商业银行风险管理操作及相关体系培训课件.ppt
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商业银行风险管理操作及相关体系培训课件.ppt
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RiskManagementPracticesandRelatedSystems风险管理操作及相关体系,FederalReserveSystem,2,DefinitionofRiskManagement风险管理的定义,RiskManagementistheprocessofidentifying,measuring,monitoringandcontrollingrisks风险管理指风险的识别、计量、监测和控制的过程RiskManagementSystems-aremechanismsestablishedbyaninstitutiontoperformthisfunction风险管理体系银行建立的执行此项职能的机制,3,IdentifyingRisks风险的识别,WhereRisksshouldbeIdentified风险识别领域Institution-wide整个机构Businesslines业务部门Products产品Transactions交易,4,TypesofRisksIdentified风险的种类,Creditrisk信用风险Marketrisk市场风险Liquidityrisk流动性风险Operationalrisk操作风险Legalrisk法律风险Reputationalrisk信誉风险,5,ControllingRisks风险的控制,Methodstocontroltherisks控制风险的方法Eliminateoravoid-decidenottopursueaspecificactivity消除或避免决定不进行某一行为Transfer-anotherpartyassumestherisk-e.g.,loanparticipation转移另一方承担风险如联合贷款Reduce-mitigationtechniquessuchashedging降低采用化解方法,如对冲Retain-keepandmonitortherisk保留保持并监测风险,6,BenefitsofRiskManagement风险管理的好处,Adequatecompensationforrisksincurred风险发生后的适度补偿Competitiveadvantage增强竞争优势Preventsormitigateslosses防止或减少损失Promotescorporateunderstandingandcontrols推动公司内部的理解和管理,7,KeyElementsofRiskManagement风险管理的主要因素,ActiveBoardandSeniorManagementOversight董事会和高级管理层积极监控AdequatePolicies,ProceduresandLimits适宜的方针、程序和限制AdequateRiskMeasurement,Monitoring,andManagementInformationSystems适宜的风险计量、监测和管理信息系统ComprehensiveInternalControls全面的内控管理,8,RoleoftheBoardofDirectors董事会的作用,BoardofDirectors-Hasultimateresponsibilityforthelevelofriskstakenbytheinstitution董事会对机构承担的风险级别负最终责任BranchofaForeignBankingOrganization-SeniorLocalManagementandtheBoardofDirectorsatHeadOffice外国银行机构的分行当地高级管理层及总行董事会,9,ActiveBoardandManagementOversight董事会和管理层的积极监控,RoleoftheBoardofDirectors董事会的作用Approvesoverallbusinessstrategiesandsignificantpolicies批准整体业务战略和重大方针政策Overseesseniormanagementandensurestheirunderstandingofrisksintheinstitution监督并确保高级管理人员了解银行内部的风险Largeinstitution-clarifiesandensuresunderstandingofthetypesofrisktowhichtheinstitutionisexposed大银行明确、了解银行面临的各类风险Monitorsriskprofile监督风险状况,10,RoleoftheBoardofDirectors,cont.董事会的作用(续)Approvestheriskprofileforeachofthesixspecificrisks批准六类风险的预测Appointsachiefriskmanagerfortheinstitution委任银行的风险管理经理Reviewsregularreportsonchangesintheriskprofile定期评估风险预测变化报告,ActiveBoardandManagementOversight董事会和管理层的积极监控,11,RoleofManagement管理层的作用Hasdetailedknowledgeofmajorbusinesslinesincludingrisksandstrategies详细了解主要业务种类,包括风险和战略Includesthechiefriskofficerandotherriskstrategists包括风险管理总监和风险战略家Implementsstrategiestolimitrisks实施风险控制战略Developspoliciesandproceduresforallbusinesslines为所有业务制定方针和操作程序,ActiveBoardandManagementOversight董事会和管理层的积极监控,12,RoleofManagement,cont.管理层的作用(续)Communicatestheirconcernontheimportanceofinternalcontrols传达他们对于内控重要性的关注Hasathoroughunderstandingofbankingandfinancialmarketactivities透彻了解银行业和金融市场的行为Promotesethicalstandardsandcompliancewithlawsandregulations提高道德标准,推动法律法规的遵守,ActiveBoardandManagementOversight董事会和管理层的积极监控,13,AdequatePolicies,ProceduresandLimits适宜的方针、程序和限制,Istailoredtotypesofriskswithintheinstitution针对银行内的各类风险制定Adequatelyidentifies,measures,monitorsandcontrolsrisksimposedbysignificantactivities对重大行为引起的风险进行识别、计量、监测和控制Isconsistentwithmanagementsexperiencelevel,theinstitutionsstatedobjectivesandoverallfinancialstrength与管理层的经验水平、银行的既定目标和整体财务实力相一致,14,Policies/Procedures/LimitsinForeignBankingOrganizations外国银行机构的方针/程序/限制,IntegralrelationshipbetweenlocalpolicyandHeadOfficepolicy当地政策与总行政策关系紧密AppropriatenessofHeadOfficedirectivesforthelocale总行对当地分行的指示适宜Compliancewithlocallawsandregulations遵守当地法律法规,15,AdequateRiskMonitoringandInformationSystems良好的风险监测和信息系统,IdentificationandmeasurementofmaterialriskexposuresthroughMIS通过管理信息系统对重要风险敞口进行识别和计量MISreportsshouldaddressallmaterialrisksandbeaccurateandtimely管理信息系统报告应包括所有重要风险,并应准确及时MISreportsshouldbetailoredtospecificrisksincludingcredit,marketandoperational管理信息系统报告应针对特定风险,包括信用、市场和操作风险Documentationofkeyassumptions,datasourcesandprocedures记录主要假设、数据来源和程序,16,ComprehensiveInternalControls全面内控管理,Criticaltothesafetyandsoundnessoftheinstitutioningeneralandriskmanagementinparticular对于银行的整体安全和稳定、特别是风险管理至关重要Importantresponsibilityofmanagement-establishingandmonitoringaneffectivesystemofinternalcontrols管理层的重要职责建立有效的内控机制并予以监督,17,Keyelementsofinternalcontrols:
内控管理的主要因素:
Adequatesegregationofduties恰当的职责分工Independenttesting-e.g.audit独立检测如审计Appropriatetothetypeandlevelofrisks与风险种类、水平相一致Clearlinesofauthorityandresponsibility权责清晰Appropriatereportinglines报告渠道畅通,ComprehensiveInternalControls全面内控管理,18,Keyelementsofinternalcontrols:
内控管理的主要因素:
Reliable,accurateandtimely,financial,operationalandregulatoryreports可靠、准确、及时的财务、运营和监管报告Adequateproceduresforcompliancewithlawsandregulations符合法律法规的操作程序Adequatetestingandreviewofinternalcontrolsandinformationsystems充分的内控机制和信息系统测试和评估,ComprehensiveInternalControls全面内控管理,19,LargeInstitutionExperience大银行的经验,Moreformalpolicies更加正规的方针政策Inclusionofallactivitiesinriskmanagementsystems风险管理体系涵盖所有业务Identificationofrisksforeachactivity识别每项业务的风险Detailedguidelinesonrisklimitsforeachactivity为每项业务设立具体的风险额度指引Comprehensivereportingsystems全面的报告体系,20,OverallRiskManagementSystems全面风险管理体系,Globalsystems-establishedbyseniormanagementandtheBoardofDirectors全球体系由高级管理层和董事会建立Includesallportfolios,productsandlocations包括所有的投资组合、产品和地域Separatelyidentify,measureandmonitorkeyriskswithintheinstitution:
market,credit,liquidity,operational,legalandreputational分别识别、计量和监测银行的主要风险:
市场、信用、流动性、操作、法律和信誉风险,21,RiskManagementSystems,cont.风险管理体系(续),Separatesystemsfordifferentrisks,ifapplicable不同风险采用不同体系Overlappingmonitoringandcontrolsforallsystems对所有体系重复监管Shouldbedevelopedinconjunctionwithoperationalpersonnel与操作人员共同开发,22,Identifyandassessrisks识别、评估风险Establishpolicies,proceduresandrisklimits确定方针、程序和风险额度Monitorandreportcompliancewithlimits监督、报告额度遵守情况Delineatecapitalallocationandportfoliomanagement记录资金配置和投资组合管理情况Developnewproductguidelines制定新产品指引Applynewmeasurementmethodstoexistingproducts对现有产品采用新的计量方法,RiskManagementSystems,cont.风险管理体系(续),23,CreditRisk信用风险,CreditRisk-thepotentialthataborrowerorcounterpartywillfailtoperformonanobligation信用风险债务人或交易对手不能履约的潜在风险Institutionsresponsibility-tomeasureandmonitorCreditRisk银行的职责计量并监测信用风险,24,Creditriskisextendedwheneverafinancialinstitutionentersintoatransactionwherethereistheexpectationoffuturepaymentobligation银行进行涉及未来支付义务的交易时,信用风险增加Commitmentstolend贷款承诺Investments投资Derivatives衍生产品Daylightoverdrafts日间透支,CreditRisk信用风险,25,CreditRiskManagement信用风险管理,Validatedrisk-ratingsystem有效的风险评级体系Risk-adjustedpricing经风险调整后的定价Customerprofitability客户利润率Creditmonitoring信用监督,Portfoliomanagement投资组合管理Concentrations集中度Industry产业Geographic地域Borrower债务人lendingtypes贷款种类,26,IdentificationofKeyCreditRiskComponents信用风险的主要构成,Soundcreditriskprinciples:
健全的信用风险原则:
appropriatecreditenvironment良好的信用环境soundcreditgrantingprocess健全的信用审批程序appropriatecreditadministration,measurementandmonitoring良好的信用管理、计量和监测developmentofappropriateinternalcontrols良好内控机制的建立,27,CreditRiskManagement信用风险管理,CurrentIssues-thingstolookforincreditriskmanagementandcreditreviews:
当前的问题信用风险管理和信用评估中的考虑unduerelianceonoptimisticeconomicoutlooksforborrowers过度相信对于债务人的乐观经济展望insufficientconsiderationofstresstesting对于压力测试考虑不足weakeningofinternalcontrolsincreditprocess信用审批程序中的内控管理被弱化,28,DevelopmentofCreditRiskManagementSystems信用风险管理体系的建立,Creditrisk:
信用风险Existsinallactivities存在于所有业务之中Shouldbemanagedthroughanindependentprocess应通过独立程序进行管理Shouldincludecounter-partycreditriskfornon-creditproducts应包括非信用产品的交易对手的信用风险,29,CreditRiskManagementSystems信用风险管理体系,Shouldbeglobalandcaptureallrisksincludingcounter-partycreditriskintradingtransactions应该是全球性的,捕捉包括交易对手的信用风险在内的所有风险Provideappropriatemeasuresandrealisticelementsofcreditexposure提供信用敞口的合理计量和实际要素Usegenerallyacceptedmeasurementmethodologies使用普遍接受的计量方法Establishloanlossprovisionlevels确立贷款损失拨备水平Gearedtospecificinstitutionallendingpractices符合银行特定的贷款操作程序,30,CreditRiskManagementSystems,cont.信用风险管理体系(续),Differenttypesofmeasurement:
计量类别Internalriskratingsystemconsistentthenature,sizeandcomplexity与性质、规模和复杂程度相一致的内部风险评级体系Informationsystemstomeasureinherentcreditriskincludingborrowerorcounterpartyconcentration计量包括债务人或交易对手集中度在内的内在信用风险的信息体系Forwardlookingmeasurementsincludingstresstestingand“whatif”scenarios前瞻性计量,包括压力测试和“如果”情景分析,31,ComponentsofCreditRiskMonitoringSystems信用风险监测体系的构成,Customerspecificmonitoring:
客户监督currentfinancialconditionoftheborrower债务人目前的财务状况compliancewithexistingcovenants现有合约的履行情况identificationofcontractualpaymentdelinquencies债务偿还拖欠的判定promptremediationofproblems问题的快速纠正,32,CreditRiskManagement信用风险管理,Potentialweaknessesincreditriskmanagementsystems:
信用风险管理体系的缺陷:
lackofcreditpoliciesforspecifictypesofcounterpartiessuchashedgefunds缺乏对对冲基金等特殊交易对手的信用指引creditreviewschedulesnotspecificallygearedtothecounterpartysrisk信用评估安排不适用交易对手风险lackofsufficientattentiontoloanequivalentsandpotentialfutureexposures(PFEs)对贷款等价物和潜在未来敞口缺乏足够关注lessthanrealisticmeasuresofcollateralizedexposuresunderstressscenarios压力情景测试中的抵押敞口计量不符合实际,33,IssuesrelatingtoCreditRiskManagementSystems与信用风险管理体系相关的问题,Largerinstitution-notsufficienttorateeachborrower;needtoidentifygradationsamongbusinessloans大银行没有给每一个债务人评级;需要为工商业贷款分级Developinternalcreditratingsystem-willbeabletousethissystemforcapitalallocationifitmeetsBaslestandards建立内部信用评级体系如果符合巴
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