CSoundRiskManagement.pptVIP

Market Risk Analysis Seminar MARKET RISK ANALYSIS SEMINAR Sound Risk Management in Banks 银行稳健风险管理 Risk Management Process风险管理程序 “The formality sophistication of risk management elements may vary depending on the level of the bank’s risk and the complexity of its holdings and activities.” 风险管理的形式与复杂程度取决于银行的风险水平及其资产与经营的复杂性 Why the Emphasis? 强调的原因 Ensures the bank is meeting its objectives 确保银行实现自身目标 Provides an early warning system 建立早期预警系统 Assists in legal and regulatory compliance 有助于法律合规与监管合规 Establishes a culture of accountability and discipline 建立责任清晰、纪律严明的企业文化 Provides an independent assessment for Board and Senior Management oversight/action 建立对董事会和高级管理层监控/运作的独立评估体系 Many recent disasters are related to breakdowns in internal controls and sound risk management 最近发生的许多问题都源于内部控制和稳健风险管理薄弱 Elements of Sound Risk Management稳健风险管理的要素 Board Oversight 董事会监控 Board of directors 董事会 Establish risk tolerances and limits 确定风险容忍度和限额 Approve strategies and policies 审批策略和政策 Understand and monitor the nature of risks 了解并监测风险性质 Retain capable management and ensure resource dedication is adequate 保证管理有效，并确保资源合理分配 Ensure sophistication of market risk management is sufficient 确保市场风险管理的完备 Senior Management Oversight 高级管理层的监控 Senior management 高级管理层 Establish policies and procedures 确定政策和程序 Create systems to measure and monitor performance 建立绩效测评与监督体系 Establish clear lines of authority 确定清晰的职权 Establish internal controls 建立内控机制 Ensure independence of risk management 确保风险管理的独立性 Policies, Procedures, and Limits政策、程序及限额 Risk limits 风险限额 Must address all material risks 必须考虑所有重要的风险 This should imply that “all risks are not created equal” 即“风险的重要性不同” Consider aggregate and individual portfolios 既考虑单个资产组合，也对其整体进行考虑 Example, for “Market Risk” - 如，对于”市场风险” Earnings at risk 风险收益 “Value” at risk 风险价值 Trading versus Banking Book 交易账户与银行账户 Example, for “Credit Risk” - 如，对于”信用风险” Sector limits, concentration, geography, counterparty, product type