基于新巴塞尔协议II的风险管理问题图文

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基于新巴塞尔协议II的风险管理问题ASIAPACIFICDEVELOPMENTCENTRE

WORKSHOPONRISKMANAGEMENTINCOMMCERCIALBANKS

SHANGHAI,20/21STDECEMBER2005PresentationbyKenWallerGroupEconomicAdvisorCommonwealthBankofAustraliaSessionII–BaselII-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2Agenda综述1.Whyriskmanagementiscriticaltogoodbanking风险管理的重要性2.Factorswhichimpactonrisk风险因素BaselII–riskmanagementsupervision

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31.Whyriskmanagementiscriticaltogoodbanking风险管理的重要性

Obligationonbankstoprotectdepositorsavings–fundamental-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42.Factorswhichimpactonrisk风险因素52.2Factorswhichimpactonrisk

(continued)风险因素（续）Qualityofmacroeconomicmanagementofaneconomy经济宏观调控的质量-budgets–balanceoverthecycle预算-经济周期内保持平衡-monetarypolicy–sustainedlowinflation货币政策-持续的低通货膨胀-exchangerates-flexible弹性汇率制度-capitalaccount–liberalise资本项目自由化-taxationpolicies–simple,transparent,equitable

税收政策–简洁、透明、公正

62.3Factorswhichimpactonrisk

(continued)风险因素（续）72.4Factorswhichimpactonrisk

(continued)风险因素（续）Changingtechnologyinfinance–oftencostlyandcomplextomanage

金融领域新科技的引入-成本高，难掌握Productinnovation–newproducts–complex

产品创新-新产品-复杂Changingownershipstructures–mergers/acquisitions改变所有者结构-兼并/收购Financialmarketintegration–challengeforsupervisors/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83.BaselII–Riskmanagementsupervision

巴塞尔协议II-对风险管理的监管

Supervisionofriskmanagementwithinframework–threepillars风险管理三大支柱Pillar1–minimumcapitalrequirement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-operationalrisk–newelement–tocoverlossresultingfrominadequateorfailedprocesses,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

93.2BaselII–riskmanagementsupervision(continued)

巴塞尔协议II-对风险管理的监管（续）

103.3BaselII–riskmanagementsupervision(continued)

巴塞尔协议II-对风险管理的监管

113.4BaselII–riskmanagementsupervision(continued)

巴塞尔协议II-对风险管理的监管

Alignsregulatorycapitalwithbanks’assessmentofeconomiccapital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124.Requirementsoncommercialbanks对商业银行的要求Majorchangestobanks’governancearrangements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134.2Requirementsoncommercialbanks对商业银行的要求

144.3Requirementsoncommercialbanks对商业银行的要求

155.ChallengesinimplementingBaselII

实施巴塞尔协议II所面临的挑战Basedonaminimumcapitalrequirement–whichhastobemet,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165.2ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战175.3ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战186.Conclusions结论Benefitsthroughdeeperappreciationofriskanditscriticalimportancetobanking深化风险管理的益处及其对于银行的重要性Domesticandglobaleconomicfactorshighlyrelevant

国内国外经济因素高度相关BaselIIrequiresallbankstotakeanintegratedapproachtorisk–complexandforsmallerbanksthismaybeexpensive