基于新巴塞尔协议II的风险管理问题-Slide1.ppt

ASIAPACIFICDEVELOPMENTCENTREWORKSHOPONRISKMANAGEMENTINCOMMCERCIALBANKSSHANGHAI,20/21STDECEMBER2005,PresentationbyKenWallerGroupEconomicAdvisorCommonwealthBankofAustraliaSessionIIBaselII-basedRiskManagement:RequirementsandChallengesforCommercialBanks基于新巴塞尔协议II的风险管理问题：对商业银行的要求及挑战发言人：KenWaller,澳洲联邦银行高级顾问,Agenda综述,1.Whyriskmanagementiscriticaltogoodbanking风险管理的重要性2.Factorswhichimpactonrisk风险因素BaselIIriskmanagementsupervision巴塞尔协议II对风险管理的监管Requirementsoncommercialbanks对商业银行的要求ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战6.Conclusions结论,1.Whyriskmanagementiscriticaltogoodbanking风险管理的重要性,Obligationonbankstoprotectdepositorsavingsfundamental-oftenrequiredunderlaw银行有保护客户存款的基本法律义务Shareholdersexpectgrowthinearningsfromsoundbankmanagement健全的银行管理可以增加股东的回报Vitalforconfidenceinbankingsystem;forsoundeconomicperformanceandimprovinglivingstandardsofcommunity提升对银行系统的信任度，促进经济良好发展以及改善人民生活水平Ensuresbestuseofcapitalinbanks确保银行资金利用最优化,2.Factorswhichimpactonrisk风险因素,Internationalanddomesticeconomicconditions国内外经济形势-Asianfinancialcrisisof1997/98caused“contagion”acrosstheregion97/98年亚洲金融危机引起区域连锁反应-globalimbalancesthreatenstability全球发展不平衡危及社会稳定-energypricerises能源价格上涨-terrorism恐怖主义-avianflu禽流感,2.2Factorswhichimpactonrisk(continued)风险因素（续）,Qualityofmacroeconomicmanagementofaneconomy经济宏观调控的质量-budgetsbalanceoverthecycle预算-经济周期内保持平衡-monetarypolicysustainedlowinflation货币政策-持续的低通货膨胀-exchangerates-flexible弹性汇率制度-capitalaccountliberalise资本项目自由化-taxationpoliciessimple,transparent,equitable税收政策简洁、透明、公正,2.3Factorswhichimpactonrisk(continued)风险因素（续）,Qualityofprudentialsupervisionoffinancialsystem谨慎监管金融系统的质量-helpsdeterminethe“credit”culture有助于营造“信用”文化氛围-valueofinternationalregulatorystandardsandpractices国际监管标准与实践的价值-qualityof“governance”inregulatoryagenciesandinministries监管部门的“监管”效果-soundlegalsupervisoryframework良好的法律监督机制,2.4Factorswhichimpactonrisk(continued)风险因素（续）,Changingtechnologyinfinanceoftencostlyandcomplextomanage金融领域新科技的引入-成本高，难掌握Productinnovationnewproductscomplex产品创新-新产品-复杂Changingownershipstructuresmergers/acquisitions改变所有者结构-兼并/收购Financialmarketintegrationchallengeforsupervisors/cross-borderharmonisation金融市场的整合-给监管机构/各国之间的制度协调带来挑战,3.BaselIIRiskmanagementsupervision巴塞尔协议II-对风险管理的监管,Supervisionofriskmanagementwithinframeworkthreepillars风险管理三大支柱Pillar1minimumcapitalrequirement支柱1-最低资本金要求-threechoicesformanagingcreditrisk识别信贷风险的三种方法-standardised标准法-foundationinternalratings(FIRB)基础内部评级-advancedinternalratings(AIRB)高级内部评级-marketriskelementisunchanged市场风险要素保持不变-operationalrisknewelementtocoverlossresultingfrominadequateorfailedprocesses,peopleandsystemsandexternalevents操作风险-新要素-指由不完善的或失败的内部程序、人员及系统或外部事件造成损失的风险,3.2BaselIIriskmanagementsupervision(continued)巴塞尔协议II-对风险管理的监管（续）,Pillar2Supervisoryreviewofcapitaladequacy支柱2资本充足性的监管约束-basedonaseriesofguidingprinciplesbanksrequiredtoassesstheircapitaladequacyprovisionsrelativetorisk以银行用以评估资本充足状况的一系列指导原则为基础-supervisorsreviewbanksprocesses-involvesincreaseddialoguewithbanks监管机构考核银行的流程-加强与银行沟通,3.3BaselIIriskmanagementsupervision(continued)巴塞尔协议II-对风险管理的监管,Pillar3marketdiscipline支柱3市场约束-moredisclosurerequiredofbanks加大银行信息披露-providesforgreaterunderstandingbymarketparticipantsonabanksriskprofileandcapitalisation为市场参与者提供更多银行风险状况、资本结构及资本充足状况的信息Marketsshouldbecomemorediscerningaboutabanksqualityimpactoncreditratingandcostofraisingcapital市场应该增强对银行的鉴别能力-信用评级的影响-筹集资本的成本,3.4BaselIIriskmanagementsupervision(continued)巴塞尔协议II-对风险管理的监管,Alignsregulatorycapitalwithbanksassessmentofeconomiccapital衡量风险时，采取将监管资本与银行对经济资本的评估相结合的方法Principlesbasedapproachtosupervisionratherthanarules-basedapproach以原则为导向而非以准则为导向Roleofbankboardsenhancedandcriticaltoprocessofriskmanagement加强银行董事会的作用，特别是对风险管理的关键作用,4.Requirementsoncommercialbanks对商业银行的要求,Majorchangestobanksgovernancearrangements银行治理的主要变化-regularsubmissionstoboardsadvisingaccreditationprocesses定期向董事会提交评审流程-implementationrequiresrigorousworkonimprovingcreditriskmanagementandknowledgeandmanagementofoperationalrisk加大信用风险及操作风险管理力度，强化风险管理意识,4.2Requirementsoncommercialbanks对商业银行的要求,Dealingwithcreditandmarketrisk应对信用及市场风险-upgradecreditriskanalyticsandreporting提升信用风险的分析和报告-upgradecollateralmanagementsystems提升抵押控制系统-creditriskfactors/riskmodelvalidation信用风险因素/信用模型的确定-improveanalysisandfocusoninterestrateinthebankingbook改善银行账目利率分析,4.3Requirementsoncommercialbanks对商业银行的要求,Operationalrisk操作风险-develop/reviewriskindicatorsandscenarioanalysis建立/评估风险指标和情景分析-refinecapitalmodelling改善资本模型-refineITsolutions改善IT解决方案-businessandstrategicriskanalysisprovideforbusinesscontinuitycomplywith“useandexperience”test业务和战略风险分析业务持续发展遵从“应用测试”,5.ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战,Basedonaminimumcapitalrequirementwhichhastobemet,includingforoperationalrisk必须达到包括操作风险在内的最低资本金要求Requiresanintegratedapproachtoriskmanagementandconcertedefforttoimplementbyboardsandmanagement需要董事会和管理层的共同努力，并采取统一的风险管理的方法Maywellrequireamajorchangeinculture很大程度上要求环境的转变Processesrequirestrongandeffectivegovernanceprocessesinbanks(andsupervisoryagencies)要求银行（和监管部门）实施完善和有效的治理流程,5.2ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战,“Useandexperiencetest”supervisorsrequirebankstodemonstratetheycanestimateregulatorycapitalrequirementsandcanmanagerisk“应用测试”-监管部门要求银行证明有能力预估监管资本要求并能够控制风险Formostbanks,upgradeofdataandmanagementprocessesforcreditandoperationalriskrequired对于大多数银行而言，应提升信息系统，并改善信用风险与操作风险的管理流程Stringentrequirementsonboardsandmanagement(requiringdetailededucationandtrainingprograms)严格要求董事会及管理层(要求详细的教育和培训计划),5.3ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战,ImportantforbankstodeterminewhethertheyseekthestandardisedorIRBapproachthelattercanbecostlyintermsofcapitalandhumanresourcesforsmallerbanks关键在于银行选择标准法还是基于内部评级法后者对于中小银行而言对资本和人力投入的要求更