商业银行风险管理[文献翻译]

“RISK MANAGEMENT IN COMMERCIAL BANKS” (A CASE STUDY OF PUBLIC AND PRIVATE SECTOR BANKS) - ABSTRACT ONLY 1. PREAMBLE: 1.1 Risk Management: The future of banking will undoubtedly rest on risk management dynamics. Only those banks that have efficient risk management system will survive in the market in the long run. The effective management of credit risk is a critical component of comprehensive risk management essential for long-term success of a banking institution. Credit risk is the oldest and biggest risk that bank, by virtue of its very nature of business, inherits. This has however, acquired a greater significance in the recent past for various reasons. Foremost among them is the wind of economic liberalization that is blowing across the globe. India is no exception to this swing towards market driven economy. Competition from within and outside the country has intensified. This has resulted in multiplicity of risks both in number and volume resulting in volatile markets. A precursor to successful management of credit risk is a clear understanding about risks involved in lending, quantifications of risks within each item of the portfolio and reaching a conclusion as to the likely composite credit risk profile of a bank. The corner stone of credit risk management is the establishment of a framework that defines corporate priorities, loan approval process, credit risk rating system, risk-adjusted pricing system, loan- review mechanism and comprehensive reporting system. 1.2 Significance of the study: The fundamental business of lending has brought trouble to individual banks and entire banking system. It is, therefore, imperative that the banks are adequate systems for credit assessment of individual projects and evaluating risk associated therewith as well as the industry as a whole. Generally, Banks in India evaluate a proposal through the traditional tools of project financing, computing maximum permissible limits, assessing management capabilities and prescribing a ceiling for an industry exposure. As banks move in to a new high powered world of financial operations and trading, with new risks, the need is felt for more sophisticated and versatile instruments for risk assessment, monitoring and controlling risk exposures. It is, therefore, time that banks managements equip themselves fully to grapple with the demands of creating tools and systems capable of assessing, monitoring and controlling risk exposures in a more scientific manner. Credit Risk, that is, default by the borrower to repay lent money, remains the most important risk to manage till date. The predominance of credit risk is even reflected in the composition of economic capital, which banks are required to keep a side for protection against various risks. According to one estimate, Credit Risk takes about 70% and 30% remaining is shared between the other two primary risks, namely Market risk (change in the market price and operational risk i.e., failure of internal controls, etc.). Quality borrowers (Tier-I borrowers) were able to access the capital market directly without going through the debt route. Hence, the credit route is now more open to lesser mortals (Tier- II borrowers).With margin levels going down, banks are unable to absorb the level of loan losses. There has been very little effort to develop a method where risks could be identified and measured. Most of the banks have developed internal rating systems for their borrowers, but there hasbeen very little study to compare such ratings with the final asset classification and also to fine-tune the rating system. Also risks peculiar to each industry are not identified and evaluated openly. Data collection is regular driven. Data on industry-wise, region-wise lending, industry-wise rehabilitated loan, can provide an insight into the future course to be adopted. Better and effective strategic credit risk management process is a better way to Manage portfolio credit risk. The process provides a framework to ensure consistency between strategy and implementation that reduces potential volatility in earnings and maximize shareholders wealth. Beyond and over riding the specifics of risk modeling issues, the challenge is moving towards improved credit risk management lies in addressing banks readiness and openness to accept change to a more transparent system, to rapidly metamorphosing markets, to more effective and efficient ways of operating and to meet market requirements and increased answerability to stake holders. There is a need for Strategic approach to Credit Risk Management (CRM) in Indian Commercial Banks, particularly in view of; (1) Higher NPAs level in comparison with global benchmark (2) RBI s stipulation about dividend distribution by the banks (3) Revised NPAs level and CAR norms (4) New Basel Capital Accord (Basel II) revolution According to the study conducted by ICRA Limited, the gross NPAs as a proportion of total advances for Indian Banks was 9.40 percent for financial year 2003 and 10.60 percent for financial year 20021. The value of the gross NPAs as ratio for financial year 2003 for the global benchmark banks was as low as 2.26 percent. Net NPAs as a proportion of net advances of Indian banks was 4.33 percent for financial year 2003 and 5.39 percent for financial year 2002. As against this, the value of net NPAs ratio for financial year 2003 for the global benchmark banks was 0.37 percent. Further, it was found that, the total advances of the banking sector to the commercial and agricultural sectors stood at Rs.8,00,000 crore. Of this, Rs.75,000 crore, or 9.40 percent of the total advances is bad and doubtful debt. The size of the NPAs portfolio in the Indian banking industry is close to Rs.1,00,000 crore which is around 6 percent of India s GDP2. The RBI has recently announced that the banks should not pay dividends at more than 33.33 percent of their net profit. It has further provided that the banks having NPA levels less than 3 percent and having Capital Adequacy Reserve Ratio (CARR) of more than 11 percent for the last two years will only be eligible to declare dividends without the permission from RBI3. This step is for strengthening the balance sheet of all the banks in the country. The banks should provide sufficient provisions from their profits so as to bring down the net NPAs level to 3 percent of their advances. NPAs are the primary indicators of credit risk. Capital Adequacy Ratio (CAR) is another measure of credit risk. CAR is supposed to act as a buffer against credit loss, which isset at 9 percent under the RBI stipulation4. With a view to moving towards International best practices and to ensure greater transparency, it has been decided to adopt the 90 days over due norm for identification of NPAs from the year ending March 31, 2004. The New Basel Capital Accord is scheduled to be implemented by the end of 2006. All the banking supervisors may have to join the Accord. Even the domestic banks in addition to internationally active banks may have to conform to the Accord principles in the coming decades. The RBI as the regulator of the Indian banking industry has shown keen interest in strengthening the system, and the individual banks have responded in good measure in orienting themselves towards global best practices. 1.3 Credit Risk Management(CRM) dynamics: The world over, credit risk has proved to be the most critical of all risks faced by a banking institution. A study of bank failures in New England found that, of the 62 banks in existence before 1984, which failed from 1989 to 1992, in 58 cases it was observed that loans and advances were not being repaid in time 5 . This signifies the role of credit risk management and therefore it forms the basis of present research analysis. Researchers and risk management practitioners have constantly tried to improve on current techniques and in recent years, enormous strides have been made in the art and science of credit risk measurement and management6. Much of the progress in this field has resulted form the limitations of traditional approaches to credit risk management and with the current Bank for International Settlement (BIS) regulatory model. Even in banks which regularly fine-tune credit policies and streamline credit processes, it is a real challenge for credit risk managers to correctly identify pockets of risk concentration, quantify extent of risk carried, identify opportunities for diversification and balance the risk-return trade-off in their credit portfolio. The two distinct dimensions of credit risk management can readily be identified as preventive measures and curative measures. Preventive measures include risk assessment, risk measurement and risk pricing, early warning system to pick early signals of future defaults and better credit portfolio diversification. The curative measures, on the other hand, aim at minimizing post-sanction loan losses through such steps as securitization, derivative trading, risk sharing, legal enforcement etc. It is widely believed that an ounce of prevention is worth a pound of cure. Therefore, the focus of the study is on preventive measures in tune with the norms prescribed by New Basel Capital Accord. The study also intends to throw some light on the two most significant developments impacting the fundamentals of credit risk management practices of banking industry New Basel Capital Accord and Risk Based Supervision. Apart from highlighting the salient features of credit risk management prescriptions under New Basel Accord, attempts are made to codify the response of Indian banking professionals to various proposals under the accord. Similarly, RBI proposed Risk Based Supervision (RBS) is examined to capture its direction and implementation problems。 1.4 Objectives of the research: The present study attempts to achieve the following objectives: 1. Analysis of trends in Non-Performing Assets of commercial banks in India. 2. Analysis of trends in credit portfolio diversification during the post-liberalization period. 3. Studying relationship between diversified portfolio and non-performing assets of public sector banks vis-vis private sector banks. 4. Profiling and analysis of concentration risk in public sector banks vis-vis private sector banks. 5. Evaluating the credit risk management practices in public sector banks vis-vis private sector banks. 6. Reviewing the New Basel Capital Accord norms and their likely impact on credit risk management practices of Indian commercial banks. 7. Examining the role of Risk Based Supervision in strengthening credit risk management practices of Indian commercials banks. 8. Suggesting a broad outline of measures for improving credit risk management practices of Indian commercial banks. 2. THE PROBLEM OF NON-PERFORMING ASSETS 2.1 Introduction: Liberlization and Globalization ushered in by the government in the early 90s have thrown open many challenges to the Indian financial sector. Banks, amongst other things, were set on a path to align their accounting standards with the International standards and by global players. They had to have a fresh look into their balance sheet and analyze them critically in the light of the prudential norms of income recognition and provisioning that were stipulated by the regulator, based on Narasimhan Committee recommendations. Loans and Advances as assets of the bank play an important part in gross earnings and net profits of banks. The share of advances in the total assets of the banks forms more than 60 percent7 and as such it is the backbone of banking structure. Bank lending is very crucial for it make possible the financing of agricultural, industrial and commercial activities of the country. The strength and soundness of the banking system primarily depends upon health of the advances. In other words, improvement in assets quality is fundamental to strengthening working of banks and improving their financial viability. Most domestic public sector banks in the country are expected to completely wipeout their outstanding NPAs between 2006 and 20088. NPAs are an inevitable burden on the banking industry. Hence the success of a bank depends upon methods of managing NPAs and keeping them within tolerance level, of late, several institutional mechanisms have been developed in India to deal with NPAs and there has also been tightening of legal provisions. Perhaps more importantly, effective management of NPAs requires an appropriate internal checks and balances system in a bank9. In this background, this chapter is designed to give an outline of trends in NPAs in Indian banking industry vis-vis other countries and highlight the importance of NPAs management. NPA is an advance where payment of interest or repayment of installment of principal (in case of Term loans) or both remains unpaid for a period of 90 days10 (new norms with effect from 31st March, 2004) or more. 2.2 Trends in NPA levels: The study has been carried out using the RBI reports on banks (Annual Financial Reports), information / data obtained from the banks and discussion with bank officials. For assessing comparative position on CARR, NPAs and their recoveries in all scheduled banks viz., Public sector Banks, Private sector banks were perused to identify the level of NPAs. The Table 2.1 lists the level of non-performing assets as percentage of advances of pubic sector banks and private sector banks. An analysis of NPAs of different banks groups indicates, the public sector banks hold larger share of NPAs during the year 1993-94 and gradually decreased to 9.36 percent in the year 2003. On the contrary, the private sector banks show fluctuating trend with starting at 6.23 percent in the year 1994-95 rising upto 10.44 percent in year 1998 and decreased to 8.08 percent in the year 2002-03 2.3 International comparison of NPA levles: Comparison of the problem loan levels in the Indian banking system vis-vis those in other countries, particularly those in developed economies, is often made, more so in the context of the opening up of our financial sector. The data in respect of NPAs level of banking system available for countries like USA, Japan, Hong Kong, Korea, Taiwan （1）不良资产水平较高的全球基准比较 （2）印度储备银行是关于规定股息分销的银行 （3）经修订的国家行动纲领的水平和 CAR 规范 （4）新巴塞尔资本协定（巴塞尔二）革命 根据 ICRA 公司的调查研究报告，印度的银行一审计年的估计资不良资产比例已从 2003 年的 9.4%上升至 2002 年的 10.6%.在这些全球化的银行里，总的估计不良资产比例在 2003 审计年内降低了 2.26%个百分点。而净不良资产比例已有从 2003 年的 5.39%下降至 2002 年的 4.33%。而与之相反的是，印度的银行的净不良资产比例在 2003 年的审计年内 仅仅降低了 0.37%个百分点。在未来，印度这些银行总的将放在商业和农业领域的投资会 在 8,00，000 千万卢比。其中，约为 75,000 千万卢比，总投资的 9.4%将会是坏账和呆账。 整个印度银行业各类投资不良资产规模已有 1,00，000 千万卢比，占了整个印度年 GDP 的 6%。 印度银行（央行）目前已经宣布任何银行将不得支付超过 33.33%的红利。而且他还进 一步提出，只有银行的不良资产比例小于 3%，同时拥有充足的存款，准备金率在过去两 年当中超过 11%才有资格在没有得到印度银行允许下发放红利。这一措施将有助于加强印 度国内银行的资产平衡率。这些银行必须提供他们利润的完备信息证明以使净不良资产比 例降低到 3%以下。 资产不良率（NPA） 是信贷风险的首要指标，而资金充分率(CAR)是另一项重要指标。 CAR 被认为是重要指标是因为它是平衡信贷流失的重要指标，它必须达到由印度银行规定 的 9%比例。从国际上各类不断完善以确保银行透明度越来越高的方法来看，由 2004 年 3 月 31 日决定在年底将采用“90 天或以上”定为资产不良率的衡量方法。 新巴塞尔资本适足公约将在 2006 年底开始生效，所有的银行监督机构将纳入该体系内。 包括国内银行，国际银行业将在未来数十年内纳入其中。作为印度银行体系监管者的印度 银行已经对该加强管理体系表现出的浓厚的兴趣，而一些私人银行也已经积极回应，并希 望能够通过以国际上最好的方法来更好的衡量他们自身。 1.3 信贷风险管理（CRM）的动态： 从世界范围来看，信用风险已被证明是金融机构面临的所有风险中最至关重要的。 1984 年前新英格兰存在 62 个银行，1989 年至 1992 年不到 58 个，从新英格兰的银行倒闭 的研究发现，银行贷款及垫款没有得到及时偿还。这标志着信贷风险管理中的作用，因此， 它构成了目前的研究分析的基础。 研究人员和风险管理从业人员不断试图改善目前的技术，最近几年，在艺术和信用风 险计量和管理科学方面取得了巨大进步。在这领域的进展已导致许多形式的信贷风险管理 的传统限制，以及当前国际清算银行（BIS）监管模式的局限性。即使在实行定期微调信 贷政策或简化信贷程序的银行，要正确识别风险、集中财力并进行量化的风险程度，确定 多样化的机会，平衡其投资组合中风险回报所占的比例等等对于风险管理者来讲仍然是一 个极大的挑战！ 这两个不同的信用风险管理方面可以很容易地被识别，即预防和治疗措施。预防措施 包括风险评估，风险计量和风险定价，早期预警系统为挑选未来默认的早期信号和更好的 信贷资产组合多样化。另一方面，治疗措施的目标是尽量通过这些步骤，例如证券，金融 衍生工具交易，风险共担，执法等来减少贷款损失。人们普遍认为，一盎司的预防胜过一 磅的治疗。因此，研究的重点是在与新巴塞尔资本协议规定的规范调整的预防措施。 这项研究还指出两个影响银行信贷风险管理实践的基础产业的发展情况新巴塞尔 资本协定与风险性监管。除了强调巴塞尔协议新形势下的信贷风险管理规定的突出特点外， 还企图印度银行专业人员根据协议编纂各种应对建议。同样，印度储备银行提出了基于被 检查风险的监管（RBS） ，以掌握其方向和执行问题。 1.4 研究目标： 本研究试图实现以下目标： 1 分析商业银行不良资产在印度的趋势。 2 分析在后自由化时期，信贷资产组合多样化的趋势。 3 公共部门银行的不良资产与私人银行的多元化投资组合之间的关系研究。 4 剖析和分析公共部门对私营部门的集中风险。 5 评价公共部门银行相对于私人银行的信贷风险管理措施。 6 审查新巴塞尔资本协定规范及其对印度商业银行的信用风险管理做法可能产生的 影响。 7 审查基于风险的监管，加强对银行信贷风险管理做法方面的作用。 8 建议改善印度商业银行实行信贷风险管理的的措施梗概。 2.不良资产问题 2.1 简介： 在 90 年代初，Liberlization 与全球化政府对印度金融部门抛出了许多挑战。除其他事 项外，银行分别设置其国际标准和全球性企业的会计标准。他们有对其的早餐负债表重新 审视，并基于 Narasimhan 监管委员会建议来严格分析确认收入的审慎监管，和用规范的角 度来看待他们的供应。 贷款和垫款作为银行资产总额在银行的净盈利和利润上发挥着重要组成部分的作用。 并在银行的总资产份额形式上上升 60%以上，因此它是银行体系的骨干。银行贷款非常重 要就在于它有可能帮该国的农业，工业和商业活动提供资助。银行体系的实力和稳健主要 取决于有关贷款的健康。换句话说，资产质量的提高是加强对银行工作和改善其财政状况 的根本。预计 2006 年至 2008 年的国家行动纲领突出说明国内大多数国家的公共部门银行 完全出局。 国家行动纲领是对银行业的必然负担。因此，一家印度已发展到处理不良资产和不良 资产的管理水平保持在公差后期的银行的成功取决于印度的一些体制机制，方法和出现的 法律规定的紧缩。也许更重要的是，不良资产的有效管理要求在银行开立适当的内部制衡 制度。 在此背景下，这一章是为了给印度银行业对其他国家不良资产的趋势纲要和突出不良 资产管理的重要性。国家行动纲领是一个先进的地方利益或本金（在定期贷款情况下） ，或 依然为 90 天分期偿还款项（新规范至 2004 年 3 月 30 日起生效）或更长时间未付。 2.2 国家行动纲领的趋势程度： 这项研究是使用印度储备银行的报告（年度财务报告） ，信息/从银行及银行官员讨论 获得的数据来进行的。从卡尔，国家行动