【正文】 n corporate management 整合風(fēng)險(xiǎn)管理在經(jīng)營(yíng)當(dāng)中的運(yùn)用 ? Some risks are very important for Japanese banks to address, but the methods for identifying them have not yet been established, and thus they are managed differently from one banks to another. The paper emphasizes the importance of incorporating these risks into banks’ integrated risk management framework as well as other traditionally well identified risks. 某些風(fēng)險(xiǎn)急需日本各銀行應(yīng)對(duì)，但還未建立有效識(shí)別的方法，因此各家銀行對(duì)其處理方式各異。 ? (Major discussion points in the seminars) The need and merits of advancing op. risk management with risk quantification for regional banks, degree of independence of op risk control function, how to quantify op risk when facing lack of internal data and no external data, level of granularity of operational processes to be examined by CSA. （研討會(huì)的討論要點(diǎn)）：通過(guò)對(duì)區(qū)域銀行風(fēng)險(xiǎn)計(jì)量加強(qiáng)操作風(fēng)險(xiǎn)管理的必要性和價(jià)值，操作風(fēng)險(xiǎn)控制功能的獨(dú)立性，缺乏充足內(nèi)部和外部數(shù)據(jù)時(shí)如何計(jì)量操作風(fēng)險(xiǎn)， CSA評(píng)估計(jì)量單位的確定。 ? Uses of PD for each rating grade 各個(gè)評(píng)級(jí) PD的運(yùn)用 ? Quantification of credit risk and allocation of capital信用風(fēng)險(xiǎn)的計(jì)量和資本配置 ? Pricing of loan rates reflecting credit risk考慮信用風(fēng)險(xiǎn)定價(jià)（設(shè)定貸款基準(zhǔn)利率） ? Evaluating the economic value of loans把握貸款的經(jīng)濟(jì)價(jià)值 ? Many banks have already used the internal rating systems as indicated in the above with some exceptions such as facility rating. 許 多家 銀 行已 經(jīng) 建立了除 設(shè)備評(píng) 估外的上述內(nèi)部 評(píng)級(jí) 制度。 0 100 CAP curve of a perfect model CAP curve of random model (no discriminatory power) CAP curve of a model being evaluated (%) A B A model has more accuracy as the curve moves to the upper left Ratio of cumulative number of defaulted firms 100 (%) Score N o n d e f a u l t e d firms D e f a u l t e d firms N u m b e r of firms Area (B) Area (A) + Area (B) AR ＝ 1 4 .8 7 4 .7 3 .8 2 .6 2 .1 1 .6 0 .4 0 .0 0 .0 8 3 .2 2 0 .0 4 7 .8 1 8 .9 6 .8 2 .8 0 .5 0 .0 0 .0 7 1 .1 9 .5 1 6 .0 4 3 .9 2 0 .4 7 .5 1 .5 0 .1 0 .0 6 0 .5 4 .5 6 .0 1 5 .7 4 4 .0 2 4 .5 4 .4 0 .4 0 .0 5 0 .3 1 .9 2 .5 4 .4 1 3 .1 6 3 .1 1 3 .3 1 .4 0 .0 4 0 .0 0 .8 1 .0 1 .5 4 .2 1 3 .9 6 6 .5 1 1 .9 0 .2 3 0 .1 0 .2 0 .2 0 .3 0 .7 3 .3 1 5 .1 7 5 .4 4 .7 2 0 .0 0 .5 0 .5 0 .3 0 .4 0 .3 2 .1 1 2 .8 8 3 .1 1 ????? ?8 7 6 5 4 3 2 1 Rating at the end of the year Rating at the beginning of the year Check the order of migration rate from rating 1 to other ratings Check the order of default rates Check the order of migration rate to rating 7 from other ratings Default (Example 2) 15 Use of Internal Rating Systems內(nèi)部評(píng)級(jí)制度的靈活運(yùn)用 ? Use of Internal rating systems內(nèi)部評(píng)級(jí)制度的 靈活運(yùn)用 (Loan Origination) （授信執(zhí)行階段） ? Setting upper credit limits based on rating grades設(shè)定各個(gè)評(píng)級(jí)的授信限額。 ? The greatest challenge for us is how to convince banks of the need and usefulness of advancing risk management “by themselves” in “a flexible manner” and thereby avoid the case where banks seek for an excessively detailed “onesizefitsall” type “按自身情況自行采取靈活方式”強(qiáng)化風(fēng)險(xiǎn)管理的必要性和有效性，從而避免各銀行尋求一套通用風(fēng)險(xiǎn)管理體系的情況。 ? One major mission of this new anization is to develop the third channel, besides onsite examinations and offsite monitoring, to municate with banks about the risk management framework and methods. 這一新機(jī)構(gòu)的主要任務(wù)之一是發(fā)展除實(shí)地考查和非實(shí)地監(jiān)管之外的第三種渠道，以就風(fēng)險(xiǎn)管理體制和方式與各家銀行進(jìn)行溝通。 ? In this new environment, financial institutions are expected to develop further creative business services that meet the needs of customers through… 在新情況下，金融機(jī)構(gòu)預(yù)計(jì)可通過(guò)提供下列創(chuàng)新服務(wù)來(lái)滿足消費(fèi)者需求： ? Assessing various risks not only in a conservative way but also in an accurate way. 穩(wěn)健而準(zhǔn)確地進(jìn)行風(fēng)險(xiǎn)評(píng)估。 ? In other words, financial institutions are expected to grasp effectively the various risks inherent in their business (. economic value and its volatility of all the assets they possess and transactions they engage in), and also to establish a framework that manages these risks in an integrated way. 換句話說(shuō)，金融機(jī)構(gòu)預(yù)計(jì)能有效把握業(yè)務(wù)中存在的各種風(fēng)險(xiǎn)（例如，其擁有和參與交易的全部資產(chǎn) 價(jià)值及波動(dòng) )，并建立風(fēng)險(xiǎn) 綜合 管理機(jī)制 ? In addition, Basel II implementation surely pressures banks to intensify the above efforts. 此外，巴塞爾 Ⅱ 的出臺(tái)迫使銀行強(qiáng)化上述措施。 ? Using the three sound practice papers as the main subjects, the Center has already hosted: 以三份報(bào)告為主題，該中心已成功主辦： ? 2 seminars for the large number of financial institutions focusing on overall risk management issues that are dealt with by three papers, and 2期有眾多金融機(jī)構(gòu)參與的研討會(huì)，全面討論三份報(bào)告涉及的風(fēng)險(xiǎn)管理問(wèn)題，以及 ? 12 seminars for regional banks (20—30 banks for each) focusing on the issues that are dealt with by one paper for each seminar. 12期由區(qū)域銀行參與的研討會(huì)（每次 20－ 30家銀行），每期就一份報(bào)告涉及的相關(guān)問(wèn)題展開(kāi)討論。 8 I. “Advancing Credit Risk Management through Internal Rating Systems” 以內(nèi)部評(píng)級(jí)制度為基礎(chǔ)強(qiáng)化信用風(fēng)險(xiǎn)管理 9 SPPI: “Advancing Credit Risk Management through Internal Rating Systems” 報(bào)告－ I： 以內(nèi)部 評(píng)級(jí)制度為基礎(chǔ)強(qiáng)化信用風(fēng)險(xiǎn)管理 ? Contents內(nèi)容 ? Architecture of internal rating system 內(nèi)部評(píng)級(jí)制度體系 ? Rating process and rating models 評(píng)級(jí)實(shí)施程序和評(píng)級(jí)模型 ? Estimation of risk ponents 風(fēng)險(xiǎn)要素推算 ? Uses of internal rating systems 內(nèi)部評(píng)級(jí)制度的靈活運(yùn)用 ? Validation of internal rating systems 內(nèi)部評(píng)級(jí)制度的驗(yàn)證 ? Quantification of credit risk 信用風(fēng)險(xiǎn)的計(jì)量化 ? The paper tries to show our thinking of sound practices, being pared with current practices of major banks and thereby facilitate small banks to consider them as the real world cases. 該報(bào)告介紹 整合風(fēng)險(xiǎn)管理 的方法， 并與各大銀行目前做法比較，有助于指導(dǎo)小型銀行實(shí)際操作 10 Framework of Advancing Credit Risk Management 強(qiáng)化信用風(fēng)險(xiǎn)管理設(shè)想 ? (Major discussion points in the seminars) Definition of default, consistent treatment of counterparty risks of market transactions, data integrity required for estimating risk ponents, concentration risk control measures using UL oute, etc . （研討會(huì)的討論要點(diǎn)） 違約的定義，市場(chǎng)交易伙伴風(fēng)險(xiǎn)的協(xié)調(diào)處理，風(fēng)險(xiǎn)因素評(píng)估所需要的資料整合，利用 UL成果集中風(fēng)險(xiǎn)管理措施。 ? Setting authority ranks for loan approval by rating grade設(shè)定各個(gè)評(píng)級(jí)的授信決定權(quán)限。 16 II. Advancing Operational Risk 強(qiáng)化操作風(fēng)險(xiǎn)管理 17 SPPII: “Advancing Operational Risk Ma