講義工商銀行commercial bank risk management

1、CommerAbstractl BRisk Management: Anysis of the ProsThroughout the past year, on-site visits to finanl service firms were conductedto review and evaluate their finanl risk management systems. The commerlbingysis covered a number of Normerican super-regionals and quasi-money-center institutions as we

2、ll as several firms outside the U.S. The informationobtained covered both the philosophy and practice of finanl risk management. Thisarticle outlines the results of this investigation. It reports the se of risk managementtechniqueshe industry. It reports the standard of practice and evaluates how an

3、d whyit is conductedhe particular way chosen. In addition, critiques are offered whereappropriate. We discuss the problems which the industry finds most difficult to address,ings of the current methodology used toyze risk, and the elementstare missinghe current procedures of risk management.1.roduct

4、ionThe past decade has seen dramatic losseshe bing industry. Firmsdtbeen performing well suddenly announced large losses due to credit exuresturned sour,erestrateitions taken, or derivative exurest may or maynove been amed to hedge balanheet risk. In response to this, commerlbs have almost universal

5、ly embarked upon an upgrading of their risk managementand control systems.Coincidental to thiivity, and in part because of our recognition of the industrysvulnerability to finanl risk, the Wharton Finanl Institutions Center, with thesupport of the Sloan Foundation, has been involved in anysis of fin

6、anl riskmanagement proseshe finanl sector. Through the past academic year, on-sitevisits were conducted to review and evaluate the risk management systems and thepros of risk evaluationt is in place.he bing sector, system evaluation wasconducted covering many of Normericaper-regionals and quasi-mone

7、y-centercommerl bs, as well as a number of major investment bing firms. Theseresults were then presented to a much wider array of bing firms for reaction andverification. The pur e of the present article is to outline the findings of this investigation. It reports the s e of risk management techniqu

8、es in the industry questions asked, questions answered, and questions left unaddressed by respondents. This report cannot recite a litany of the approaches used with he industry, nor can itoffer an evaluation of each and every approach. Rather, it reports the standard ofpractice and evaluates how an

9、d why it is conductedhe particular way chosen. But,even the best practice employed withhe industry is not good enough in some areas.Accordingly, critiques also will be offered where appropriate. The article concludeswilist of questionst are currently unanswered, or answered impreciselyhecurrent prac

10、tice employed by this group of relatively sophisticated bs. Here, wediscuss the problems which the industry finds most difficult to address,ingsof the current methodology used toyze risk, and the elementst are missing inthe current procedures of risk management and risk control.2. What type of risk

11、is being considered?Commer, theyl bs arehe risk business.he pros of providing finanlserviame various kinds of finanl risks. Over the last decade ourunderstandingof the place of commerl bs within the finanl sector hasimproved substantially. Over this time, much has been written on the role of commerl

12、bshe finanl sector, bothhe academierature andhe finanl press.These arguments will be neither reviewed nor enumerated here. Suffice it to saytmarket participants seek the serviof these finanl institutions because of theirability to provide market knowledge, tranion efficiency and funding capability.

13、Inperforming these roles, they generally aa principalhe tranion. Ach, theyuse their own balanwith it.heet to facilie the tranion and to absorb the risks assotedTo be sure, there are activities performed by bing firms which do not havedirect balansuch asheet implications. These serviinclude agency an

14、d advisory activitiestrust and investment management;private and public placements through bestefforts or faciliing contracts;(3) standard underwriting through Section 20 Subsidiaries of the holding company;(4) the packaging, securitizing, distributing, and servicing of loansconsumer and real ese de

15、bt primarily.he areas ofThese items are absent from the traditional finanrely on generally accepted accounting procedures ratherl sement because the lattern a true economic balancesheet. Nonetheless, the overwhelming majority of the risks facing the bing firm areon-balanheet businesses. It ishis are

16、at the discusof risk managementand of the nesary procedures for risk management and control has centered.Accordingly, it is heret our review of risk management procedures will concentrate.3. What kinds of risks are being absorbed?The risks containedhe bs principal activities, i.e., those involving i

17、ts ownbalanheet and its basic business of lending and borrowing, are not all borne by thebitself.assoted wiany instanthe institution will eliminate or mitigate the finanl risktranion by proper business practi; in others, it will shift the riskto otharties through a combination of pricing and product

18、 design.The bing industry recognizest an institution need not engage in business inamannert unnesarily imes risk upon it; nor should it absorb riskt can beefficiently transferred to otharticipants. Rather, it should only manage risks at thefirm levelt are more efficiently managed theren by the marke

19、t itself or by theirowners in their own portfolios. In short, it should accept only those riskst areuniquely a part of the bs array of servi. Elsewhere (Oldfield and Santomero,1997) is been arguedt risks facing all finanl institutions can be segmented. These are:o three separable types, from a manag

20、ementrisksrisksrisks hethe chant can be eliminated or avoided by simpusiness practi;t can be transferred to otharticipants;t must be actively managed at the firm level.of these cases, the practice of risk avoidance involveions to reduceof idiosyncratic losses from standard bing activity by eliminati

21、ng riskst arepractisuperuous to the institutions business pure. Common risk-avoidancehere includeeast three types of actions. The standardization of pros,contracts, and procedures to prevent inefficient or incorrect finanl decis is theof these. The construction of portfoliost benefit from diversific

22、ation acrossborrowers andt reduce the effects of any one loss experience is another. Theimplemenion of incentive compatible contracts with the institutions management torequiret employees be held accountable is the third. In each case, the goal is to ridthe firm of riskst are not essential to the fi

23、nanl service provided, or to absorb onlyan optimalty of a particular kind of risk.There are also some riskst can be eliminated, oreast substantially reducedthrough the technique of risk transfer. Markets exist for many of the risks borne by thebing firm.erest rate risk can be transferred byerest rat

24、e productch as swapsor other derivatives. Borrowing terms can be altered to effect a changeheir duration.Finally, the bcan buy or sell finanl claims to diversify or concentrate theriskst result from servicing its cnt base. To the extentt the finanl risks ofthe assets created by the firm are understo

25、od by the market, these assets can be sold attheir fair value. Unless the institution has a comparative advantageanaging theattendant risk and/or a desire for the embedded risk which they contain, there is noreason for the bto absorb such risks, rathern transfer them.However, there are two classes o

26、f assets or activities where the risk inherent inthe activity must and should be absorbed at the blevel.hese cases, good reasonsexist for using firm resourto manage blevel risk. Theof these includesfinanl assets or activities where the nature of the embedded risk may be complex anddifficult to commu

27、nicate to third parties. This is the case when the bholds complexand proprietary assetst have thin, if not nonexistent, secondary markets.Communication in such cases may be more difficult or expensiven hedging theunderlying risk. Moreover, revealing information about the customer competitors an undu

28、e advantage. The second case includes proprietaryare accepted because of their risks, and their expected return. Here, riskmay giveitionsitionsttare central to the bs business pure are absorbed because they are the raison ofthe firm. Credit risk inherentrisk for the trading desk of bhe lending activ

29、ity is a clear case in po, as is marketive in certaarkets. In all such circumstan,risk is absorbed and needs to be monitored and managed efficiently by the institution.Only then will the firm systematically achieve its finan4. How are these risks managed?l performance goal.In light of the above, wha

30、t are the nesary procedurest must be in place inorder to carry out adequate risk management? In essence, what techniques are employedto both limit and manage the different types of risk, and how are they implemented ineach area of risk control? It is to these questionst we now turn. After reviewing

31、theprocedures employed by leading firms, an approach emerges from an examination oflarge-scale risk management systems. The management of the bing firm res on asequence of steps to implement a risk management system. These can be seen as containing the following four parts:1. standards and reports,2

32、.ition limits or rules,3.investment guidelines or strategies, and 4.incentive contracts and compensation.In general, these tools are established to measure exure, define procedures tomanage these exures, limit individualitions to acceptable levels, and encouraget is consistent with the firms goals a

33、nddecimakers to manage risk in a mannerobjectives. To see how each of these four parts of basic risk-management techniquesachieves these ends,laborate on each part of the pros below. In section 4 weillustrate how these techniques are appd to manage each of the specific risks facingthe bing community

34、.1. Standards and reports.Theof these risk-management techniques involves two different conceptualactivities, i.e., standard setting and finanl reporting. They are listed together becausethey are the sine qua non of any risk system. Underwriting standards, riskcategorizations, and standards of revie

35、w are all traditional tools of risk managementand control. Consistent evaluation and rating of exures of various types are essentialto an understanding of the risksbe mitigated or absorbed.he portfolio, and the extent to which these risks mustThe standardization of finanl reporting is the next ingre

36、dient. Obviously, outside audits, regulatory reports, and rating agency evaluations are essential forinvestors to gauge asset quality and firm-level risk. These reports have long beenstandardized, for better or worse. However, the need here goespublic reportsand audited sements to the need for manag

37、ement information on asset quality andriskture. Suchernal reports need similar standardization and muore frequentreportingervals, with daily orperiodicity.kly reportbstituting for the quarterly GAAP2.ition limits and rules.A second technique forernal control of active management is the use ofitionof

38、limits, and/or minimum standards for participation. risk taking is restricted to only those assets or countquality standard. Then, even for those investmentserms of the latter, theartiest pass some prespecifiedt are eligible, limits are imedto cover exures to countarties, credits, and overallition c

39、oncentrationsrelative to various types of risks. While such limits are costly to establish and administer,their imition restricts the riskt can be amed by anyone individual, andtherefore by theanization as a whole. In general, eachwho can commitcapital will have a well-defined limit. This apps to tr

40、aders, lenders, and portfoliomanagers. Summary reports show limits as well as current exure by businenitained,on a periodic basis. In largeanizations with thousands ofitions maaccurate and timely reporting is difficult, but even more essential.3. Investment guidelines and strategies.Investment guide

41、lines andmendeditions for the immediate future arethe third technique commonly in use. Here, strategies are outlined in terms ofconcentrations and commitments to particular aras of the market, the extent of desiredasset-liability mismatching or ex of a particular type.4.Incentives schemes.ure, and t

42、he need to hedge against systematic riskTo the extentt management can enter incentive compatible contracts with linemanagers and make compensation related to the risks borne by these individuals, thenthe need for elaborate and costly controls is lessened. However, such incentive contractsrequire acc

43、urateition valuation and properernal control systems.中文譯文：商業(yè)的風(fēng)險管理：一個分析的過程摘要在過去一年里,險管理系統(tǒng)。商業(yè)通過現(xiàn)場參觀金融服務(wù)公司來進行和評估其金融風(fēng)的分析涵蓋了大量的超地區(qū)性和準(zhǔn)貨幣中心機構(gòu),以及一些以外的公司獲得的信息包括了一些理念和財務(wù)風(fēng)險管理的做法。本文概述了本次的結(jié)果,并了該行業(yè)風(fēng)險管理技術(shù)的狀況。它了行業(yè)的執(zhí)業(yè)標(biāo)準(zhǔn)和評價方式，以及為什么特定選擇的方式進行。此外，本文提出了一些適當(dāng)?shù)呐u。這些問題，包括業(yè)界認(rèn)為最難處理的、現(xiàn)行風(fēng)險分析方法中的缺點以及現(xiàn)行風(fēng)險管理程序中一些缺失的元素。1、介紹在過去十年中業(yè)經(jīng)歷了

44、一場慘痛的損失。由于信貸風(fēng)險承擔(dān)情況變差、利率變動和一些金融衍生工具理論上可能發(fā)生的對沖資產(chǎn)負(fù)債表風(fēng)險，一些表現(xiàn)良好的公司突然宣布了自己的虧損。在針對這種情況，商業(yè)己開始了一項對風(fēng)險管理和控制系統(tǒng)的升級。在某種程度上來說，這次活動是出于對行業(yè)財務(wù)風(fēng)險弱點的認(rèn)識。在斯隆的支持下，金融機構(gòu)中心，一直在金融部門中參與對金融風(fēng)險管理的分析。通過過去的一年的時間，實地的方法貫穿于評估風(fēng)險管理制度和風(fēng)險評估所定的過程中。在部門，系統(tǒng)進行了評估，包括很多超地區(qū)性和本土貨幣中心的商業(yè)，以及大量的大型投資公司。這些結(jié)果被提交給公司，繼續(xù)參與更廣泛的反應(yīng)和驗證。本文的目的是概述本次的結(jié)果。它了行業(yè)風(fēng)險管理技術(shù)情況

45、，包括問題的提出，問題的回答，以及受訪者遺留問題的解決。沒有列舉行業(yè)內(nèi)普遍采用的方法，也沒有提供對這些方法的評價。相反，它的是執(zhí)業(yè)標(biāo)準(zhǔn)和評價方法，以及它為什么選擇特定的方式進行。但是，在某些領(lǐng)域，甚至連一些最佳方法也并不適用。因此，批評也將在適當(dāng)情況下給出。文章最后提出了當(dāng)前未答復(fù)的，或回答比較復(fù)雜采用的現(xiàn)行做法尚不嚴(yán)密。在這里，的包括業(yè)界認(rèn)為比較難處理的、現(xiàn)行風(fēng)險分析方法中的缺點以及現(xiàn)行風(fēng)險管理程序中一些缺失的元素。2、應(yīng)該考慮什么類型的風(fēng)險商業(yè)正承擔(dān)著業(yè)務(wù)風(fēng)險。在提供金融服務(wù)的過程中，他們承擔(dān)各種金融風(fēng)險。在過去十年中，對商業(yè)在金融部門的地位的認(rèn)識已大大提高。在這段時間，商業(yè)在金融部門扮演

46、的什么樣的角色已經(jīng)眾所周知，無論是在學(xué)術(shù)文獻(xiàn)或者金融上都有體現(xiàn)。在本文中，這些參數(shù)這里既不會，也不會列舉。我只想說，市場參與者尋求這些金融機構(gòu)的服務(wù)，因為這些機構(gòu)有能力為客戶提供市場知識，交易效率和的能力。在履行這些職責(zé)時，他們一般充當(dāng)交易的主體。因此，他們用自己的資產(chǎn)負(fù)債表，以方便交易和承受與它相關(guān)的風(fēng)險?？梢钥隙ǖ氖?，這些業(yè)金融機構(gòu)進行的活動不會直接受資產(chǎn)負(fù)債表的影響。這些服務(wù)包括和活動，如:（1）及投資管理;通過“最大努力”促進私人和公共存款合同;通過第 20 條標(biāo)準(zhǔn)承保該控股公司的附屬公司（4）包裝，化，分發(fā)，以及為消費和房地產(chǎn)領(lǐng)域的提供服務(wù)。這些項目是在傳統(tǒng)的財務(wù)報表之外的，因為后者

47、依賴如今普遍接受的會計程序，而不是一個真正的經(jīng)濟資產(chǎn)負(fù)債表。然而，業(yè)所而臨的風(fēng)險，絕大多數(shù)是來自于企業(yè)的資產(chǎn)負(fù)債表。在這里，對風(fēng)險管理以及風(fēng)險管理與控制的必要程序需要集中探討。因此，在這里，須把風(fēng)險的管理程序的集中起來。3、何種風(fēng)險將被吸收?在的主要業(yè)務(wù)，即那些涉及其自身的資產(chǎn)負(fù)債表和其基本的商業(yè)自身所承擔(dān).在許多情況下，機構(gòu)將通過適當(dāng)?shù)呐c關(guān)聯(lián)，在其他情況卜，將通過定價和產(chǎn)和借款中的風(fēng)險，并不完全由商業(yè)行為的交易來消除或減輕品設(shè)計的結(jié)合把風(fēng)險轉(zhuǎn)移給其他締約方。業(yè)認(rèn)識到，一個機構(gòu)并不需要以從事經(jīng)營的方式，對自己施加不必要的風(fēng)險。同時也無需承擔(dān)風(fēng)險，它只需要把風(fēng)險有效地轉(zhuǎn)移給其他參與者。相于企業(yè)來

48、說，僅在原有的水平上管理風(fēng)險要比管理市場本身或由業(yè)主自己的投資組合產(chǎn)生的風(fēng)險來的有效的多?？傊?，它只應(yīng)該接受一部分唯一來自于服務(wù)陣列的風(fēng)險。在其他地方(奧德，1997)有人認(rèn)為，從和管理角度來看，所有金融機構(gòu)的風(fēng)險可細(xì)分為三個類型。他們是:1、通過簡單的商業(yè)慣例可消除或避免的風(fēng)險。2、可轉(zhuǎn)移給其他參與者的風(fēng)險3、在公司可控水平上積極管理的風(fēng)險活動特有的出發(fā)(尤其是該規(guī)避這些風(fēng)險的第一種做法是，從標(biāo)準(zhǔn)機構(gòu)的經(jīng)營)，采取行動，減少和消除風(fēng)險。共同的風(fēng)險規(guī)避行為在這里至少包括三種類型。第一步，通過合同和程序的標(biāo)準(zhǔn)化來防止低下的效率和不正確的財務(wù)決策。第二步，通過多元化的投資組合分散借款人的利益，從而減少投資損失帶來的影響。第三步，通過執(zhí)行機構(gòu)管理層激勵兼容合同，要求員工承擔(dān)責(zé)任。在每一種情況下，的目標(biāo)都是擺脫風(fēng)險，特別是金融服務(wù)公司沒有必要承擔(dān)的，或者只吸收了最佳數(shù)量的特定類型的風(fēng)險。當(dāng)然也存在通過風(fēng)險轉(zhuǎn)移技術(shù)就可以大大消除或降低的風(fēng)險。雖然承擔(dān)了市場上所