【文章內(nèi)容簡(jiǎn)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(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。 ? 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。 ? Simplifying the loan review process for highergraded borrowers簡(jiǎn)化優(yōu)良評(píng)級(jí)企業(yè)的審查程序。 (Monitoring) （中間管理） ? Monitoring individual borrowers based on rating grades針對(duì)不同的評(píng)級(jí)對(duì)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(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。 16 II. Advancing Operational Risk 強(qiáng)化操作風(fēng)險(xiǎn)管理 17 SPPII: “Advancing Operational Risk Management ” 報(bào)告－ 2：強(qiáng)化操作風(fēng)險(xiǎn)管理 ? Contents 內(nèi)容 ? Characteristics of op risk and the need to advance op risk management 操作風(fēng)險(xiǎn)特征和強(qiáng)化操作風(fēng)險(xiǎn)管理的必要性 ? Overview of efforts to advance op risk management and the establishment of an op risk management section 強(qiáng)化操作風(fēng)險(xiǎn)管理機(jī)制的概要和操作風(fēng)險(xiǎn)總括部門設(shè)置 ? Quantifying op risk 操作風(fēng)險(xiǎn)的計(jì)量 ? Approaches to identifying and assessing op risk other than quantification 計(jì)量以外的操作風(fēng)險(xiǎn)的把握、評(píng)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(bào)告試圖探索新舊兩種操作風(fēng)險(xiǎn)管理的合理安排，既突出運(yùn)用風(fēng)險(xiǎn)計(jì)量方法等手段強(qiáng)化管理的重要性，又考慮到維持傳統(tǒng)操作風(fēng)險(xiǎn)管理，發(fā)揮其補(bǔ)充作用的必要性。 18 Advancing Op. Risk Why Now？ 目前 強(qiáng) 化操作 風(fēng)險(xiǎn) 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(wù)多元化、金融技術(shù)高端化，業(yè)務(wù)處理的 IT化、外包規(guī)模的擴(kuò)大等局面 ? The introduction of Basel II（allocation of capital for op. risk) 引入巴塞爾 Ⅱ （操作風(fēng)險(xiǎn)也必須計(jì)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(zāi)害，以及國(guó)內(nèi)外企業(yè)重大違規(guī)事件的攀升（社會(huì)整體對(duì)操作風(fēng)險(xiǎn)的關(guān)心程度越來(lái)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(píng)估操作風(fēng)險(xiǎn)的基礎(chǔ)上，進(jìn)一步執(zhí)行有張有弛的風(fēng)險(xiǎn)管理 ? Need to establish structures that can quickly detect heightened risk and respond appropriately before the risk ，完善在操作風(fēng)險(xiǎn)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(fēng)險(xiǎn)特征 ? Forms of risk materialization風(fēng)險(xiǎn)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(duì)第三方帶來(lái)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(fēng)險(xiǎn)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(fēng)險(xiǎn)通常很難找出特定的風(fēng)險(xiǎn)顯現(xiàn)的原因，而且多個(gè)原因共同作用風(fēng)險(xiǎn)才體現(xiàn)出來(lái)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(guó)金融機(jī)構(gòu)的操作風(fēng)險(xiǎn)管理手法 Category 項(xiàng) 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(quán)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(wù)內(nèi)容的標(biāo)準(zhǔn)化和效率化 Establishment of PP 完善事務(wù)規(guī)程、指南等 Institutionwide guidance on business operations 本部進(jìn)行事務(wù)指導(dǎo) Strengthening systems support 強(qiáng)化系統(tǒng)支持 Discipline and motivation 規(guī)律、動(dòng)機(jī) Human resource (HR) management and performance evaluations 人事層面的管理、業(yè)績(jī)?cè)u(píng)估 Response to accidents and other problems 事件、事故對(duì)策 Implementation of measures to prevent recurrences 實(shí)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(dú)立審核 21 Considerations of Op. Risk Management 操作 風(fēng)險(xiǎn) 管理 時(shí) 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(duì)于操作風(fēng)險(xiǎn)，抽選出與「風(fēng)險(xiǎn)暴露」及「風(fēng)險(xiǎn)要素」相當(dāng)?shù)捻?xiàng)目是非常困難的 ? 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(fēng)險(xiǎn)存在于組織內(nèi)任何一個(gè)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(jìn)行風(fēng)險(xiǎn)管理并不容易 ? Reputational and systemic risk 聲望風(fēng)險(xiǎn)、系統(tǒng)風(fēng)險(xiǎn) ? It is nece