【正文】 ③ Confidence intervals (. 99%, %, %) ? Directly linked to management judgment ② Holding period: consistency with investment policies of assets （ . credit risk and interest risk for 1 year and market risk for 3 months) ⑤ Stress30Comparing Allocated Capital and Risk攤 入 資 本和 風(fēng)險 的比 較216。Sample Comparisons of Capital and Risk Risk Tier 1 capitalTier 2 capitalRiskRisk predicated on a 99% confidence levelRisk predicated on an X% confidence level? Possibility that the capital adequacy ratio will fall below the 8% level with a probability of (100X)%.Capital equivalent to the 8% capital adequacy ratioTotal capital minus capital equivalent to the 8% ratio31How to Identify the Risk Associated with Loans to Borrowers with Strong Relationship對關(guān)系密切的債務(wù)人，如何識別風(fēng)險？216。 Japanese banks including major ones have not yet reached the stage where they can use the profit after capital cost proactively to assess the performance (risk versus profitability) of individual sections or the efficiency of use of capital for the overall bank for several reasons.包括主力銀行在內(nèi)的日本各家銀行由于種種原因，并未能 達(dá)到主動運用資本成本扣除后收益，來進(jìn)行各部門的業(yè)績（風(fēng)險 VS盈利）評估或?qū)φ麄€銀行的資本有效使用情況評估。 risk capital.Profit after capital cost = profit after credit cost risk capital x capital cost ratio.33。 (Major discussion points in the seminars) The need and merits of economic capital allocation for regional banks, factors to be considered when setting the confidence interval for risk quantification, difficulty of using risk/return based performance evaluation when business lines lack the means of proactively controlling risk of loan portfolio, degree of independence of integrated risk control function for regional banks. （研討會的討論要點）：區(qū)域銀行資本攤?cè)氲谋匾院鸵饬x，設(shè)立風(fēng)險估算可信度時應(yīng)考慮的因素，缺乏有效信貸風(fēng)險控制機制時以風(fēng)險 /受益為基礎(chǔ)進(jìn)行業(yè)績評估有難度，區(qū)域銀行整合風(fēng)險管理的獨立程度。Ｘ非メイン先への返済が滯る→ Ｘ年後にメイン寄せの傾向 ▽Timing of occurring risk associated with loans to borrowers with strong relationship (Image chart) Credit exposure at nonmain bank Credit exposure at main bank （credit exposure） With X years’ experience of some delay in repayment to banks, nonmain banks tend to withdraw their loans, which has to be replaced by the main bank loans. (Time) ▽Seniority and timing of repayment Seniority Ｂ/S at credit bank Borrowers’ rating status which triggers the repayment of each liability highUndernormal Trade payable（customer） Cooperate bond (investors) Needs attention assetsBank borrowing (nonmain bank) Needs attentionIn danger of bankruptcy Bank borrowing (main bank) equity low 32Use of Integrated Risk Management for Business Strategy整合風(fēng)險管理在經(jīng)營當(dāng)中的運用 216。(Possible reactions)可能的應(yīng)對措施? Simply reducing risk, or 直接降低風(fēng)險，或? Identifying the extent of capital inadequacy to be corrected, and drawing up (and implementing) a concrete plan to eliminate 自有資本缺口 程度，確立消除該風(fēng)險的具體計劃，并執(zhí)行下去216。＜ Example of an Integrated Risk Management System Using Cross?Organizational Forums＞Executive mittee, integrated risk management mittee, etc.Secretariat: Integrated risk management section, planning finance sectionIntegrated risk management section Manages quantified risk aggregates Manages overall market risk Quantifies op. riskCredit policy and planning section Manages overall credit riskOperations systems policy and planning section Manages overall op. risk excluding quantificationCompliance section Overall Compliance???29Identifying Risk 風(fēng)險的把握手法216。??????Risk capital Quantified riskAllocation of risk capitalRisk capital mensurate with credit riskRegulatory capitalCredit riskMarket riskOp. riskProfits made by department each sectionSecuring adequate capital relative to risk Assessing profitability of each department section in terms of return against riskRisk taking within the scope of risk capitalRisk capital mensurate with op. riskRisk capital mensurate with market risk28Organizational Frameworks組織體制216。 Allocating hypothetical capital for internal control purposes to each section within the scope of total capital. Each section then manages the risk so that it does not exceed the allocated capital.在總資本量內(nèi)，將內(nèi)部風(fēng)險控制預(yù)期資本額攤?cè)敫鞑块T。? Some good examples of the unique risks to Japanese banks are risk associated with preferred stock, risk associated with deferred tax assets and risk associated with loans to borrowers with strong relationship. 日本銀行業(yè)面臨的特殊風(fēng)險包括：優(yōu)先股引起的風(fēng)險、延稅資產(chǎn)引起的風(fēng)險、由與銀行關(guān)系密切的債務(wù)人引起的風(fēng)險?！onsiderations考慮因素l Appropriate collection, classification and update of loss data. 合理進(jìn)行數(shù)據(jù)搜集、分類和遺失數(shù)據(jù)的更新　l Selection of model which is able to identify cases of losses with low frequency but high severity. 選擇能捕捉 “發(fā)生頻率低但是損失規(guī)模大 ”事件的計量模型l Setting group units for quantification. 為量化分析設(shè)立單位組l Introducing hypothetical data based on external data or scenario analyses into quantitative models. 將據(jù)外部信息和想象分析得到的假定數(shù)據(jù)引入計量模型l Using qualitative data to revise the quantification results. 用定性資料修訂定量分析得到的結(jié)果Loss amount per loss eventNumber of loss events occurring per yearFrequencyFrequency distribution of loss events (per year). Poisson distributionOp. risk amount ((%VaR)Op. risk amount (%VaR)　Annual cumulative loss amount③ Cumulative loss amount distribution for one year④①②FrequencyFrequencyDistribution of loss amount per loss . log?normal distribution24Control of SelfAssessments and Key Risk Indicators風(fēng)險管理自我評估 和重要風(fēng)險管理指標(biāo)216。② Collect and analyze information on accidents and other problems, puter system malfunctions, and clerical errors arising in each section, then report to th