基于新巴塞爾協(xié)議II的風(fēng)險(xiǎn)管理問(wèn)題

ASIAPACIFICDEVELOPMENTCENTRE

WORKSHOPONRISKMANAGEMENTINCOMMCERCIALBANKS

SHANGHAI,20/21STDECEMBER2005PresentationbyKenWallerGroupEconomicAdvisorCommonwealthBankofAustraliaSessionII–BaselII-basedRiskManagement:RequirementsandChallengesforCommercialBanks

基于新巴塞爾協(xié)議II的風(fēng)險(xiǎn)管理問(wèn)題：對(duì)商業(yè)銀行的要求及挑戰(zhàn)

發(fā)言人：KenWaller,澳洲聯(lián)邦銀行高級(jí)顧問(wèn)1Agenda綜述1.Whyriskmanagementiscriticaltogoodbanking風(fēng)險(xiǎn)管理的重要性2.Factorswhichimpactonrisk風(fēng)險(xiǎn)因素BaselII–riskmanagementsupervision

巴塞爾協(xié)議II–對(duì)風(fēng)險(xiǎn)管理的監(jiān)管Requirementsoncommercialbanks對(duì)商業(yè)銀行的要求ChallengesinimplementingBaselII實(shí)施巴塞爾協(xié)議II所面臨的挑戰(zhàn)6.Conclusions結(jié)論21.Whyriskmanagementiscriticaltogoodbanking風(fēng)險(xiǎn)管理的重要性

Obligationonbankstoprotectdepositorsavings–fundamental-oftenrequiredunderlaw銀行有保護(hù)客戶存款的基本法律義務(wù)Shareholdersexpectgrowthinearningsfromsoundbankmanagement健全的銀行管理可以增加股東的回報(bào)Vitalforconfidenceinbankingsystem;forsoundeconomicperformanceandimprovinglivingstandardsofcommunity提升對(duì)銀行系統(tǒng)的信任度，促進(jìn)經(jīng)濟(jì)良好發(fā)展以及改善人民生活水平Ensuresbestuseofcapitalinbanks確保銀行資金利用最優(yōu)化32.Factorswhichimpactonrisk風(fēng)險(xiǎn)因素Internationalanddomesticeconomicconditions國(guó)內(nèi)外經(jīng)濟(jì)形勢(shì)-Asianfinancialcrisisof1997/98caused“contagion”acrosstheregion

97/98年亞洲金融危機(jī)引起區(qū)域連鎖反應(yīng)-globalimbalances–threatenstability全球發(fā)展不平衡危及社會(huì)穩(wěn)定-energypricerises能源價(jià)格上漲-terrorism恐怖主義-avianflu禽流感

42.2Factorswhichimpactonrisk

(continued)風(fēng)險(xiǎn)因素（續(xù)）Qualityofmacroeconomicmanagementofaneconomy經(jīng)濟(jì)宏觀調(diào)控的質(zhì)量-budgets–balanceoverthecycle預(yù)算-經(jīng)濟(jì)周期內(nèi)保持平衡-monetarypolicy–sustainedlowinflation貨幣政策-持續(xù)的低通貨膨脹-exchangerates-flexible彈性匯率制度-capitalaccount–liberalise資本項(xiàng)目自由化-taxationpolicies–simple,transparent,equitable

稅收政策–簡(jiǎn)潔、透明、公正

52.3Factorswhichimpactonrisk

(continued)風(fēng)險(xiǎn)因素（續(xù)）Qualityofprudentialsupervisionoffinancialsystem–謹(jǐn)慎監(jiān)管金融系統(tǒng)的質(zhì)量–-helpsdeterminethe“credit”culture

有助于營(yíng)造“信用”文化氛圍-valueofinternationalregulatorystandardsandpractices國(guó)際監(jiān)管標(biāo)準(zhǔn)與實(shí)踐的價(jià)值-qualityof“governance”inregulatoryagenciesandinministries監(jiān)管部門的“監(jiān)管”效果-soundlegalsupervisoryframework良好的法律監(jiān)督機(jī)制62.4Factorswhichimpactonrisk

(continued)風(fēng)險(xiǎn)因素（續(xù)）Changingtechnologyinfinance–oftencostlyandcomplextomanage

金融領(lǐng)域新科技的引入-成本高，難掌握Productinnovation–newproducts–complex

產(chǎn)品創(chuàng)新-新產(chǎn)品-復(fù)雜Changingownershipstructures–mergers/acquisitions改變所有者結(jié)構(gòu)-兼并/收購(gòu)Financialmarketintegration–challengeforsupervisors/cross-borderharmonisation

金融市場(chǎng)的整合-給監(jiān)管機(jī)構(gòu)/各國(guó)之間的制度協(xié)調(diào)帶來(lái)挑戰(zhàn)73.BaselII–Riskmanagementsupervision

巴塞爾協(xié)議II-對(duì)風(fēng)險(xiǎn)管理的監(jiān)管

Supervisionofriskmanagementwithinframework–threepillars風(fēng)險(xiǎn)管理三大支柱Pillar1–minimumcapitalrequirement支柱1-最低資本金要求-threechoicesformanagingcreditrisk識(shí)別信貸風(fēng)險(xiǎn)的三種方法-standardised標(biāo)準(zhǔn)法-foundationinternalratings(FIRB)基礎(chǔ)內(nèi)部評(píng)級(jí)-advancedinternalratings(AIRB)高級(jí)內(nèi)部評(píng)級(jí)-marketriskelementisunchanged市場(chǎng)風(fēng)險(xiǎn)要素保持不變-operationalrisk–newelement–tocoverlossresultingfrominadequateorfailedprocesses,peopleandsystemsandexternalevents操作風(fēng)險(xiǎn)-新要素-指由不完善的或失敗的內(nèi)部程序、人員及系統(tǒng)或外部事件造成損失的風(fēng)險(xiǎn)

83.2BaselII–riskmanagementsupervision(continued)

巴塞爾協(xié)議II-對(duì)風(fēng)險(xiǎn)管理的監(jiān)管（續(xù)）

Pillar2–Supervisoryreviewofcapitaladequacy支柱2–資本充足性的監(jiān)管約束

-basedonaseriesofguidingprinciplesbanksrequiredtoassesstheircapitaladequacyprovisionsrelativetorisk以銀行用以評(píng)估資本充足狀況的一系列指導(dǎo)原則為基礎(chǔ)-supervisorsreviewbanks’processes-involvesincreaseddialoguewithbanks監(jiān)管機(jī)構(gòu)考核銀行的流程-加強(qiáng)與銀行溝通93.3BaselII–riskmanagementsupervision(continued)

巴塞爾協(xié)議II-對(duì)風(fēng)險(xiǎn)管理的監(jiān)管

Pillar3–marketdiscipline支柱3–市場(chǎng)約束-moredisclosurerequiredofbanks加大銀行信息披露-providesforgreaterunderstandingbymarketparticipantsonabank’sriskprofileandcapitalisation為市場(chǎng)參與者提供更多銀行風(fēng)險(xiǎn)狀況、資本結(jié)構(gòu)及資本充足狀況的信息Marketsshouldbecomemorediscerningaboutabank’squality–impactoncreditrating–andcostofraisingcapital市場(chǎng)應(yīng)該增強(qiáng)對(duì)銀行的鑒別能力-信用評(píng)級(jí)的影響-籌集資本的成本103.4BaselII–riskmanagementsupervision(continued)

巴塞爾協(xié)議II-對(duì)風(fēng)險(xiǎn)管理的監(jiān)管

Alignsregulatorycapitalwithbanks’assessmentofeconomiccapital衡量風(fēng)險(xiǎn)時(shí)，采取將監(jiān)管資本與銀行對(duì)經(jīng)濟(jì)資本的評(píng)估相結(jié)合的方法Principlesbasedapproachtosupervisionratherthanarules-basedapproach

以原則為導(dǎo)向而非以準(zhǔn)則為導(dǎo)向Roleofbankboardsenhancedandcriticaltoprocessofriskmanagement加強(qiáng)銀行董事會(huì)的作用，特別是對(duì)風(fēng)險(xiǎn)管理的關(guān)鍵作用114.Requirementsoncommercialbanks對(duì)商業(yè)銀行的要求Majorchangestobanks’governancearrangements銀行治理的主要變化-regularsubmissionstoboardsadvisingaccreditationprocesses定期向董事會(huì)提交評(píng)審流程-implementationrequiresrigorousworkonimprovingcreditriskmanagementandknowledgeandmanagementofoperationalrisk加大信用風(fēng)險(xiǎn)及操作風(fēng)險(xiǎn)管理力度，強(qiáng)化風(fēng)險(xiǎn)管理意識(shí)124.2Requirementsoncommercialbanks對(duì)商業(yè)銀行的要求

Dealingwithcreditandmarketrisk應(yīng)對(duì)信用及市場(chǎng)風(fēng)險(xiǎn)-upgradecreditriskanalyticsandreporting提升信用風(fēng)險(xiǎn)的分析和報(bào)告-upgradecollateralmanagementsystems提升抵押控制系統(tǒng)-creditriskfactors/riskmodelvalidation信用風(fēng)險(xiǎn)因素/信用模型的確定-improveanalysisandfocusoninterestrateinthebankingbook改善銀行賬目利率分析134.3Requirementsoncommercialbanks對(duì)商業(yè)銀行的要求

Operationalrisk操作風(fēng)險(xiǎn)-develop/reviewriskindicatorsandscenarioanalysis建立/評(píng)估風(fēng)險(xiǎn)指標(biāo)和情景分析-refinecapitalmodelling改善資本模型-refineITsolutions改善IT解決方案-businessandstrategicriskanalysis–provideforbusinesscontinuity–complywith“useandexperience”test業(yè)務(wù)和戰(zhàn)略風(fēng)險(xiǎn)分析——業(yè)務(wù)持續(xù)發(fā)展——遵從“應(yīng)用測(cè)試”145.ChallengesinimplementingBaselII

實(shí)施巴塞爾協(xié)議II所面臨的挑戰(zhàn)Basedonaminimumcapitalrequirement–whichhastobemet,includingforoperationalrisk

必須達(dá)到包括操作風(fēng)險(xiǎn)在內(nèi)的最低資本金要求Requiresanintegratedapproachtoriskmanagementandconcertedefforttoimplementbyboardsandmanagement需要董事會(huì)和管理層的共同努力，并采取統(tǒng)一的風(fēng)險(xiǎn)管理的方法Maywellrequireamajorchangeinculture很大程度上要求環(huán)境的轉(zhuǎn)變Processesrequirestrongandeffectivegovernanceprocessesinbanks(andsupervisoryagencies)

要求銀行（和監(jiān)管部門）實(shí)施完善和有效的治理流程155.2ChallengesinimplementingBaselII實(shí)施巴塞爾協(xié)議II所面臨的挑戰(zhàn)“Useandexperiencetest”–supervisorsrequirebankstodemonstratetheycanestimateregulatorycapitalrequirementsandcanmanagerisk

“應(yīng)用測(cè)試”-監(jiān)管部門要求銀行證明有能力預(yù)估監(jiān)管資本要求并能夠控制風(fēng)險(xiǎn)Formostbanks,upgradeofdataandmanagementprocessesforcreditandoperationalriskrequired

對(duì)于大多數(shù)銀行而言，應(yīng)提升信息系統(tǒng)，并改善信用風(fēng)險(xiǎn)與操作風(fēng)險(xiǎn)的管理流程Stringentrequirementsonboardsandmanagement(requiringdetailededucationandtrainingprograms)嚴(yán)格要求董事會(huì)及管理層(要求詳細(xì)的教育和培訓(xùn)計(jì)劃)165.3ChallengesinimplementingBaselII實(shí)施巴塞爾協(xié)議II所面臨的挑戰(zhàn)ImportantforbankstodeterminewhethertheyseekthestandardisedorIRBapproach–thelattercanbecostlyintermsofcapitalandhumanresourcesforsmallerban