【正文】 s and Discussions in the Seminars 金融機(jī)構(gòu)整合風(fēng)險管理研討會發(fā)布的相關(guān)報告 ? “Advancing Credit Risk Management through Internal Rating Systems”以內(nèi)部評級制度為基礎(chǔ)強(qiáng)化信用風(fēng)險管理 ? “Advancing Operational Risk Management” 強(qiáng)化操作風(fēng)險管理 ? “Advancing Integrated Risk Management” 強(qiáng)化整合風(fēng)險管理 2 Background of Banks’ Efforts銀行措施的背景 ? The experience of overing NPL problems since the 1990s… 90年代以來，克服不良貸款問題的經(jīng)驗 ? Enhance the risk management of Japanese financial institutions particularly in the area of credit risk management 推進(jìn)日本金融機(jī)構(gòu)風(fēng)險管理，特別強(qiáng)化信用風(fēng)險管理 ? Entail stability of financial system, which led to the lifting of blanket deposit insurance in April, 2023 金融體系穩(wěn)定性，這導(dǎo)致 2023年 4月存款保險的整體上調(diào)。 ? In this new environment, financial institutions are expected to develop further creative business services that meet the needs of customers through… 在新情況下，金融機(jī)構(gòu)預(yù)計可通過提供下列創(chuàng)新服務(wù)來滿足消費者需求： ? Assessing various risks not only in a conservative way but also in an accurate way. 穩(wěn)健而準(zhǔn)確地進(jìn)行風(fēng)險評估。 3 Advancing Risk ManagementMeans What? 強(qiáng)化風(fēng)險管理意味著什么？ ? Our understanding of “advancing risk management” 對“強(qiáng)化風(fēng)險管理 ‖的理解 ? Enhancing the munication tools among stakeholders (senior managers, risk managers, shareholders, regulators, etc.) to reach a consensus view of risk profile and amounts. 促進(jìn)利益各方（高級經(jīng)理，風(fēng)險管理經(jīng)理，股東，監(jiān)管者等）的 交流 ,以就風(fēng)險預(yù)測及總量達(dá)成一致意見 。 ? One major mission of this new anization is to develop the third channel, besides onsite examinations and offsite monitoring, to municate with banks about the risk management framework and methods. 這一新機(jī)構(gòu)的主要任務(wù)之一是發(fā)展除實地考查和非實地監(jiān)管之外的第三種渠道，以就風(fēng)險管理體制和方式與各家銀行進(jìn)行溝通。 BOJ’s Initiative (2) Hosting a Series of Seminars for Banks 日本銀行的動作（ 2） 主辦一系列銀行業(yè)發(fā)展研討會 6 BOJ’s Organizational Changes and Setting up the Center for Advanced Financial Technology 日本銀行的機(jī)構(gòu)調(diào)整和高級金融技術(shù)中心的設(shè)立 ＜ 之前＞ ＜ 7月 18日之后＞ Financial Systems Dept. 金融體系部 Policy Planning 政策制訂 International Issues 國際事務(wù) Bank Examination and Surveillance Dept. 銀行檢查與監(jiān)督部 Policy Implementation 政策執(zhí)行 Onsite Examination 實地考查 Offsite Monitoring 非實地監(jiān)管 Financial Systems and Bank Examination Dept. 金融體系和銀行管理部 Center for Advanced Financial Technology (Newly Established) 高級金融技術(shù)中心（新設(shè)立 ） Planning and Implementation 制訂和執(zhí)行 International Issues 國際事務(wù) Onsite Examination 實地考查 Offsite Monitoring 非實地監(jiān)管 7 Advancing Risk ManagementIts Relation with Basel II 強(qiáng)化風(fēng)險管理－－與巴塞爾 Ⅱ 的關(guān)系 ? The concept of “advancing risk management” is in line with “successfully implementing Basel II” ―強(qiáng)化風(fēng)險管理”與“成功實施巴塞爾 Ⅱ ‖理念一致 ? The concept of Basel II that strongly pushes banks toward the direction of assessing risks “more precisely” and “transparently” in a “selfdisciplined” manner is pletely shared by us when advocating for the need of advancing risk management. 巴塞爾 Ⅱ 的理念是通過“自律”方式進(jìn)一步增強(qiáng)風(fēng)險評估的“準(zhǔn)確”與“透明”，我們所提倡的強(qiáng)化風(fēng)險管理與其一致。 ? The greatest challenge for us is how to convince banks of the need and usefulness of advancing risk management “by themselves” in “a flexible manner” and thereby avoid the case where banks seek for an excessively detailed “onesizefitsall” type “按自身情況自行采取靈活方式”強(qiáng)化風(fēng)險管理的必要性和有效性，從而避免各銀行尋求一套通用風(fēng)險管理體系的情況。 Migration matrix Probability of default (PD) Internal use Risk Components Loss given default (LGD) Exposure at default (EAD) Correlation Calculation of credit risk amount Expected loss (EL) Unexpected loss (UL) Stress testing Portfolio monitoring Provisioning Pricing Profit management Capital allocation Quantification of credit risk Reporting to the Board Internal rating Quantitative evaluation Financial data Qualitative evaluation Internal rating systems 11 Process of internal Ratings 1. Model estimating PDs of obligors (Logit or Probit model）債務(wù)人 PD推算模型 2. Model estimating external ratings 外部評級推算模型 3. Hybrid model of 1. and 2的結(jié)合 0% 20% 40% 60% 80% 100% 5 4 3 2 1 0 1 2 3 4 5 Score based on financial information Assessing Ratings Quantitative rating model Borrower’s financial data １ ２ ３ ４ ５ ６ ７ ８ ９ １０ １ ２ ３ ４ ５ ６ ７ ８ ９ １０ １ ２ ３ ４ ５ ６ ７ ８ ９ １０ Final Rating Rating mitigation after 1 year PD per rating grade Initial evaluation (tentative) ???????? Estimation of PD Needs attention Bankrupt default Quantitative evaluation Qualitative evaluation Borrower’s qualitative information Normal Statistical model PD Score based on financial information 12 Quantitative and Qualitative Information Used for Rating Assignment 評級 需要的 定量要素 和 定性要素 Examples of Quantitative Factors 定量要素事例 Examples of Qualitative Factors 定性要素事例 Examples of Factors Determining Facility Ratings項目評級的要素事例 Type of factor Example Size of operation Amount of capital and assets Safety Current ratio, capital adequacy ratio, and current account balance ratio Profitability Return on assets, operating profit on sales, years required to pay back interestbearing liabilities, and interestcoverage ratio Others Rate of growth in sales and profits Type of factor Example Industry Growth potential, size of market fluctuation, and entry barriers Firm Relationship with parent panies or firms with capital tieups, management ability, and existence of external audit Type of factor Real estate finance Project finance Quantitative factors Creditextension period, LTV, and DSCR Creditextension period and DSCR Qualitative factors Characteristics of real estates (., locational conditions), adequacy of cash flow schedule, and risks attached to the sponsor of the project Risk attached to the project (., risks attached to the sponsor and operator of the project, and the risk of being unable to plete the project) and transfer risk 13 What Factor