingofloanratesreflectingcreditrisk考虑信信用风风险定定价（（设定定贷款款基准准利率率）Evaluatingtheeconomicvalueofloans把握贷贷款的的经济济价值值Manybankshavealreadyusedtheinternalratingsystemsasindicatedintheabovewithsomeexceptionssuchasfacilityrating.许多家银行行已经建立立了除设备备评估外的的上述内部部评级制度度。16II.AdvancingOperationalRisk强化操作风风险管理17SPP-II:““AdvancingOperationalRiskManagement”报告－2：强化操作作风险管理理Contents内容Characteristicsofopriskandtheneedtoadvanceopriskmanagement操作风险特特征和强化化操作风险险管理的必必要性Overviewofeffortstoadvanceopriskmanagementandtheestablishmentofanopriskmanagementsection强化操作风风险管理机机制的概要要和操作风风险总括部部门设置Quantifyingoprisk操作风险的的计量Approachestoidentifyingandassessingopriskotherthanquantification计量以外的的操作风险险的把握、、评估手法法Thepapertriestostriketherightbalancebetweentheimportanceofadvancingopriskmanagementusinge.g.riskquantificationmethodsandtheneedtomaintaintheconventionalopriskmanagementbyemphasizingtheircomplementarycharacteristics.该报告试图图探索新旧旧两种操作作风险管理理的合理安安排，既突突出运用风风险计量方方法等手段段强化管理理的重要性性，又考虑虑到维持传传统操作风风险管理，，发挥其补补充作用的的必要性。。18AdvancingOp.Risk---WhyNow？目前强化操操作风险管管理的原因因何在？ChangesintheenvironmentsurroundingFIs’operations围绕FIs’operations的外部环境境变化Businessdiversification,moresophisticatedfinancialtechnologies,widelyusedITandoutsourcing.业务多元化化、金融技技术高端化化，业务处处理的IT化、外包规规模的扩大大等局面TheintroductionofBaselII（（allocationofcapitalforop.risk)引入巴塞尔尔Ⅱ（操作风险险也必须计计提自有资资本）Majordisastersuchasearthquakes,terroristattacksanduncoveringofseriouscorporatescandals(societyisincreasinglyawareoftheneedforthefirms’managementofop.risk).最近发生的的地震、恐恐怖事件等等大规模灾灾害，以及及国内外企企业重大违违规事件的的攀升（社社会整体对对操作风险险的关心程程度越来越越高）Newchallenges面临的新挑挑战Needtomanageop.riskmoreefficientlybyidentifyingop.riskprofileinafirm-widemannerandtherebyputtingsomepriorityontheirmanagement.金融机构继继续增强内内在的综合合把握、评评估操作风风险的基础础上，进一一步执行有有张有弛的的风险管理理Needtoestablishstructuresthatcanquicklydetectheightenedriskandrespondappropriatelybeforetheriskmaterializes.提高操作风风险增大的的预期能力力，完善在在操作风险险发生前采采取稳妥措措施的体制制Needtocreatemechanismsforautonomousriskmanagementinallsectionsoftheiroperations.各个现场建建立能够自自律应对操操作风险管管理的机制制19CharacteristicofOp.Risk操作风险特特征Formsofriskmaterialization风险显现形形态Directloss,indirectlossorimpactincurredtothirdparties直接损失、间接损失失以及对第第三方带来来的损失Highfrequencyandlowseverityorlowfrequencyandhighseverity“发生频率率高，损失失规模小””或““发生频率率低但损失失规模大””Causesofriskmaterialization风险发生的的主要原因因Itisnormallydifficulttonarrowdownthefactorscausingsuchrisktomaterialize,andquiteoften,itonlyemergeswhenseveralfactorscomeintoplaysimultaneously.操作风险通通常很难找找出特定的的风险显现现的原因，，而且多个个原因共同同作用风险险才体现出出来的情况况也不在少少数。Small‑scaleproblemsoccurringatrelativelyhighfrequencyProblemsthatdonotoccuroftenbuthavesevereconsequenceswhentheydooccur[DistributionofLossesArisingfromtheMaterializationofOp.Risk]FrequencyAmountoflossoflossesFrequency[DistributionofProfits/Losses(Losses/Gains)ArisingfromtheMaterializationofMarketRisk]Amountofprofits/lossesProfits/lossesaredistributedmoreorlesssymmetricallyaroundthemean(closetozero)20ConventionalOperationalRiskManagementMethods以前我国国金融机机构的操操作风险险管理手手法Category项目Method方法Multilevelchecksandbalancessystem多层次的牵制体制Reexaminationandmultiplesignatorysystem

再次鉴定、检印制度

Segregationofduties

权限分离

In‑houseinspections

部门、店内检查

Insistenceonrecord‑keeping

保存记录Standardizationandstreamliningofbusinessprocedures

事务内容的标准化和效率化EstablishmentofP&P

完善事务规程、指南等

Institution‑wideguidanceonbusinessoperations

本部进行事务指导

Strengtheningsystemssupport

强化系统支持Disciplineandmotivation

规律、动机Humanresource(HR)managementandperformanceevaluations

人事层面的管理、业绩评估Responsetoaccidentsandotherproblems

事件、事故对策Implementationofmeasurestopreventrecurrences

实施防止再次发生措施Internalaudits

内部监察Auditorsectionaudits

内部审核部门独立审核21ConsiderationsofOp.RiskManagement操作风险险管理时时考虑的的因素Theneedtocoverawiderangeofeventsandactivities需要管理理各种各各样的事事情Itisdifficulttobreakdownriskintothecategoriesofexposureandriskfactors.对于操作作风险，，抽选出出与「风风险暴露露」及「「风险要要素」相相当的项项目是非非常困难难的Theneedforriskcontrolinallsectionswithintheinstitution管理组织织内所有有部门的的必要性性Op.riskexistsinallsectionsthroughouttheinstitution.操作风险险存在于于组织内内任何一一个部门门Theimportanceofriskmanagementbasedonqualitativeinformation定性手法法的重要要性Itisnotalwayseasytomanagetheminaquantitativemanner.采用定定量手手法进进行风风险管管理并并不容容易Reputationalandsystemicrisk声望风风险、、系统统风险险Itisnecessarytotakeintoconsiderationoftheindirectlossandtheeffectonfinancialsystem.必须考虑虑非直接接因素造造成的损损失及其其对金融融系统的的影响。。(Majordiscussionpointsintheseminars)Theneedandmeritsofadvancingop.riskmanagementwithriskquantificationforregionalbanks,degreeofindependenceofopriskcontrolfunction,howtoquantifyopriskwhenfacinglackofinternaldataandnoexternaldata,levelofgranularityofoperationalprocessestobeexaminedbyCSA.（研讨会的讨讨论要点）：：通过对区域域银行风险计计量加强操作作风险管理的的必要性和价价值，操作风风险控制功能能的独立性，，缺乏充足内内部和外部数数据时如何计计量操作风险险，CSA评估计量单位位的确定。22EstablishmentofanOperationalManagementSection操作风险总括括部门设置FunctionsofOperationalManagementSection操作风险总括括部门的作用用Plantheop.riskmanagementframeworkfortheentireinstitution.制定组织整体体的操作风险险管理框架。。Collectandanalyzeinformationonaccidentsandotherproblems,computersystemmalfunctions,andclericalerrorsarisingineachsection,thenreporttothemanagement.收集并分析各各个部门发生生的事件、事事故，电脑系系统故障、事事务操作失误误等资料，向向经营者进行行报告。Examinetheadequacyandconsistencyofprocessesandprocedures(P&P).审查业务规规程和手续续的合理性性、连续性性。Evaluateandguidetheoperationalriskmanagementsituation.评估并指导导各个部门门的操作风风险管理状状况StructureofOperationalManagementSection部门结构IntegratedRiskManagementSection（systemrisk））ITSystemPlanningSectionSystemRiskManagementSectionOperationalManagementSectionComplianceManagementSection（operational））（compliance）ComputerCenterHeadOffice,BranchOffice①②①②④①②③④①④○number:functionweakrelationshipOperationsPlanningSection23QuantificationofOp.Risk操作风险的的计量Considerations考虑因素Appropriatecollection,classificationandupdateoflossdata.合理进行数数据搜集、、分类和遗遗失数据的的更新Selectionofmodelwhichisabletoidentifycasesoflosseswithlowfrequencybuthighseverity.选择能捕捉捉“发生频频率低但是是损失规模模大”事件件的计量模模型Settinggroupunitsforquantification.为量化分析析设立单位位组Introducinghypotheticaldatabasedonexternaldataorscenarioanalysesintoquantitativemodels.将据外部信信息和想象象分析得到到的假定数数据引入计计量模型Usingqualitativedatatorevisethequantificationresults.用定性资料料修订定量量分析得到到的结果LossamountperlosseventNumberoflosseventsoccurringperyearFrequencyOp.riskamount((99.0%VaR)Op.riskamount(99.9%VaR)Annualcumulativelossamount③Cumulativelossamountdistributionforoneyear④①②FrequencyFrequencyDistributionoflossamountperlossevent---e.g.log‑normaldistribution24ControlofSelf-AssessmentsandKeyRiskIndicators风险管理自我我评估和重要风险管管理指标ControlofSelf-Assessments风险管理自我我评估Individualsectionsorbusinesslineswithinafinancialinstitutionevaluateinherentriskandinternalcontrolconditionsontheirown金融机构内的的各个部门或或者是业务团团队自行评估估内在风险和内部管理机机制⇒Resultsarecoordinatedandsharedwithintheentireorganization结果由组织整整体进行归纳纳总结Selectingmultipleindicatorsthatcontributetoearlydetectionofheightenedrisk选定能能够及及早预预期操操作风风险增增大的的多个个指标标⇒Monitoringoftheirmovements,andreactingpreemptivelyasnecessary跟踪考考察其其变化化情况况，根根据需需要尽尽早制制定修修正措措施的的机制制▽Exampleofindicator重要风风险管管理指指标的的例子子Operations：：Businessvolumes,customers’waitingtime,numberofclericalerrors,numberofcomplaintsreceived,etc.事务务层层面面：：事务务量、、柜台台等待待的时时间、、事务务失误误次数数、投投诉受受理次次数Computersystems：：Numberofmalfunctions,numberofstepsindevelopingprograms,utilizationratioofsystemdevicessuchasCPUs,storages,networktraffics,etc.电脑系统层层面：故障障次数、程程序开发等等级、CPU及磁盘等的的资源剩余余程度（比比率）KeyRiskIndicators重要风险管管理指标25III.AdvancingIntegratedRiskManagement强化整合风风险管理26SPP-III:““AdvancingIntegratedRiskManagement””报告－3：强化整合风风险管理Contents内容Overviewofintegratedriskmanagementatfinancialinstitutions我国金融机机构整合风风险管理概概要Integratedriskmanagementforuse:Issuestobeaddressedwithhighpriority整合风险管管理当前的的课题Otherissuestobediscussedforfurtherenhancingtheeffectivenessofintegratedriskmanagement强化整合风风险管理的的论点Useofintegratedriskmanagementincorporatemanagement整合风险管管理在经营营当中的运运用SomerisksareveryimportantforJapanesebankstoaddress,butthemethodsforidentifyingthemhavenotyetbeenestablished,andthustheyaremanageddifferentlyfromonebankstoanother.Thepaperemphasizestheimportanceofincorporatingtheserisksintobanks’integratedriskmanagementframeworkaswellasothertraditionallywellidentifiedrisks.某些风险急急需日本各各银行应对对，但还未未建立有效效识别的方方法，因此此各家银行行对其处理理方式各异异。本报告告强调将这这些风险与与其他已识识别的风险险一起引入入银行的整整合风险管管理框架中中。SomegoodexamplesoftheuniqueriskstoJapanesebanksareriskassociatedwithpreferredstock,riskassociatedwithdeferredtaxassetsandriskassociatedwithloanstoborrowerswithstrongrelationship.日本银行业业面临的特特殊风险包包括：优先先股引起的的风险、延延税资产引引起的风险险、由与银银行关系密密切的债务务人引起的的风险。27FrameworkofIntegratedRiskManagement整合风险险管理框框架RiskisquantifiedusingthestatisticalmethodbasedonthepastdatasuchasVaR.风险的计计量多采采用关注注资产价价值变动动的ValueatRisk（VaR）手法。Allocatinghypotheticalcapitalforinternalcontrolpurposestoeachsectionwithinthescopeoftotalcapital.Eachsectionthenmanagestherisksothatitdoesnotexceedtheallocatedcapital.在总资本本量内，，将内部部风险控控制预期期资本额额摊入各各部门。。各部门门在摊入入风险资本本限额内内进行管管理。Theprofitabilityofeachsectionisassessedintermsofreturnagainstrisk.信用风险险扣除后后利润当当作各部部门业绩绩的评估估指标。。･･･---･･･---RiskcapitalQuantifiedriskAllocationofriskcapitalRiskcapitalcommensuratewithcreditriskRegulatorycapitalCreditriskMarketriskOp.riskProfitsmadebydepartmenteachsectionSecuringadequatecapitalrelativetoriskAssessingprofitabilityofeachdepartmentsectionintermsofreturnagainstriskRisktakingwithinthescopeofriskcapitalRiskcapitalcommensuratewithop.riskRiskcapitalcommensuratewithmarketrisk28OrganizationalFrameworks组织体制Riskmanagementsectionandtreasurysectionhaveco-jurisdictionoverintegratedriskmanagement.风险管理部门门和财务部门门来共同负责责整合风险管管理Itisdesirablethatriskmanagementsectionisindependentfromthefrontline.最好将风险管管理部门与第第一线的业务务部门独立开开来Ifdifficult,itisessentialtoensurethatsuchriskmanagementfunctionsinthefrontlinearesubjecttoproperchecksandbalancesthroughregularassessmentsbythird-party,thatis,internalaudits.若无无法法实实现现，，则则必必须须对对一一线线业业务务部部门门进进行行适适当当必必要要的的牵牵制制，，一一般般通通过过内内部部审审计计，，从从第第三三者者的的角角度度进进行行检检查查。。＜ExampleofanIntegratedRiskManagementSystemUsingCross‑‑OrganizationalForums＞Executivecommittee,integratedriskmanagementcommittee,etc.Secretariat:Integratedriskmanagementsection,planning&financesectionIntegratedriskmanagementsection-Managesquantifiedriskaggregates-Managesoverallmarketrisk-Quantifiesop.riskCreditpolicyandplanningsection-ManagesoverallcreditriskOperations&systemspolicyandplanningsection-Managesoverallop.riskexcludingquantificationCompliancesection-OverallCompliance---・・・29IdentifyingRisk风险险的的把把握握手手法法Whenidentifyingriskandriskamounts,itisimportanttoconsiderthescopeofriskstobecovered,holdingperiod,confidenceinterval,correlationbetweenrisks,andstresstesting.在把把握握风风险险种种类类和和程程度度时时，，必必需需要要考考虑虑风险险对对象象的范范围围、、持有有期期限限、信信赖赖水水平平、、各各风风险险之之间间的的关关系系和和压压力力测测试试理理念念。。①Targetingrisk:creditrisk,marketrisk,interestriskassociatedwithbonds,op.risk,etc.：④Correlationbetweenrisks⇒NeedsofverifyingthestabilityofthecorrelationfrequencyamountoflossStresstesting・ComplementingthelimitofVaR・Focusofobjectivityvsfocusofflexibility↑Non-targetingrisk⇒Needsofconsideringhowtodealwiththeserisksintheintegratedriskmanagementframework③Confidenceintervals(e.g.99%,99.9%,99.97%)⇒Directlylinkedtomanagementjudgment②Holdingperiod:consistencywithinvestmentpoliciesofassets3months)⑤Stress30ComparingAllocatedCapitalandRisk摊入入资资本本和和风风险险的的比比较较Reactiontothesituationwheretherisktakenexceedsallocatedriskcapitalisalitmustestofeffectivenessofintegratedriskmanagementsystem风险险超超过过摊摊入入资资本本时时的的应应对对措措施施，，是是对对整整合合风风险险管管理理机机制制的的有有效效检检验验。。(Possiblereactions)可能能的的应应对对措措施施Simplyreducingrisk,or直接接降降低低风风险险，，或或Identifyingtheextentofcapitalinadequacytobecorrected,anddrawingup(andimplementing)aconcreteplantoeliminateit.准确确把把握握自有有资资本本缺缺口口程度度，，确确立立消消除除该该风风险险的的具具体体计计划划，，并并执执行行下下去去Whenthecapitaladequacyratiofallstotheregulatoryminimumlevel,itisimportanttocomparethepartwhichexceedsminimumlevelandrisk,andtherebyidentifystatisticallytheprobabilityofcapitalfallingbelow8%.当自自有有资资本本比比率率低低于于管管制制水水准准时时，，应应对对低低于于管管制制水水平平部部分分进进行行分分析析比比较较，，进进而而统统计计资资本本降降至至低低于于8％的可能能性。<SampleComparisonsofCapitalandRisk>RiskTier1capitalTier2capitalRiskRiskpredicatedona99%confidencelevelRiskpredicatedonanX%confidencelevel⇒Possibilitythatthecapitaladequ