【正文】 ng 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7Advancing Risk ManagementIts Relation with Basel II強化風(fēng)險管理－－與巴塞爾 Ⅱ 的關(guān)系216。216。216。 What banks need is more objective and more persuasive tools to assess risks 銀行業(yè)需要更客觀、更有說服力的風(fēng)險評估工具l Objective and persuasive risk assessments lead to higher transparency of risk management process and thereby clarify the responsibility associated with risk taking activities ? help ensure the direction toward improving risk management.客觀而有說服力的風(fēng)險評估將 增強 風(fēng)險管理過程 透明性 ，進而明確風(fēng)險活動各方的責(zé)任 ?有助于確保 改善風(fēng)險管理l There are no best practices of banks’ risk management, which could differ depending on their facing environments ? need to establish the incentive mechanism to ensure the direction toward improving risk management. 并不存在 能隨市場環(huán)境變化而變化的銀行風(fēng)險管理 最佳方案 ?需要建立 激勵機制 ，以確保改善風(fēng)險管理4BOJ’s Initiative (1) Publication of Sound Practices Papers日本銀行的動作（ 1） 公布金融機構(gòu)整合風(fēng)險管理報告 5216。 Our understanding of “advancing risk management” 對 “強化風(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)測及總量達成一致意見 。l In other words, financial institutions are expected to grasp effectively the various risks inherent in their business (. economic value and its volatility of all the assets they possess and transactions they engage in), and also to establish a framework that manages these risks in an integrated way.換句話說，金融機構(gòu)預(yù)計能有效把握業(yè)務(wù)中存在的各種風(fēng)險（例如，其擁有和參與交易的全部資產(chǎn) 價值及波動 )，并建立風(fēng)險 綜合 管理機制l In addition, Basel II implementation surely pressures banks to intensify the above efforts.此外，巴塞爾 Ⅱ 的出臺迫使銀行強化上述措施。216。 Topics from the Sound Practices Papers and Discussions in the Seminars 金融機構(gòu)整合風(fēng)險管理研討會發(fā)布的相關(guān)報告l “Advancing Credit Risk Management through Internal Rating Systems”以內(nèi)部評級制度為基礎(chǔ)強化信用風(fēng)險管理 l “Advancing Operational Risk Management” 強化操作風(fēng)險管理l “Advancing Integrated Risk Management” 強化整合風(fēng)險管理2Background of Banks’ Efforts銀行措施的背景216。Advancing Risk Management by Financial Institutions The Case of Japanese Banks推進金融機構(gòu)風(fēng)險管理： 日本銀行業(yè)的經(jīng)驗Tsuyoshi Oyama Bank of Japan日本銀行Workshop on Risk Management in Banking Sector商業(yè)銀行風(fēng)險管理 培訓(xùn)班Shanghai, December 21, 20232023年 12月 21日，上海1Agenda 內(nèi)容安排216。 Background of Banks’ Efforts to Enhance Risk Management and the BOJ’s Initiatives to Encourage These Efforts 銀行業(yè)推進風(fēng)險管理及日本銀行支持舉措的背景216。 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 推進日本金融機構(gòu)風(fēng)險管理，特別強化信用風(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：l Assessing various risks not only in a conservative way but also in an accurate way. 穩(wěn)健而準(zhǔn)確地進行風(fēng)險評估。 3Advancing Risk ManagementMeans What?強化風(fēng)險管理意味著什么？ 216。? Not necessarily indicating a more use of Greek letters and math formula無需多用希臘字母和數(shù)學(xué)公式216。 The Bank of Japan established the Center for Advanced Financial Technology in July, 2023.日本銀行于 2023年 7月 設(shè)立高級金融技術(shù)中心。 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行溝通。 Using the three sound practice papers as the main subjects, the Center has already hosted: 以三份報告為主題，該中心已成功主辦：l 2 seminars for the large number of financial institutions focusing on overall risk management issues that are dealt with by three papers, and2期有眾多金融機構(gòu)參與的研討會，全面討論三份報告涉及的風(fēng)險管理問題，以及l(fā) 12 seminars for regional banks (20—30 banks for each) focusing on the issues that are dealt with by one paper for each seminar.12期由區(qū)域銀行參與的研討會（每次 20－ 30家銀行），每期就一份報告涉及的相關(guān)問題展開討論。 The concept of “advancing risk management” is in line with “successfully implementing Basel II”“強化風(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 ”方式進一步增強風(fēng)險評估的 “準(zhǔn)確 ”與 “透明 ”，我們所提倡的強化風(fēng)險管理與其一致。216。8I. “Advancing Credit Risk Management through Internal Rating Systems” 以內(nèi)部評級制度為基礎(chǔ)強化信用風(fēng)險管理9SPPI: “Advancing Credit Risk Management through Internal Rating Systems”報告－ I： 以內(nèi)部 評級制度為基礎(chǔ)強化信用風(fēng)險管理216。 Architecture of internal rating system內(nèi)部評級制度體系 216。 Estimation of risk ponents風(fēng)險要素推算216。 Validation of internal rating systems內(nèi)部評級制度的驗證216。 The paper tries to show our thinking of sound practices, being pared with current practices of major banks and thereby facilitate small banks to consider them as the real world cases.該報告介紹 整合風(fēng)險管理 的方法， 并與各大銀行目前做法比較，有助于指導(dǎo)小型銀行實際操作 10Framework of Advancing Credit Risk Management強化信用風(fēng)險管理設(shè)想 216。Migration matrixProbability of default(PD)Internal useRisk ComponentsLoss given default(LGD)Exposure at default(EAD)CorrelationCalculation of credit risk amount Expected loss (EL)Unexpected loss (UL)Stress testing Portfolio monitoringProvisioningPricingProfit managementCapital allocationQuantification of credit riskReporting tothe BoardInternal ratingQuantitative evalua