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1AdvancingRiskManagementbyFinancialInstitutionsTheCaseofJapaneseBanksTsuyoshiOyamaBankofJapanWorkshoponRiskManagementinBankingSectorShanghai,December21,2005广州网站建设BackgroundofBanks’EffortstoEnhanceRiskManagementandtheBOJ’sInitiativestoEncourageTheseEffortsTopicsfromtheSoundPracticesPapersandDiscussionsintheSeminars“AdvancingCreditRiskManagementthroughInternalRatingSystems”“AdvancingOperationalRiskManagement”“AdvancingIntegratedRiskManagement”3BackgroundofBanks’EffortsTheexperienceofovercomingNPLproblemssincethe1990s…EnhancetheriskmanagementofJapanesefinancialinstitutionsparticularlyintheareaofcreditriskmanagementEntailstabilityoffinancialsystem,whichledtotheliftingofblanketdepositinsuranceinApril,2005Inthisnewenvironment,financialinstitutionsareexpectedtodevelopfurthercreativebusinessservicesthatmeettheneedsofcustomersthrough…Assessingvariousrisksnotonlyinaconservativewaybutalsoinanaccurateway.Inotherwords,financialinstitutionsareexpectedtograspeffectivelythevariousrisksinherentintheirbusiness(e.g.economicvalueanditsvolatilityofalltheassetstheypossessandtransactionstheyengagein),andalsotoestablishaframeworkthatmanagestheserisksinanintegratedway.Inaddition,BaselIIimplementationsurelypressuresbankstointensifytheaboveefforts.4AdvancingRiskManagement---MeansWhat?Ourunderstandingof“advancingriskmanagement”Enhancingthecommunicationtoolsamongstakeholders(seniormanagers,riskmanagers,shareholders,regulators,etc.)toreachaconsensusviewofriskprofileandamounts.NotnecessarilyindicatingamoreuseofGreeklettersandmathformulaWhatbanksneedismoreobjectiveandmorepersuasivetoolstoassessrisksObjectiveandpersuasiveriskassessmentsleadtohighertransparencyofriskmanagementprocessandtherebyclarifytheresponsibilityassociatedwithrisktakingactivitieshelpensurethedirectiontowardimprovingriskmanagement.Therearenobestpracticesofbanks’riskmanagement,whichcoulddifferdependingontheirfacingenvironmentsneedtoestablishtheincentivemechanismtoensurethedirectiontowardimprovingriskmanagement.5TheBankofJapanreleasedthefollowingthreepapersattheendofJuly,2005.AdvancingCreditRiskManagementthroughInternalRatingSystemsAdvancingOperationalRiskManagementAdvancingIntegratedRiskManagementHP：Thesepapersdrawontheissuesandmeasures,onwhichtheBankofJapanintendstousetostartin-depthdiscussionsofriskmanagementwithfinancialinstitutionsatthetimeofouron-siteexaminationsandoff-sitemonitoring.MainsubjectsofthethreepapersroughlycorrespondtotheissuesofimplementingIRB,AMAandPillarIIundertheBaselIIBOJ’sInitiative(1)--PublicationofSoundPracticesPapers6TheBankofJapanestablishedtheCenterforAdvancedFinancialTechnologyinJuly,2005.Onemajormissionofthisneworganizationistodevelopthethirdchannel,besideson-siteexaminationsandoff-sitemonitoring,tocommunicatewithbanksabouttheriskmanagementframeworkandmethods.Usingthethreesoundpracticepapersasthemainsubjects,theCenterhasalreadyhosted:2seminarsforthelargenumberoffinancialinstitutionsfocusingonoverallriskmanagementissuesthataredealtwithbythreepapers,and12seminarsforregionalbanks(20—30banksforeach)focusingontheissuesthataredealtwithbyonepaperforeachseminar.BOJ’sInitiative(2)--HostingaSeriesofSeminarsforBanks7BOJ’sOrganizationalChangesandSettinguptheCenterforAdvancedFinancialTechnology＜Before＞＜AfterJuly8th＞FinancialSystemsDept.PolicyPlanningInternationalIssuesBankExaminationandSurveillanceDept.PolicyImplementationOn-siteExaminationOff-siteMonitoringFinancialSystemsandBankExaminationDept.CenterforAdvancedFinancialTechnology(NewlyEstablished)PlanningandImplementationInternationalIssuesOn-siteExaminationOff-siteMonitoring8AdvancingRiskManagement---ItsRelationwithBaselIITheconceptof“advancingriskmanagement”isinlinewith“successfullyimplementingBaselII”TheconceptofBaselIIthatstronglypushesbankstowardthedirectionofassessingrisks“moreprecisely”and“transparently”ina“self-disciplined”manneriscompletelysharedbyuswhenadvocatingfortheneedofadvancingriskmanagement.Ourstrategyistocapitalizeon,tothemaximum,theimplementationofBaselIIanditsaccompanyingmomentumofadvancingriskmanagementamongbanks.Thegreatestchallengeforusishowtoconvincebanksoftheneedandusefulnessofadvancingriskmanagement“bythemselves”in“aflexiblemanner”andtherebyavoidthecasewherebanksseekforanexcessivelydetailed“one-size-fits-all”typeguidance.9I.“AdvancingCreditRiskManagementthroughInternalRatingSystems”10SPP-I:“AdvancingCreditRiskManagementthroughInternalRatingSystems”ContentsArchitectureofinternalratingsystemRatingprocessandratingmodelsEstimationofriskcomponentsUsesofinternalratingsystemsValidationofinternalratingsystemsQuantificationofcreditriskThepapertriestoshowourthinkingofsoundpractices,beingcomparedwithcurrentpracticesofmajorbanksandtherebyfacilitatesmallbankstoconsiderthemastherealworldcases.11FrameworkofAdvancingCreditRiskManagementMigrationmatrixProbabilityofdefault(PD)InternaluseRiskComponentsLossgivendefault(LGD)Exposureatdefault(EAD)CorrelationCalculationofcreditriskamountExpec