畢業(yè)論文外文翻譯-商業(yè)銀行的風險管理：一個分析的過程

1、外文文獻：commercial bank risk management: an analysis of the processabstractthroughout the past year, on-site visits to financial service firms were conducted to review and evaluate their financial risk management systems. the commercial banking analysis covered a number of north american super-regional

2、s and quasi±money-center institutions as well as several firms outside the u.s. the information obtained covered both the philosophy and practice of financial risk management. this article outlines the results of this investigation. it reports the state of risk management techniques in the indu

3、stry. it reports the standard of practice and evaluates how and why it is conducted in the particular way chosen. in addition, critiques are offered where appropriate. we discuss the problems which the industry finds most difficult to address, shortcomings of the current methodology used to analyze

4、risk, and the elements that are missing in the current procedures of risk management.1. introductionthe past decade has seen dramatic losses in the banking industry. firms that had been performing well suddenly announced large losses due to credit exposures that turned sour, interest rate positions

5、taken, or derivative exposures that may or may not have been assumed to hedge balance sheet risk in response to this, commercial banks have almost universally embarked upon an upgrading of their risk management and control systems.coincidental to this activity, and in part because of our recognition

6、 of the industry's vulnerability to financial risk, the wharton financial institutions center, with the support of the sloan foundation, has been involved in an analysis of financial risk management processes in the financial secto匚 through the past academic year, on-site visits were conducted t

7、o review and evaluate the risk management systems and the process of risk evaluation that is in place. in the banking sector, system evaluation was conducted covering many of north america's super-regionals and quasi±money-center commercial banks, as well as a number of major investment ban

8、king firms. these results were then presented to a much wider array of banking firms for reaction and verification. the puipose of the present article is to outline the findings of this investigation. it reports the state of risk management techniques in the industryquestions asked, questions answer

9、ed, and questions left unaddressed by respondents. this report can not recite a litany of the approaches used within the industry, nor can it offer an evaluation of each and every approach. rather, it reports the standard of practice and evaluates how and why it is conducted in the particular way ch

10、osen. but, even the best practice employed within the industry is not good enough in some areas. accordingly, critiques also will be offered where appropriate. the article concludes w讓h a list of questions that are currently unanswered, or answered imprecisely in the current practice employed by thi

11、s group of relatively sophisticated banks. here, we discuss the problems which the industry finds most difficult to address, shortcomings of the current methodology used to analyze risk, and the elements that are missing in the current procedures of risk management and risk control.2. what type of r

12、isk is being considered?commercial banks are in the risk business. in the process of providing financial services, they assume various kinds of financial risks. over the last decade our understanding of the place of commercial banks within the financial sector has improved substantially. over this t

13、ime, much has been written on the role of commercial banks in the financial sector, both in the academic literature and in the financial press. these arguments will be neither reviewed nor enumerated here. suffice it to say that market participants seek the services of these financial institutions b

14、ecause of their ability to provide market knowledge, transaction efficiency and funding capability. in performing these roles, they generally act as a principal in the transaction. as such, they use their own balance sheet to facilitate the transaction and to absorb the risks associated with it.to b

15、e sure, there are activities performed by banking firms which do not have direct balance sheet implications. these services include agency and advisory activities such as(1) trust and investment management;(2) private and public placements through 八bestefforts” or facilitating contracts;(3) standard

16、 underwriting through section 20 subsidiaries of the holding company;(4) the packaging, securitizing, distributing, and servicing of loans in the areas of consumer and real estate debt primarily.these items are absent from the traditional financial statement because the latter rely on generally acce

17、pted accounting procedures rather than a true economic balance sheet. nonetheless.the overwhelming majority of the risks facing the banking firm are on-balance-sheet businesses- it is in this area that the discussion of risk management and of the necessary procedures for risk management and control

18、has centered. accordingly, it is here that our review of risk management procedures will concentrate.3. what kinds of risks are being absorbed?the risks contained in the bank's principal activities, i.e., those involving its own balance sheet and its basic business of lending and borrowing, are

19、not all borne by the bank itself. in many instances the institution will eliminate or mitigate the financial risk associated with a transaction by proper business practices; in others, it will shift the risk to other parties through a combination of pricing and product design.the banking industry re

20、cognizes that an institution need not engage in business in amanner that unnecessarily imposes risk upon it; nor should it absorb risk that can be efficiently transferred to other participants. rather, it should only manage risks at the firm level that are more efficiently managed there than by the

21、market itself or by their owners in their own portfolios. in short, it should accept only those risks that are uniquely a part of the bank's array of services. elsewhere (oldfield and santomero, 1997) it has been argued that risks facing all financial institutions can be segmented into three sep

22、arable types, from a management perspective. these are:1. risks that can be eliminated or avoided by simple business practices;2. risks that can be transferred to other participants;3. risks that must be actively managed at the finn levelin the first of these cases, the practice of risk avoidance in

23、volves actions to reduce the chances of idiosyncratic losses from standard banking activity by eliminating risks that are super'uous to the institution business purpose. common risk-avoidance practices here include at least three types of actions. the standardization of process, contracts, and p

24、rocedures to prevent inefficient or incorrect financial decisions is the first of these. the construction of portfolios that benefit from diversification across borrowers and that reduce the effects of any one loss experience is another. the implementation of incentivecompatible contracts with the i

25、nstitution's management to require that employees be held accountable is the third. in each case, the goal is to rid the firm of risks that are not essential to the financial service provided, or to absorb only an optimal quantity of a particular kind of risk.there are also some risks that can b

26、e eliminated, or at least substantially reduced through the technique of risk transfe匚 markets exist for many of the risks borne by the banking firm interest rate risk can be transferred by interest rate products such as swaps or other derivatives. borrowing terms can be altered to effect a change i

27、n their duration.finally, the bank can buy or sell financial claims to diversify or concentrate the risks that result from servicing its client base. to the extent that the financial risks of the assets created by the firm are understood by the market, these assets can be sold at their fair value. u

28、nless the institution has a comparative advantage in managing the attendant risk and/or a desire for the embedded risk which they contain, there is no reason for the bank to absorb such risks, rather than transfer them.however, there are two classes of assets or activities where the risk inherent in

29、 the activity must and should be absorbed at the bank level. in these cases, good reasons exist for using firm resources to manage bank level risk. the first of these includes financial assets or activities where the nature of the embedded risk may be complex and difficult to communicate to third pa

30、rties- this is the case when the bank holds complex and proprietary assets that have thin, if not nonexistent, secondary markets. communication in such cases may be more difficult or expensive than hedging the underlying risk. moreover, revealing information about the customer may give competitors a

31、n undue advantage. the second case includes proprietary positions that are accepted because of their risks, and their expected return. here, risk positions that are central to the bank's business purpose are absorbed because they are the raison of the firm. credit risk inherent in the lending ac

32、tivity is a clear case in point, as is market risk for the trading desk of banks active in certain markets. in all such circumstances, risk is absorbed and needs to be monitored and managed efficiently by the institution. only then will the firm systematically achieve its financial performance goal.

33、4. how are these risks managed?in light of the above, what are the necessary procedures that must be in place in order to carry out adequate risk management? in essence, what techniques are employed to both limit and manage the different types of risk, and how are they implemented in each area of ri

34、sk control? it is to these questions that we now turn. after reviewing the procedures employed by leading firms, an approach emerges from an examination of large-scale risk management systems- the management of the banking firm relies on a sequence of steps to implement a risk management system. the

35、se can be seen as containing the following four parts:1. standards and reports,2. position limits or rules,3. investment guidelines or strategies, and4. incentive contracts and compensation.in general, these tools are established to measure exposure, define procedures to manage these exposures, limi

36、t individual positions to acceptable levels, and encourage decision makers to manage risk in a manner that is consistent with the firm's goals and objectives. to see how each of these four parts of basic risk-management techniques achieves these ends, we elaborate on each part of the process bel

37、ow. in section 4 we illustrate how these techniques are applied to manage each of the specific risks facing the banking community.1.standards and reports.the first of these risk-management techniques involves two different conceptual activities, i.e., standard setting and financial reporting. they a

38、re listed together because they are the sine qua non of any risk system. underwriting standards, risk categorizations, and standards of review are all traditional tools of risk management and control. consistent evaluation and rating of exposures of various types are essential to an understanding of

39、 the risks in the portfolio, and the extent to which these risks must be mitigated or absorbed.the standardization of financial reporting is the next ingredient. obviously, outside audits, regulatory reports, and rating agency evaluations are essential for investors to gauge asset quality and firm-l

40、evel risk. these reports have long been standardized, for better or worse. however, the need here goes beyond public reports and audited statements to the need for management information on asset quality and risk posture. such internal reports need similar standardization and much more frequent repo

41、rting intervals, with daily or weekly reports substituting for the quarterly gaap periodicity.2. position limits and rules-a second technique for internal control of active management is the use of position limits, and/or minimum standards for participation. in terms of the latter, the domain of ris

42、k taking is restricted to only those assets or counterparties that pass some prespecified quality standard. then, even for those investments that are eligible, limits are imposed to cover exposures to counterparties, credits, and overall position concentrations relative to various types of risks- wh

43、ile such limits are costly to establish and administer, their imposition restricts the risk that can be assumed by anyone individual, and therefore by the organization as a whole. in general, each person who can commit capital will have a well-defined limit. this applies to traders, lenders,and port

44、folio managers. summary reports show limits as well as current exposure by business unit on a periodic basis. in large organizations with thousands of positions maintained, accurate and timely reporting is difficult, but even more essential.3.investment guidelines and strategies.investment guideline

45、s and recommended positions for the immediate future are the third technique commonly in use. here, strategies are outlined in terms of concentrations and commitments to particular aras of the market, the extent of desired asset-liability mismatching or exposure, and the need to hedge against system

46、atic risk of a particular type.4.1ncentives schemes.to the extent that management can enter incentive compatible contracts with line managers and make compensation related to the risks borne by these individuals, then the need for elaborate and costly controls is lessened. however, such incentive co

47、ntracts require accurate position valuation and proper internal control systems.中文譯文:商業(yè)銀行的風險管理：一個分析的過程摘要在過去一年里，我們通過現(xiàn)場參觀金融服務公司來進行審查和評估其金融風 險管理系統(tǒng)。商業(yè)銀行的分析涵蓋了大量的北美超地區(qū)性和準貨幣中心機構(gòu)，以 及一些美國以外的公司獲得的信息包括了一些理念和財務風險管理的做法。本文 概述了本次調(diào)查的結(jié)果，并報告了該行業(yè)風險管理技術(shù)的狀況。它報告了行業(yè)的 執(zhí)業(yè)標準和評價方式，以及為什么特定選擇的方式進行。此外，本文提出了i些 適當?shù)呐u。我們討論這些問題，包括業(yè)

48、界認為最難處理的、現(xiàn)行風險分析方法 中的缺點以及現(xiàn)行風險管理程序中一些缺失的元素。1、介紹在過去十年中，銀行業(yè)經(jīng)歷了一場慘痛的損失。由于信貸風險承擔情況變差、 利率變動和一些金融衍生工具理論上可能發(fā)生的對沖資產(chǎn)負債表風險，i些表現(xiàn) 良好的公司突然宣布了自己的巨額虧損。在針對這種情況，商業(yè)銀行己開始了一 項對風險管理和控制系統(tǒng)的升級。在某種程度上來說，這次活動是出于我們對行業(yè)財務風險弱點的認識。在斯 隆基金會的支持卜，沃頓商學院金融機構(gòu)中心，一直在金融部門中參與對金融風 險管理的分析。通過過去的一年的吋間，實地考察的審查方法貫穿于評估風險管 理制度和風險評佔所定的過程屮。在銀行部門，系統(tǒng)進行了評

49、佔，包括很多北美 超地區(qū)性和本土貨幣中心的商業(yè)銀行，以及大量的大型投資銀行公司。這些結(jié)果 被捉交給銀行公司，繼續(xù)參與更廣泛的反應和驗證。本文的目的是概述本次調(diào)杳的結(jié)果。它報告了行業(yè)風險管理技術(shù)情況，包括 問題的提出，問題的回答，以及受訪者遺留問題的解決。此報告沒冇列舉行業(yè)內(nèi) 普遍采用的方法，也沒有提供對這些方法的評價。相反，它報告的是執(zhí)業(yè)標準和 評價方法，以及它為什么選擇特定的方式進行。但是，在某些領(lǐng)域，甚至連一些 最佳方法也并不適用。因此，批評也將在適當情況卜給岀。文章最后捉出了當前 未答復的，或回答比較復雜、銀行采用的現(xiàn)行做法尚不嚴密的問題清單。在這里, 我們討論的包括業(yè)界認為比較難處理的

50、、現(xiàn)行風險分析方法中的缺點以及現(xiàn)行風 險管理程序屮一些缺失的元素。2、我們應該考慮什么類型的風險商業(yè)銀行正承擔著業(yè)務風險。在提供金融服務的過程中，他們承扒各種金融 風險。在過去十年中，我們對商業(yè)銀行在金融部門的地位的認識已大大提高。在 這段時間，商業(yè)銀行在金融部門扮演的什么樣的角色已經(jīng)眾所周知，無論是在學 術(shù)文獻或者金融新聞上都冇體現(xiàn)。在本文中，這些參數(shù)這里既不會審查，也不會 列舉。我只想說，市場參與者尋求這些金融機構(gòu)的服務，因為這些機構(gòu)有能力為 客戶提供市場知識，交易效率和資金的能力。在履行這些職責時，他們一般充當 交易的主體。因此，他們用自己的資產(chǎn)負債表，以方便交易和承受與它相關(guān)的風 險。

51、可以肯定的是，這些銀行業(yè)金融機構(gòu)進行的活動不會直接受資產(chǎn)負債表的影 響。這些服務包括代理和咨詢活動，如：（1）信托及投資管理；（2）通過“最大努力f足進私人和公共存款合同；（3）通過第20條標準承保該控股公司的附屬公司（4）包裝，證券化，分發(fā)，以及為消費和房地產(chǎn)領(lǐng)域的貸款債務捉供服務。這些項目是在傳統(tǒng)的財務報表z外的，因為后者依賴丁飛如今普遍接受的會 計程序，而不是一個真正的經(jīng)濟資產(chǎn)負債表。然而，銀行業(yè)所而臨的風險，絕大 多數(shù)是來自于企業(yè)的資產(chǎn)負債表。在這里，我們對風險管理以及風險管理與控制 的必要程序需要集中探討。因此，在這里，我們必須把風險的管理程序的審查集 屮起來。3、何種風險將被吸收？

52、在銀行的主要業(yè)務，即那些涉及其自身的資產(chǎn)負債表和其基本的商業(yè)貸款 和借款屮的風險，并不完全由銀行自身所承擔在許多情況下，機構(gòu)將通過適當 的商業(yè)行為的交易來消除或減輕金融風險與關(guān)聯(lián)，在其他情況卜，將通過定價和 產(chǎn)品設計的結(jié)合把風險轉(zhuǎn)移給其他締約方。銀行業(yè)認識到，一個機構(gòu)并不需要以從事經(jīng)營的方式，對口己施加不必耍 的風險。同時，銀行也無需承擔風險，它只需要把風險冇效地轉(zhuǎn)移給其他參與者。 相反，對于企業(yè)來說，僅在原有的水平上管理風險要比管理市場本身或由業(yè)主自 己的投資組合產(chǎn)生的風險來的有效的多?？傊粦摻邮芤徊糠治ㄒ粊碜杂?銀行服務陣列的風險。在其他地方（奧德菲爾德和圣多馬羅，1997）有人認

53、為，從 管理角度來看，所冇金融機構(gòu)面臨的風險口j細分為三個類型。他們是：1、通過簡單的商業(yè)慣例可消除或避免的風險。2、可轉(zhuǎn)移給其他參與者的風險3、在公司可控水平上積極管理的風險規(guī)避這些風險的第一種做法是，從標準銀行活動特有的宗旨出發(fā)（尤其是該 機構(gòu)的經(jīng)營宗旨），采取行動，減少和消除風險。共同的風險規(guī)避行為在這里至 少包括三種類型。第一步，通過合同和程序的標準化來防止低下的效率和不正確 的財務決策。第二步，通過多元化的投資組合分散借款人的利益，從而減少投資 損失帶來的影響。第三步，通過執(zhí)行機構(gòu)管理層激勵兼容合同，耍求員工承擔責 任。在每一種情況卜：我們的目標都是擺脫風險，特別是金融服務公司沒有必

54、耍 承擔的，或者只吸收了最佳數(shù)量的特定類型的風險。當然也存在通過風險轉(zhuǎn)移技術(shù)就可以大大消除或降低的風險。雖然銀行承擔 了市場上所存在公司的大部分風險，不過利率風險是可以轉(zhuǎn)讓的，如掉期或其他 衍生工具利率產(chǎn)品;借款條件也可以針對影響持續(xù)時間的變化而進行修改。最后，銀行可以從服務客戶群的過程中，購買或出售金融債權(quán)分散或集中的 風險。從某種程度上來說，這些資產(chǎn)的財務風險都是公司在市場理解的基礎(chǔ)上產(chǎn) 牛的。這些資產(chǎn)能以公允價值出售。除非該機構(gòu)已在管理風險上有比較優(yōu)勢或者 愿意接受嵌入式風險，我們沒有理由為銀行吸收這些風險，而不是轉(zhuǎn)化這些風險。然而，有兩類固有的風險資產(chǎn)或活動應被銀行吸收。在這種情況下，

55、使用企 業(yè)資源來管理銀行風險的水平是一種良好的方式。其中第一個內(nèi)容，包括金融資 產(chǎn)和金融活動。這種嵌入性質(zhì)的風險傳達給第三方比較復雜和困難。這里的意思 就是，是當銀行持有的復雜和專有資產(chǎn)數(shù)量下降吋，這種風險轉(zhuǎn)移起來比較困難。 當然通過二級市場，我們還是可以轉(zhuǎn)移風險。但是在這種情況下，傳遞風險可能 會比對沖這種潛在風險更加困難和昂貴。此外，泄露客戶信息這種不正當?shù)母偁?手段能給口己帶來好處。第二個內(nèi)容包括口營他們接受的頭寸風險和預期回報。 在這里，吸收風險頭寸是銀行極為重要的經(jīng)營貸款活動所固冇的信貸風險就是一 個明顯的例子，它是銀行在市場交易時必然活躍的風險。在所有這些情況下，風 險的吸收需要進

56、行監(jiān)測，并應當建立有效的管理機制。只有到那時，公司系統(tǒng)才 實現(xiàn)其財務業(yè)績的目標。4、這些風險是如何管理的鑒于上述情況，那么那些必要的程序必須履行，以便進行適當?shù)娘L險管理呢? 從本質(zhì)上講，是采用什么技術(shù)既限制和管理風險的不同類型，以及它們是如何在 各種風險控制區(qū)實施?這是對這些問題，我們現(xiàn)在轉(zhuǎn)向。公司領(lǐng)導在審查采用的 程序，這種方法從一出現(xiàn)大規(guī)模的風險管理系統(tǒng)的檢杳。該公司的管理依賴于銀 行的步驟，以落實風險管理體系的序列。這些可以被看作是包含以下四個部分：1、標準和報告2、持倉限額或規(guī)則3、投資指南和策略4、激勵合同和賠償一般來說，這些工具建立了權(quán)衡揭示、定義程序來管理這些風險，限制個別 職位

57、到可接受的水平，并鼓勵決策者管理采取與該公司的口標相一致的口標和風 險的方式。為了解這四個部分基本的風險管理技術(shù)如何分別實現(xiàn)這些目標，我們 將對下而過程的每一個部分詳細作說明。在第4節(jié)我們將說明這些技術(shù)是如何應 用到銀行界所而臨的具體風險。1、標準和報告這些風險管理技術(shù)，涉及到兩個不同的概念第一次活動，即制定標準和財務 報告。將它們列在一起，因為它們是整個風險系統(tǒng)必不可少的條件。承銷標準， 風險分類，審查標準和風險都是傳統(tǒng)的管理和控制工具。一致的評估標準和各類 風險等級是投資組合中必不可少的風險協(xié)議內(nèi)容，并且這些風險的程度必須減輕 或吸收。標準化的財務報告是下一個組成部分。顯然，外部審計，監(jiān)管

58、報告，評級機 構(gòu)的評價是投資者衡量資產(chǎn)質(zhì)量和企業(yè)層面風險必不可少的內(nèi)容。不管怎樣，這 些報告一直是標準化的。不過，我們對資產(chǎn)質(zhì)量和風險狀況信息的需求超越了我 們對公共報告和審計報告的需求。類似這樣的內(nèi)部報告需要更加規(guī)范化、頻繁化 和定期化。我們需要用口報或周報來取代國際會計準則認口j的季度報告。2、持倉限額或規(guī)則第二個內(nèi)部控制技術(shù)是利用持倉限額和使用最低參與標準。就后者而言，風 險采取域限制，只是對那些通過預先確定的質(zhì)量標準的資產(chǎn)或證券。然后，即使 對那些符合條件的投資，也會有一些限制性的規(guī)定。用這些規(guī)定來覆蓋證券和信 貸的風險，和其他相對集屮的各類風險。雖然這種限制在設立和管理起來比較昂 貴

59、，他們所實行的限制風險，可以由任何人單獨承擔。這樣就可以將風險統(tǒng)籌起 來。一般來說，每個人承擔的資金將得到一個明確的限制。這種做法適用于商人, 放貸人和投資組合經(jīng)理。匯總報表通過業(yè)務單位指出限制條件和當前漏洞。在一 個擁冇數(shù)t名員工的大型公司，及時的提供準確的報告相當困難，但是，這卻非 常重要。3、投資指南和策略投資指南和建議定位是第三個將在未來普遍使用的技術(shù)。在這里，我們的策 略將依照主要的領(lǐng)域和承諾對市場部分做出詳細說明，包括資產(chǎn)負債不匹配程度 和暴霜程度，以及特定類型系統(tǒng)性風險的對沖。4、激勵合同和賠償在某種程度上，管理上可以引入與一線管理人員個人激勵機制相容的合同然 后減少復雜和昂貴的風險補償