基于新巴塞尔协议II的风险管理问题-Slide1

1ASIAPACIFICDEVELOPMENTCENTREWORKSHOPONRISKMANAGEMENTINCOMMCERCIALBANKSSHANGHAI,20/21STDECEMBER2005PresentationbyKenWallerGroupEconomicAdvisorCommonwealthBankofAustraliaSessionII–BaselII-basedRiskManagement:RequirementsandChallengesforCommercialBanks基于新巴塞尔协议II的风险管理问题：对商业银行的要求及挑战发言人：KenWaller,澳洲联邦银行高级顾问2Agenda综述1.Whyriskmanagementiscriticaltogoodbanking风险管理的重要性2.Factorswhichimpactonrisk风险因素3.BaselII–riskmanagementsupervision巴塞尔协议II–对风险管理的监管4.Requirementsoncommercialbanks对商业银行的要求5.ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战6.Conclusions结论31.Whyriskmanagementiscriticaltogoodbanking风险管理的重要性•Obligationonbankstoprotectdepositorsavings–fundamental-oftenrequiredunderlaw银行有保护客户存款的基本法律义务•Shareholdersexpectgrowthinearningsfromsoundbankmanagement健全的银行管理可以增加股东的回报•Vitalforconfidenceinbankingsystem;forsoundeconomicperformanceandimprovinglivingstandardsofcommunity提升对银行系统的信任度，促进经济良好发展以及改善人民生活水平•Ensuresbestuseofcapitalinbanks确保银行资金利用最优化42.Factorswhichimpactonrisk风险因素•Internationalanddomesticeconomicconditions国内外经济形势-Asianfinancialcrisisof1997/98caused“contagion”acrosstheregion97/98年亚洲金融危机引起区域连锁反应-globalimbalances–threatenstability全球发展不平衡危及社会稳定-energypricerises能源价格上涨-terrorism恐怖主义-avianflu禽流感52.2Factorswhichimpactonrisk(continued)风险因素（续）•Qualityofmacroeconomicmanagementofaneconomy经济宏观调控的质量-budgets–balanceoverthecycle预算-经济周期内保持平衡-monetarypolicy–sustainedlowinflation货币政策-持续的低通货膨胀-exchangerates-flexible弹性汇率制度-capitalaccount–liberalise资本项目自由化-taxationpolicies–simple,transparent,equitable税收政策–简洁、透明、公正62.3Factorswhichimpactonrisk(continued)风险因素（续）Qualityofprudentialsupervisionoffinancialsystem–谨慎监管金融系统的质量–-helpsdeterminethe“credit”culture有助于营造“信用”文化氛围-valueofinternationalregulatorystandardsandpractices国际监管标准与实践的价值-qualityof“governance”inregulatoryagenciesandinministries监管部门的“监管”效果-soundlegalsupervisoryframework良好的法律监督机制72.4Factorswhichimpactonrisk(continued)风险因素（续）•Changingtechnologyinfinance–oftencostlyandcomplextomanage金融领域新科技的引入-成本高，难掌握•Productinnovation–newproducts–complex产品创新-新产品-复杂•Changingownershipstructures–mergers/acquisitions改变所有者结构-兼并/收购•Financialmarketintegration–challengeforsupervisors/cross-borderharmonisation金融市场的整合-给监管机构/各国之间的制度协调带来挑战83.BaselII–Riskmanagementsupervision巴塞尔协议II-对风险管理的监管•Supervisionofriskmanagementwithinframework–threepillars风险管理三大支柱•Pillar1–minimumcapitalrequirement•支柱1-最低资本金要求-threechoicesformanagingcreditrisk识别信贷风险的三种方法-standardised标准法-foundationinternalratings(FIRB)基础内部评级-advancedinternalratings(AIRB)高级内部评级-marketriskelementisunchanged市场风险要素保持不变-operationalrisk–newelement–tocoverlossresultingfrominadequateorfailedprocesses,peopleandsystemsandexternalevents操作风险-新要素-指由不完善的或失败的内部程序、人员及系统或外部事件造成损失的风险93.2BaselII–riskmanagementsupervision(continued)巴塞尔协议II-对风险管理的监管（续）•Pillar2–Supervisoryreviewofcapitaladequacy支柱2–资本充足性的监管约束-basedonaseriesofguidingprinciplesbanksrequiredtoassesstheircapitaladequacyprovisionsrelativetorisk以银行用以评估资本充足状况的一系列指导原则为基础-supervisorsreviewbanks’processes-involvesincreaseddialoguewithbanks监管机构考核银行的流程-加强与银行沟通103.3BaselII–riskmanagementsupervision(continued)巴塞尔协议II-对风险管理的监管•Pillar3–marketdiscipline支柱3–市场约束-moredisclosurerequiredofbanks加大银行信息披露-providesforgreaterunderstandingbymarketparticipantsonabank’sriskprofileandcapitalisation为市场参与者提供更多银行风险状况、资本结构及资本充足状况的信息•Marketsshouldbecomemorediscerningaboutabank’squality–impactoncreditrating–andcostofraisingcapital市场应该增强对银行的鉴别能力-信用评级的影响-筹集资本的成本113.4BaselII–riskmanagementsupervision(continued)巴塞尔协议II-对风险管理的监管•Alignsregulatorycapitalwithbanks’assessmentofeconomiccapital衡量风险时，采取将监管资本与银行对经济资本的评估相结合的方法•Principlesbasedapproachtosupervisionratherthanarules-basedapproach以原则为导向而非以准则为导向•Roleofbankboardsenhancedandcriticaltoprocessofriskmanagement加强银行董事会的作用，特别是对风险管理的关键作用124.Requirementsoncommercialbanks对商业银行的要求Majorchangestobanks’governancearrangements银行治理的主要变化-regularsubmissionstoboardsadvisingaccreditationprocesses定期向董事会提交评审流程-implementationrequiresrigorousworkonimprovingcreditriskmanagementandknowledgeandmanagementofoperationalrisk加大信用风险及操作风险管理力度，强化风险管理意识134.2Requirementsoncommercialbanks对商业银行的要求Dealingwithcreditandmarketrisk应对信用及市场风险-upgradecreditriskanalyticsandreporting提升信用风险的分析和报告-upgradecollateralmanagementsystems提升抵押控制系统-creditriskfactors/riskmodelvalidation信用风险因素/信用模型的确定-improveanalysisandfocusoninterestrateinthebankingbook改善银行账目利率分析144.3Requirementsoncommercialbanks对商业银行的要求Operationalrisk操作风险-develop/reviewriskindicatorsandscenarioanalysis建立/评估风险指标和情景分析-refinecapitalmodelling改善资本模型-refineITsolutions改善IT解决方案-businessandstrategicriskanalysis–provideforbusinesscontinuity–complywith“useandexperience”test业务和战略风险分析——业务持续发展——遵从“应用测试”155.ChallengesinimplementingBaselII实施巴塞尔协议II所面临的挑战•Basedonaminimumcapitalrequirement–whichhastobemet,includingforoperationalrisk必须达到包括操作风险在内的最低资本金要求•Requiresanintegratedapproachtoriskmanagementandconcertedefforttoimplementbyboardsandmanagement需要董事会和管理层的共同努力，并采取统一的风险管理的方法•Maywellrequireamajorchangeinculture很大程度上要求环境的转变•Processesrequirestrongandeffectivegovernanceprocessesinbanks(andsupervisoryagencies)要求银行（和监管部门）实施完善和