推进金融机构风险管理.ppt

1、Advancing Risk Management by Financial Institutions The Case of Japanese Banks推进金融机构风险管理： 日本银行业的经验,Tsuyoshi Oyama Bank of Japan日本银行,Workshop on Risk Management in Banking Sector商业银行风险管理 培训班Shanghai, December 21, 20052005年12月21日，上海,Agenda 内容安排,Background of Banks Efforts to Enhance Risk Management an

2、d 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 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 “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 “Advancing Operational Risk Management” 强化操作风险管理 “A

3、dvancing Integrated Risk Management” 强化整合风险管理,Background of Banks Efforts银行措施的背景,The experience of overcoming NPL problems since the 1990s 90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 Enta

4、il 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

5、务来满足消费者需求： Assessing 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。 In 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 an

6、d 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)，并建立风险综合管理机制 In 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。,Advancing Ris

7、k Management-Means What?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

8、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 Objective and persuasive risk assessments lead to higher transparency of risk management process a

9、nd 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 There are no best practices of banks risk management, which could differ depending on their facing environments ne

10、ed to establish the incentive mechanism to ensure the direction toward improving risk management. 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,The Bank of Japan released the following three papers at the end of July, 2005. 日本银行于2001年7月公布以下三份报告 Advancing Credit Risk Management through Internal Rating

11、 Systems以内部评级制度为基础强化信用风险管理 Advancing Operational Risk Management强化操作风险管理 Advancing Integrated Risk Management强化整合风险管理 HP： http:/www.boj.or.jp/en/set/05/set_f.htm These papers draw on the issues and measures, on which the Bank of Japan intends to use to start in-depth discussions of risk management w

12、ith financial institutions at the time of our on-site examinations and off-site monitoring.日本银行将就上述报告提出的问题和措施，在进行实地考查和非实地监管时，与各金融机构进行探讨。 Main subjects of the three papers roughly correspond to the issues of implementing IRB, AMA and Pillar II under the Basel II 上述三份报告的主题都与巴塞尔出台的IRB, AMA and Pillar I

13、I的规定相关。,BOJs Initiative (1) - Publication of Sound Practices Papers日本银行的动作（1）-公布金融机构整合风险管理报告,The 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 ex

14、aminations 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： 2 seminars for the larg

15、e 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 12 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20

16、30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,BOJs 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 Issu

17、es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,Intern

18、ational Issues国际事务,On-site Examination实地考查,Off-site Monitoring非实地监管,Advancing Risk Management-Its Relation with Basel II强化风险管理与巴塞尔 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 ba

19、nks 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,

20、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 there

21、by 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。,“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,SPP-I: “Advancing Credit Risk Management thro

22、ugh Internal Rating Systems”报告I：以内部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 cre

23、dit 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,Framework of Advancing Credit Risk Management强化信用风险管理设

24、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

25、果集中风险管理措施。,Migration matrix Probability of default(PD),Internal use,Risk Components,Loss given default (LGD),Exposure at default (EAD),Correlation,Calculation of credit risk amount,Expected loss (EL) Unexpected loss (UL),Stress testing,Portfolio monitoring,Provisioning,Pricing,Profit management,Capi

26、tal allocation,Quantification of credit risk,Reporting tothe Board,Internal rating,Quantitative evaluation,Financial data,Qualitative evaluation,Process of internal Ratings,Model estimating PDs of obligors (Logit or Probit model）债务人PD推算模型 Model estimating external ratings 外部评级推算模型 3. Hybrid model of

27、 1. and 2.模型1、2的结合,Score based onfinancial information,Assessing Ratings,Quantitative rating model,Borrowers financial data,Final Rating,Rating mitigation after 1 year,PD per rating grade,Initial evaluation (tentative),Estimation of PD,Needs attention,Bankrupt,default,Quantitative evaluation,Qualita

28、tive evaluation,Borrowers qualitative information,Normal,PD,Score based onfinancial information,Quantitative and Qualitative Information Used for Rating Assignment评级需要的定量要素和定性要素,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 Rati

29、ngs项目评级的要素事例,What Factors Determine the Ratings? 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 e

30、ach 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 s

31、ystem combines borrower ratings with evaluation of the features of individual loan transactions independent of borrowers (e.g., ratings based on LGD).,Borrower ratings (1 to 10),Facility ratings (A to J) (One-dimensional system),Borrower ratings,Facility ratings (A to J) (Twodimensional system) Rati

32、ngs based on LGD,Borrower ratings,How to Validate Rating Model?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。,0,100,CAP curve of a perfect model,CAP curve of random

33、model(no discriminatory power),CAP curve of a model being evaluated,(%),A,B,A model has more accuracy as the curve moves to the upper left,Ratio of cumulative number ofdefaulted firms,100,(%),Score,Non-defaulted firms,Defaulted firms,Numberof firms,Rating at the end of the year,Rating at the beginni

34、ng of the year,Check the order of migration rate from rating 1 to other ratings,Check the order of default rates,Check the order of migration rate to rating 7 from other ratings,Default,(Example 2),Use of Internal Rating Systems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)

35、 （授信执行阶段） Setting upper credit limits based on rating grades设定各个评级的授信限额。 Setting authority ranks for loan approval by rating grade设定各个评级的授信决定权限。 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） Monitoring individual borrowers based on rating grades针对不同

36、的评级对授信企业的管理 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 Quantification of credit risk and allocation of capital信用风险的计量和资本配置 Pricing of loan rates reflecting credit risk考虑信用风险定价（设定贷款基准利率） Evaluating the economic value of loans把握贷款的经济价值,Many banks h

37、ave 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。,II.Advancing Operational Risk强化操作风险管理,SPP-II: “Advancing Operational Risk Management ”报告2：强化操作风险管理,Contents 内容 Characteristics of op risk and the need to adv

38、ance 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

39、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

40、理，发挥其补充作用的必要性。,Advancing Op. Risk - Why Now？目前强化操作风险管理的原因何在？,Changes in the environment surrounding FIs operations 围绕FIsoperations的外部环境变化 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 The introduction of Basel II

41、（allocation of capital for op. risk)引入巴塞尔 （操作风险也必须计提自有资本 ） 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

42、challenges面临的新挑战 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 Need to establish structures that can quickly detect heightened risk and respond appropriate

43、ly 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 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,Characteristic of Op. Risk操作风险特征,Forms of risk materialization风险显现形态 Direct loss, indirect loss or impact incurred to t

44、hird parties直接损失、间接损失以及对第三方带来的损失 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 It is normally difficult to narrow down the factors causing such risk to materialize, and quite often, it only emerges when several f

45、actors 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 frequency,Problems that do not occur often but have severe consequences when they do occur,Distribution of Losses Arising from the Materialization of Op. Risk,Frequen

46、cy,Amount of loss of losses,Frequency,Conventional Operational Risk Management Methods以前我国金融机构的操作风险管理手法,Considerations of Op. Risk Management操作风险管理时考虑的因素,The need to cover a wide range of events and activities需要管理各种各样的事情 It is difficult to break down risk into the categories of exposure and risk fac

47、tors.对于操作风险，抽选出与风险暴露及风险要素相当的项目是非常困难的 The need for risk control in all sections within the institution管理组织内所有部门的必要性 Op. risk exists in all sections throughout the institution.操作风险存在于组织内任何一个部门 The importance of risk management based on qualitative information定性手法的重要性 It is not always easy to manage th

48、em in a quantitative manner.采用定量手法进行风险管理并不容易 Reputational and systemic risk 声望风险、系统风险 It is necessary to take into consideration of the indirect loss and the effect on financial system.必须考虑非直接因素造成的损失及其对金融系统的影响。,(Major discussion points in the seminars) The need and merits of advancing op. risk manag

49、ement with risk quantification for regional banks, degree of independence of op risk control function, how to quantify op risk when facing lack of internal data and no external data, level of granularity of operational processes to be examined by CSA.（研讨会的讨论要点）：通过对区域银行风险计量加强操作风险管理的必要性和价值，操作风险控制功能的独立

50、性，缺乏充足内部和外部数据时如何计量操作风险，CSA评估计量单位的确定。,Establishment of an Operational Management Section操作风险总括部门设置,Functions of Operational Management Section操作风险总括部门的作用 Plan the op. risk management framework for the entire institution.制定组织整体的操作风险管理框架。 Collect and analyze information on accidents and other problems,

51、 computer system malfunctions, and clerical errors arising in each section, then report to the management.收集并分析各个部门发生的事件、事故，电脑系统故障、事务操作失误等资料，向经营者进行报告。 Examine the adequacy and consistency of processes and procedures (P&P).审查业务规程和手续的合理性、连续性。 Evaluate and guide the operational risk management situatio

52、n.评估并指导各个部门的操作风险管理状况 Structure of Operational Management Section部门结构,Integrated Risk Management Section,（system risk）,IT System Planning Section System Risk Management Section,Operational Management Section,Compliance Management Section,（operational ）,（compliance）,Computer Center,Head Office, Branch

53、 Office,number: function weak relationship,Operations Planning Section,Quantification of Op. Risk操作风险的计量,Considerations考虑因素 Appropriate collection, classification and update of loss data. 合理进行数据搜集、分类和遗失数据的更新 Selection of model which is able to identify cases of losses with low frequency but high sev

54、erity. 选择能捕捉“发生频率低但是损失规模大”事件的计量模型 Setting group units for quantification. 为量化分析设立单位组 Introducing hypothetical data based on external data or scenario analyses into quantitative models. 将据外部信息和想象分析得到的假定数据引入计量模型 Using qualitative data to revise the quantification results. 用定性资料修订定量分析得到的结果,Loss amount

55、per loss event,Number of loss events occurring per year,Frequency,Frequency distribution of loss events (per year)-e.g. Poisson distribution,Op. risk amount (99.0%VaR),Op. risk amount (99.9%VaR),Annual cumulative loss amount,Cumulative loss amount distribution for one year,Frequency,Frequency,Distri

56、bution of loss amount per loss event-e.g. lognormal distribution,Control of Self-Assessments and Key Risk Indicators风险管理自我评估和重要风险管理指标,Control of Self-Assessments风险管理自我评估 Individual sections or business lines within a financial institution evaluate inherent risk and internal control conditions on the

57、ir own 金融机构内的各个部门或者是业务团队自行评估内在风险和内部管理机制 Results are coordinated and shared within the entire organization 结果由组织整体进行归纳总结,Selecting multiple indicators that contribute to early detection of heightened risk选定能够及早预期操作风险增大的多个指标 Monitoring of their movements, and reacting preemptively as necessary 跟踪考察其变化

58、情况，根据需要尽早制定修正措施的机制 Example of indicator重要风险管理指标的例子 Operations：Business volumes, customers waiting time, number of clerical errors, number of complaints received, etc. 事 务 层 面：事务量、柜台等待的时间、事务失误次数、投诉受理次数 Computer systems：Number of malfunctions, number of steps in developing programs, utilization ratio of system devices such as CPUs, storages, network traffics, etc. 电脑系统层面：故障次数、程序开发等级、CPU及磁盘等的资源剩余程度（比率）,Key Risk Indicators重要风险管理指标,III.Advancing Integrated Risk Management强化整合风险管理,SPP-III: “Advancing Integrated Risk Management” 报告3：强化整合风险管理,Contents