【正文】 ? (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 bank。 Sample Comparisons of Capital and Risk Risk Tier 1 capital Tier 2 capital Risk Risk predicated on a 99% confidence level Risk 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 ratio Total capital minus capital equivalent to the 8% ratio 31 How 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)？ ? 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)。 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 Stress 30 Comparing Allocated Capital and Risk 攤 入 資 本和 風(fēng)險(xiǎn) 的比 較 ? 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)。 ??? ??? Risk capital Quantified risk Allocation of risk capital Risk capital mensurate with credit risk Regulatory capital Credit risk Market risk Op. risk Profits made by department each section Securing adequate capital relative to risk Assessing profitability of each department section in terms of return against risk Risk taking within the scope of risk capital Risk capital mensurate with op. risk Risk capital mensurate with market risk 28 Organizational Frameworks 組織體制 ? Risk management section and treasury section have cojurisdiction over integrated risk management. 風(fēng)險(xiǎn)管理部門和財(cái)務(wù)部門來(lái)共同負(fù)責(zé)整合風(fēng)險(xiǎn)管理 ? It is desirable that risk management section 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) ? 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。各部門在攤?cè)?風(fēng)險(xiǎn)資本限額內(nèi)進(jìn)行管理。 27 Framework of Integrated Risk Management整合 風(fēng)險(xiǎn) 管理框架 ? Risk is quantified using the statistical method based on the past data such as VaR. 風(fēng)險(xiǎn)的計(jì)量多采用關(guān)注資產(chǎn)價(jià)值變動(dòng)的 Value at Risk（ VaR） 手法。本報(bào)告強(qiáng)調(diào)將這些風(fēng)險(xiǎn)與其他已識(shí)別的風(fēng)險(xiǎn)一起引入銀行的整合風(fēng)險(xiǎn)管理框架中。 ③ Examine the adequacy and consistency of processes and procedures (PP). 審查業(yè)務(wù)規(guī)程和手續(xù)的合理性、連續(xù)性。 22 Establishment of an Operational Management Section 操作風(fēng)險(xiǎn)總括部門設(shè)置 ? Functions of Operational Management Section操作風(fēng)險(xiǎn)總括部門的作用 ① Plan the op. risk management framework for the entire institution. 制定組織整體的操作風(fēng)險(xiǎn)管理框架。 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 necessary to take into consideration of the indirect loss and the effect on financial system. 必須考慮非直接因素造成的損失及其對(duì)金融系統(tǒng)的影響。 16 II. Advancin