推进金融机构风险管理.pptx

Advancing Risk Management by Financial Institutions The Case of Japanese Banks推进金融机构风险管理：推进金融机构风险管理：日本银行业的经验日本银行业的经验Tsuyoshi Oyama Bank of Japan日本银行日本银行Workshop on Risk Management in Banking Sector商业银行风险管理商业银行风险管理 培训班培训班Shanghai,December 21,200520052005年年1212月月2121日，上海日，上海1Agenda 内容安排内容安排Background of Banks Efforts to Enhance Risk Management and the BOJs Initiatives to Encourage These Efforts 银行业推进风险管理及日本银行支持举措的背景银行业推进风险管理及日本银行支持举措的背景Topics from the Sound Practices Papers and Discussions in the Seminars 金融机构整合风险管理研讨会发布的相关报告金融机构整合风险管理研讨会发布的相关报告l“Advancing Credit Risk Management through Internal Rating Systems”以以内部评级制度为基础强化信用风险管理内部评级制度为基础强化信用风险管理 l“Advancing Operational Risk Management”强化操作风险管理强化操作风险管理l“Advancing Integrated Risk Management”强化整合风险管理强化整合风险管理2Background of Banks Efforts银行措施的背景银行措施的背景The experience of overcoming NPL problems since the 1990s 9090年代以来，克服不良贷款问题的经验年代以来，克服不良贷款问题的经验Enhance the risk management of Japanese financial institutions particularly in the area of credit risk management 推进日本金融机构风险管理，特别强化信用风险管理Entail stability of financial system,which led to the lifting of blanket deposit insurance in April,2005金融体系稳定性，这导致2005年4月存款保险的整体上调。In this new environment,financial institutions are expected to develop further creative business services that meet the needs of customers through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：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：lAssessing various risks not only in a conservative way but also in an accurate way.稳健而准确地进行风险评估。lIn other words,financial institutions are expected to grasp effectively the various risks inherent in their business(e.g.economic value and its volatility of all the assets they possess and transactions they engage in),and also to establish a framework that manages these risks in an integrated way.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价值及波动)，并建立风险综合综合管理机制lIn addition,Basel II implementation surely pressures banks to intensify the above efforts.此外，巴塞尔 的出台迫使银行强化上述措施。3Advancing Risk Management-Means What?强化风险管理意味着什么？强化风险管理意味着什么？Our understanding of“advancing risk management”对“强化风险管理”的理解Enhancing the communication tools among stakeholders(senior managers,risk managers,shareholders,regulators,etc.)to reach a consensus view of risk profile and amounts.促进利益各方（高级经理，风险管理经理，股东，监管者等）的交流交流,以就风险预测及总量达成一致意见。Not necessarily indicating a more use of Greek letters and math formula无需多用希腊字母和数学公式What banks need is more objective and more persuasive tools to assess risks 银行业需要更客观、更有说服力的风险评估工具lObjective and persuasive risk assessments lead to higher transparency of risk management process and thereby clarify the responsibility associated with risk taking activities help ensure the direction toward improving risk management.客观而有说服力的风险评估将增强增强风险管理过程透明性透明性，进而明确风险活动各方的责任有助于确保改善风险管改善风险管理理lThere are no best practices of banks risk management,which could differ depending on their facing environments need to establish the incentive mechanism to ensure the direction toward improving risk management.并不存在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最佳方案需要建立激励机制激励机制，以确保改善风险管理4BOJs Initiative(1)-Publication of Sound Practices Papers日本银行的动作（日本银行的动作（1 1）-公布金融机构整合风险管理报告公布金融机构整合风险管理报告 5The Bank of Japan established the Center for Advanced Financial Technology in July,2005.日本银行于2001年7月设立高级金融技术中心。One major mission of this new organization is to develop the third channel,besides on-site examinations and off-site monitoring,to communicate with banks about the risk management framework and methods.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。Using the three sound practice papers as the main subjects,the Center has already hosted:以三份报告为主题，该中心已成功主办：l2 seminars for the large number of financial institutions focusing on overall risk management issues that are dealt with by three papers,and2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l12 seminars for regional banks(2030 banks for each)focusing on the issues that are dealt with by one paper for each seminar.12期由区域银行参与的研讨会（每次2030家银行），每期就一份报告涉及的相关问题展开讨论。BOJs Initiative(2)-Hosting a Series of Seminars for Banks日本银行的动作（2）-主办一系列银行业发展研讨会6BOJs Organizational Changes and Setting up the Center for Advanced Financial Technology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Financial Systems Dept.金融体系部 Policy Planning政策制订International Issues国际事务Bank Examination and Surveillance Dept.银行检查与监督部Policy Implementation政策执行On-site Examination实地考查Off-site Monitoring非实地监管Financial Systems and Bank Examination Dept.金融体系和银行管理部Center for Advanced Financial Technology(Newly Established)高级金融技术中心（新设立）Planning and Implementation 制订和执行International Issues国际事务On-site Examination实地考查Off-site Monitoring非实地监管7Advancing Risk Management-Its Relation with Basel II强化风险管理与巴塞尔强化风险管理与巴塞尔 的关系的关系The concept of“advancing risk management”is in line with“successfully implementing Basel II”“强化风险管理”与“成功实施巴塞尔”理念一致The concept of Basel II that strongly pushes banks toward the direction of assessing risks“more precisely”and“transparently”in a“self-disciplined”manner is completely shared by us when advocating for the need of advancing risk management.巴塞尔的理念是通过“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。Our strategy is to capitalize on,to the maximum,the implementation of Basel II and its accompanying momentum of advancing risk management among banks.我们的战略是最大限度的利用巴塞尔及其附随文件中关于强化银行风险管理的规定。The greatest challenge for us is how to convince banks of the need and usefulness of advancing risk management“by themselves”in“a flexible manner”and thereby avoid the case where banks seek for an excessively detailed“one-size-fits-all”type guidance.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。8I.“Advancing Credit Risk Management through Internal Rating Systems”以内部评级制度为基础强化信用风险管理以内部评级制度为基础强化信用风险管理9SPP-I:“Advancing Credit Risk Management through Internal Rating Systems”报告报告I I：以内部以内部评级制度为基础强化信用风险管理评级制度为基础强化信用风险管理Contents内容Architecture of internal rating system内部评级制度体系 Rating process and rating models评级实施程序和评级模型Estimation of risk components风险要素推算Uses of internal rating systems内部评级制度的灵活运用Validation of internal rating systems内部评级制度的验证Quantification of credit risk信用风险的计量化The paper tries to show our thinking of sound practices,being compared with current practices of major banks and thereby facilitate small banks to consider them as the real world cases.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10Framework of Advancing Credit Risk Management强化信用风险管理设想强化信用风险管理设想(Major discussion points in the seminars)Definition of default,consistent treatment of counterparty risks of market transactions,data integrity required for estimating risk components,concentration risk control measures using UL outcome,etc.（研讨会的讨论要点）违约的定义，市场交易伙伴风险的协调处理，风险因素评估所需要的资料整合，利用UL成果集中风险管理措施。Migration matrixProbability of default(PD)Internal useRisk ComponentsLoss given default(LGD)Exposure at default(EAD)CorrelationCalculation of credit risk amount Expected loss(EL)Unexpected loss(UL)Stress testingPortfolio monitoringProvisioningPricingProfit managementCapital allocationQuantification of credit riskReporting tothe BoardInternal ratingQuantitative evaluationFinancial dataQualitative evaluation11Process of internal Ratings1.Model estimating PDs of obligors(Logit or Probit model）债务人PD推算模型2.Model estimating external ratings 外部评级推算模型3.Hybrid model of 1.and 2.模型1、2的结合0%20%40%60%80%100%-5-4-3-2-1012345Score based onfinancial informationAssessing RatingsQuantitative rating modelBorrowers financial dataFinal RatingRating mitigation after 1 yearPD per rating grade Initial evaluation(tentative)Estimation of PDNeeds attentionBankruptdefaultQuantitative evaluationQualitative evaluationBorrowers qualitative informationNormal PDScore based onfinancial information12Quantitative and Qualitative Information Used for Rating Assignment评级需要的需要的定量要素定量要素和和定性要素定性要素 Examples of Quantitative Factors定量要素事例 Examples of Qualitative Factors定性要素事例 Examples of Factors Determining Facility Ratings项目评级的要素事例 Type of factorExampleSize of operationAmount of capital and net assetsSafetyCurrent ratio,capital adequacy ratio,and current account balance ratioProfitabilityReturn on assets,operating profit on sales,years required to pay back interest-bearing liabilities,and interest-coverage ratioOthersRate of growth in sales and profitsType of factorExampleIndustryGrowth potential,size of market fluctuation,and entry barriersFirmRelationship with parent companies or firms with capital tie-ups,management ability,and existence of external auditType of factorReal estate financeProject financeQuantitative factorsCredit-extension period,LTV,and DSCRCredit-extension period and DSCRQualitative factorsCharacteristics of real estates(e.g.,locational conditions),adequacy of cash flow schedule,and risks attached to the sponsor of the project Risk attached to the project(e.g.,risks attached to the sponsor and operator of the project,and the risk of being unable to complete the project)and transfer risk13What Factors Determine the Ratings?决定评级的因素决定评级的因素(Major discussion points in the seminars)The need and usefulness of facility rating given the widespread use of unique pledge system in lending,i.e.“pooled collateral system”where each collateral is not linked to each transactions but to each borrower.（研讨会的讨论要点）：市场普遍使用独特贷款抵押制度，即抵押融资与债务人而非交易相关联的“集资抵押体系”下，进行能力评估的必要性和有效性。One dimensional system bases facility ratings on borrower ratings and makes upward or downward adjustments to the grades as necessary to reflect the characteristics of the loan transaction concerned.A twodimensional system combines borrower ratings with evaluation of the features of individual loan transactions independent of borrowers(e.g.,ratings based on LGD).Grade123910Grade123910GradeABCIJBorrower ratings(1 to 10)Facility ratings(A to J)(One-dimensional system)Borrower ratingsFacility ratings(A to J)(Twodimensional system)Ratings based on LGDBorrower ratings14How to Validate Rating Model?评级模型的修正评级模型的修正 Many banks including major ones are still seeking for the appropriate validation methods of internal rating systems and risk components.包括主要银行在内的许多银行仍在寻求的内部评级制度和风险因素恰当的修正方法。0100CAP curve of a perfect modelCAP curve of random model(no discriminatory power)CAP curve of a model being evaluated(%)ABA model has more accuracy as the curve moves to the upper leftRatio of cumulative number ofdefaulted firms 100(%)ScoreNon-defaulted firmsDefaulted firmsNumberof firms Area(B)Area(A)+Area(B)AR Rating at the end of the yearRating at the beginning of the yearCheck the order of migration rate from rating 1 to other ratings Check the order of default ratesCheck the order of migration rate to rating 7 from other ratings Default(Example 2)15Use of Internal Rating Systems内部评级制度的灵活运用内部评级制度的灵活运用 Use of Internal rating systems内部评级制度的灵活运用 (Loan Origination)（授信执行阶段）lSetting upper credit limits based on rating grades设定各个评级的授信限额。l Setting authority ranks for loan approval by rating grade设定各个评级的授信决定权限。l Simplifying the loan review process for highergraded borrowers简化优良评级企业的审查程序。(Monitoring)（中间管理）l Monitoring individual borrowers based on rating grades针对不同的评级对授信企业的管理l Monitoring the overall loan portfolio把握授信资产组合整体的信用状况。Uses of PD for each rating grade 各个评级PD的运用lQuantification of credit risk and allocation of capital信用风险的计量和资本配置l Pricing of loan rates reflecting credit risk考虑信用风险定价（设定贷款基准利率）l Evaluating the economic value of loans把握贷款的经济价值Many banks have already used the internal rating systems as indicated in the above with some exceptions such as facility rating.许多家银行已经建立了除设备评估外的上述内部评级制度。16II.Advancing Operational Risk强化操作风险管理强化操作风险管理 17SPP-II:“Advancing Operational Risk Management”报告报告2 2：强化操作风险管理：强化操作风险管理 Contents 内容Characteristics of op risk and the need to advance op risk management操作风险特征和强化操作风险管理的必要性Overview of efforts to advance op risk management and the establishment of an op risk management section强化操作风险管理机制的概要和操作风险总括部门设置Quantifying op risk操作风险的计量Approaches to identifying and assessing op risk other than quantification计量以外的操作风险的把握、评估手法The paper tries to strike the right balance between the importance of advancing op risk management using e.g.risk quantification methods and the need to maintain the conventional op risk management by emphasizing their complementary characteristics.该报告试图探索新旧两种操作风险管理的合理安排，既突出运用风险计量方法等手段强化管理的重要性，又考虑到维持传统操作风险管理，发挥其补充作用的必要性。18Advancing Op.Risk-Why Now？目前目前强化操作化操作风险管理的原因何在？管理的原因何在？Changes in the environment surrounding FIs operations 围绕FIsoperations的外部环境变化l Business diversification,more sophisticated financial technologies,widely used IT and outsourcing.业务多元化、金融技术高端化，业务处理的IT化、外包规模的扩大等局面l The introduction of Basel II（allocation of capital for op.risk)引入巴塞尔（操作风险也必须计提自有资本）l Major disaster such as earthquakes,terrorist attacks and uncovering of serious corporate scandals(society is increasingly aware of the need for the firms management of op.risk).最近发生的地震、恐怖事件等大规模灾害，以及国内外企业重大违规事件的攀升（社会整体对操作风险的关心程度越来越高）New challenges面临的新挑战l Need to manage op.risk more efficiently by identifying op.risk profile in a firm-wide manner and thereby putting some priority on their management.金融机构继续增强内在的综合把握、评估操作风险的基础上，进一步执行有张有弛的风险管理l Need to establish structures that can quickly detect heightened risk and respond appropriately before the risk materializes.提高操作风险增大的预期能力，完善在操作风险发生前采取稳妥措施的体制l Need to create mechanisms for autonomous risk management in all sections of their operations.各个现场建立能够自律应对操作风险管理的机制19Characteristic of Op.Risk操作风险特征操作风险特征Forms of risk materialization风险显现形态l Direct loss,indirect loss or impact incurred to third parties直接损失、间接损失以及对第三方带来的损失l High frequency and low severityorlow frequency and high severity“发生频率高，损失规模小”或“发生频率低但损失规模大”Causes of risk materialization风险发生的主要原因l It is normally difficult to narrow down the factors causing such risk to materialize,and quite often,it only emerges when several factors come into play simultaneously.操作风险通常很难找出特定的风险显现的原因，而且多个原因共同作用风险才体现出来的情况也不在少数。Smallscale problems occurring at relatively high frequencyProblems that do not occur often but have severe consequences when they do occurDistribution of Losses Arising from the Materialization of Op.RiskFrequencyAmount of loss of lossesFrequencyDistribution of Profits/Losses(Losses/Gains)Arising from the Materialization of Market RiskAmount of profits/lossesProfits/losses are distributed more or less symmetrically around the mean(close to zero)20Conventional Operational Risk Management Methods以前我国金融机构的操作风险管理手法以前我国金融机构的操作风险管理手法Category 项目 Method 方 法Multilevel checks and balances system多层次的牵制体制 Reexamination and multiple signatory system再次鉴定、检印制度Segregation of duties 权限分离Inhouse inspections 部门、店内检查Insistence on recordkeeping 保存记录Standardization and streamlining of business procedures事务内容的标准化和效率化 Establishment of P&P完善事务规程、指南等Institutionwide guidance on business operations本部进行事务指导Strengthening systems support强化系统支持Discipline and motivation规律、动机 Human resource(HR)management and performance evaluations人事层面的管理、业绩评估Response to accidents and other problems事件、事故对策 Implementation of measures to prevent recurrences实施防止再次发生措施 Internal audits内部监察 Auditor section audits内部审核部门独立审核21Considerations of Op