【文章內(nèi)容簡介】 .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)部評級制度的靈活運用 ? Use of Internal rating systems內(nèi)部評級制度的 靈活運用 (Loan Origination) （授信執(zhí)行階段） ? Setting upper credit limits based on rating grades設定各個評級的授信限額。 ? Setting authority ranks for loan approval by rating grade設定各個評級的授信決定權限。 ? Simplifying the loan review process for highergraded borrowers簡化優(yōu)良評級企業(yè)的審查程序。 (Monitoring) （中間管理） ? Monitoring individual borrowers based on rating grades針對不同的評級對授信企業(yè)的管理 ? Monitoring the overall loan portfolio把握授信資產(chǎn)組合整體的信用狀況。 ? Uses of PD for each rating grade 各個評級 PD的運用 ? Quantification of credit risk and allocation of capital信用風險的計量和資本配置 ? Pricing of loan rates reflecting credit risk考慮信用風險定價（設定貸款基準利率） ? Evaluating the economic value of loans把握貸款的經(jīng)濟價值 ? 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 設備評 估外的上述內(nèi)部 評級 制度。 16 II. Advancing Operational Risk 強化操作風險管理 17 SPPII: “Advancing Operational Risk Management ” 報告－ 2：強化操作風險管理 ? Contents 內(nèi)容 ? Characteristics of op risk and the need to advance op risk management 操作風險特征和強化操作風險管理的必要性 ? Overview of efforts to advance op risk management and the establishment of an op risk management section 強化操作風險管理機制的概要和操作風險總括部門設置 ? Quantifying op risk 操作風險的計量 ? Approaches to identifying and assessing op risk other than quantification 計量以外的操作風險的把握、評估手法 ? The paper tries to strike the right balance between the importance of advancing op risk management using . risk quantification methods and the need to maintain the conventional op risk management by emphasizing their plementary characteristics. 該報告試圖探索新舊兩種操作風險管理的合理安排，既突出運用風險計量方法等手段強化管理的重要性，又考慮到維持傳統(tǒng)操作風險管理，發(fā)揮其補充作用的必要性。 18 Advancing Op. Risk Why Now？ 目前 強 化操作 風險 管理的原因何在？ ? Changes in the environment surrounding FIs’ operations 圍繞 FIs’ operations的外部環(huán)境變化 ? Business diversification, more sophisticated financial technologies, widely used IT and outsourcing. 業(yè)務多元化、金融技術高端化，業(yè)務處理的 IT化、外包規(guī)模的擴大等局面 ? The introduction of Basel II（allocation of capital for op. risk) 引入巴塞爾 Ⅱ （操作風險也必須計提自有資本 ） ? Major disaster such as earthquakes, terrorist attacks and uncovering of serious corporate scandals (society is increasingly aware of the need for the firms’ management of op. risk). 最近發(fā)生的地震、恐怖事件等大規(guī)模災害，以及國內(nèi)外企業(yè)重大違規(guī)事件的攀升（社會整體對操作風險的關心程度越來越高 ） ? New challenges面臨的新挑戰(zhàn) ? Need to manage op. risk more efficiently by identifying op. risk profile in a firmwide manner and thereby putting some priority on their 、評估操作風險的基礎上，進一步執(zhí)行有張有弛的風險管理 ? Need to establish structures that can quickly detect heightened risk and respond appropriately before the risk ，完善在操作風險發(fā)生前采取穩(wěn)妥措施的體制 ? Need to create mechanisms for autonomous risk management in all sections of their 19 Characteristic of Op. Risk操作風險特征 ? Forms of risk materialization風險顯現(xiàn)形態(tài) ? Direct loss, indirect loss or impact incurred to third parties 直接損失 、間接損失以及對第三方帶來的損失 ? High frequency and low severity or low frequency and high severity “發(fā)生頻率高，損失規(guī)模小” 或 “發(fā)生頻率低但損失規(guī)模大” ? Causes of risk materialization風險發(fā)生的主要原因 ? It is normally difficult to narrow down the factors causing such risk to materialize, and quite often, it only emerges when several factors e into play simultaneously.操作風險通常很難找出特定的風險顯現(xiàn)的原因，而且多個原因共同作用風險才體現(xiàn)出來的情況也不在少數(shù)。 Smallscale problems occurring at relatively high frequency Problems that do not occur often but have severe consequences when they do occur [Distribution of Losses Arising from the Materialization of Op. Risk] Frequency Amount of loss of losses Frequency [Distribution of Profits/Losses (Losses/Gains) Arising from the Materialization of Market Risk] Amount of profits/losses Profits/losses are distributed more or less symmetrically around the mean (close to zero) 20 Conventional Operational Risk Management Methods以前我國金融機構(gòu)的操作風險管理手法 Category 項 目 Method 方 法 Multilevel checks and balances system 多層次的牽制體制 Reexamination and multiple signatory system 再次鑒定、檢印制度 Segregation of duties 權限分離 Inhouse inspections 部門、店內(nèi)檢查 Insistence on recordkeeping 保存記錄 Standardization and streamlining of business procedures 事務內(nèi)容的標準化和效率化 Establishment of PP 完善事務規(guī)程、指南等 Institutionwide guidance on business operations 本部進行事務指導 Strengthening systems support 強化系統(tǒng)支持 Discipline and motivation 規(guī)律、動機 Human resource (HR) management and performance evaluations 人事層面的管理、業(yè)績評估 Response to accidents and other problems 事件、事故對策 Implementation of measures to prevent recurrences 實施防止再次發(fā)生措施 Internal audits 內(nèi)部監(jiān)察 Auditor section audits 內(nèi)部審核部門獨立審核 21 Considerations of Op. Risk Management 操作 風險 管理 時 考 慮 的因素 ? The need to cover a wide range of events and activities 需要管理各種各樣的事情 ? It is difficult to break down risk into the categories of exposure and risk factors. 對于操作風險，抽選出與「風險暴露」及「風險要素」相當?shù)捻椖渴欠浅＠щy的 ? The need for risk control in all sections within the institution管理組織內(nèi)所有部門的必要性 ? Op. risk exists in all sections throughout the institution. 操作風險存在于組織內(nèi)任何一個部門 ? The importance of risk management based on qualitative information定性手法的重要性 ? It is not always easy to manage them in a quantitative manner. 采用定量手法進行風險管理并不容易 ? Reputational and systemic risk 聲望風險、系統(tǒng)風險 ? It is nece