【正文】 tion is independent from the front line.最好將風(fēng)險(xiǎn)管理部門與第一線的業(yè)務(wù)部門獨(dú)立開(kāi)來(lái)216。 If difficult, it is essential to ensure that such risk management functions in the front line are subject to proper checks and balances through regular assessments by thirdparty, that is, internal audits.若無(wú)法實(shí)現(xiàn)， 則必須對(duì)一線業(yè)務(wù)部門進(jìn)行適當(dāng)必要的牽制，一般通過(guò)內(nèi)部審計(jì)，從第三者的角度進(jìn)行檢查。＜ 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(xiǎn)的把握手法216。 When identifying risk and risk amounts, it is important to consider the scope of risks to be covered, holding period, confidence interval, correlation between risks, and stress testing. 在把握風(fēng)險(xiǎn)種類和程度時(shí)，必需要考慮 風(fēng)險(xiǎn)對(duì)象 的范圍、 持有期限 、信賴水平、各風(fēng)險(xiǎn)之間的關(guān)系和壓力測(cè)試?yán)砟睢?① Targeting risk: credit risk, market risk, interest risk associated with bonds, op. risk, etc. ： ④ Correlation between risks ? Needs of verifying the stability of the correlation frequency amount of loss Stress testing ? Complementing the limit of VaR? Focus of objectivity vs focus of flexibility↑ Nontargeting risk ? Needs of considering how to deal with these risks in the integrated risk management framework 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(xiǎn) 的比 較216。 Reaction to the situation where the risk taken exceeds allocated risk capital is a litmus test of effectiveness of integrated risk management system 風(fēng)險(xiǎn)超過(guò)攤?cè)胭Y本時(shí)的應(yīng)對(duì)措施，是對(duì)整合風(fēng)險(xiǎn)管理機(jī)制的有效檢驗(yàn)。(Possible reactions)可能的應(yīng)對(duì)措施? Simply reducing risk, or 直接降低風(fēng)險(xiǎn)，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(xiǎn)的具體計(jì)劃，并執(zhí)行下去216。 When the capital adequacy ratio falls to the regulatory minimum level, it is important to pare the part which exceeds minimum level and risk, and thereby identify statistically the probability of capital falling below 8%.當(dāng)自有資本比率低于管制水準(zhǔn)時(shí)，應(yīng)對(duì)低于管制水平部分進(jìn)行分析比較，進(jìn)而統(tǒng)計(jì)資本降至低于8％的可能性。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(duì)關(guān)系密切的債務(wù)人，如何識(shí)別風(fēng)險(xiǎn)？216。 The issue is how to assess the risk of loan shifting from nonmain to main bank at the time of the borrowers’ default due to special relationships between financial institutions and borrowers. 問(wèn)題在于如何評(píng)估由于 銀行和企業(yè)密切關(guān)系 而導(dǎo)致的授信向主力銀行集中所帶來(lái)的風(fēng)險(xiǎn)。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(xiǎn)管理在經(jīng)營(yíng)當(dāng)中的運(yùn)用 216。 Objective identification of riskreturn 風(fēng)險(xiǎn)與回報(bào)的客觀把握? Estimating and monitoring riskadjusted profit indicators at major banks. 估計(jì)并監(jiān)測(cè)主要銀行的風(fēng)險(xiǎn)調(diào)整后收益指標(biāo)? Using the profit ratios after credit costs as a part of evaluating performance.將 信用成本扣除后收益率 作為業(yè)績(jī)?cè)u(píng)估項(xiàng)目的一部分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(dòng)運(yùn)用資本成本扣除后收益，來(lái)進(jìn)行各部門的業(yè)績(jī)（風(fēng)險(xiǎn) VS盈利）評(píng)估或?qū)φ麄€(gè)銀行的資本有效使用情況評(píng)估。 216。 (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(huì)的討論要點(diǎn)）：區(qū)域銀行資本攤?cè)氲谋匾院鸵饬x，設(shè)立風(fēng)險(xiǎn)估算可信度時(shí)應(yīng)考慮的因素，缺乏有效信貸風(fēng)險(xiǎn)控制機(jī)制時(shí)以風(fēng)險(xiǎn) /受益為基礎(chǔ)進(jìn)行業(yè)績(jī)?cè)u(píng)估有難度，區(qū)域銀行整合風(fēng)險(xiǎn)管理的獨(dú)立程度。Riskadjusted profit indicatorsProfit after credit cost = operating profit credit cost.Profit ratio after credit cost = profits after credit cost 247。 risk capital.Profit after capital cost = profit after credit cost risk capital x capital cost ratio.33