1、 外文翻译 原文 Commercial Bank Risk Management: An Analysis of the Process Material Source:Journal of Financial Services Research Author: Anthony. M. Santomeor The past decade has seen dramatic losses in the banking industry. Firms that had been performing well suddenly announced large losses due to credi
2、t exposures that turned sour, interest rate positions taken, or derivative exposures that may or may not have been assumed to hedge balance sheet risk. In response to this, commercial banks have almost universally embarked upon an upgrading of their risk management and control systems. Through the p
3、ast academic year, on-site visits were conducted to review and evaluate the risk management systems and the process of risk evaluation that is in place. In the banking sector, system evaluation was conducted covering many of North Americas super regionals and quasi-money-center commercial banks, as
4、well as a number of major investment banking firms. These results were then presented to a much wider array of banking firms for reaction and verification. 1. What type of risk is being considered? Commercial banks are in the risk business. In the process of providing financial services, they assume
5、 various kinds of financial risks. Over the last decade our understanding of the place of commercial banks within the financial sector has improved substantially. Over this time, much has been written on the role of commercial banks in the financial sector, both in the academic literature and in the
6、 financial press. These arguments will be neither reviewed nor enumerated here. Suffice it to say that market participants seek the services of these financial institutions because of their ability to provide market knowledge, transaction efficiency and funding capability. In performing these roles,
7、 they generally act as a principal in the transaction. As such, they use their own balance sheet to facilitate the transaction and to absorb the risks associated with it. To be sure, there are activities performed by banking firms which do not have direct balance sheet implications. These services i
8、nclude agency and advisory activities such as(1) trust and investment management; (2) private and public placements through best efforts or facilitating contracts; (3) standard underwriting through Section 20 Subsidiaries of the holding company; or (4) the packaging, securitizing, distributing, and
9、servicing of loans in the areas of consumer and real estate debt primarily. These items are absent from the traditional financial statement because the latter rely on generally accepted accounting procedures rather than a true economic balance sheet. Nonetheless， the overwhelming majority of the ris
10、ks facing the banking firm are on-balance-sheet businesses. It is in this area that the discussion of risk management and of the necessary procedures for risk management and control has centered. Accordingly, it is here that our review of risk management procedures will concentrate. 2. What kinds of
11、 risks are being absorbed? The risks contained in the banks principal activities, i.e., those involving its own balance sheet and its basic business of lending and borrowing, are not all borne by the bank itself. In many instances the institution will eliminate or mitigate the financial risk associa
12、ted with a transaction by proper business practices; in others, it will shift the risk to other parties through a combination of pricing and product design. The banking industry recognizes that an institution need not engage in business in a manner that unnecessarily imposes risk upon it; nor should
13、 it absorb risk that can be efficiently transferred to other participants. Rather, it should only manage risks at the firm level that are more efficiently managed there than by the market itself or by their owners in their own portfolios. In short, it should accept only those risks that are uniquely
14、 a part of the banks array of services. Elsewhere (Oldfield and Santomero, 1997) it has been argued that risks facing all financial institutions can be segmented into three separable types, from management perspective. These are: (1) risks that can be eliminated or avoided by simple business practic
15、es; (2) risks that can be transferred to other participants; (3) risks that must be actively managed at the firm level 3.Bank risk management systems The banking industry has long viewed the problem of risk management as the need to control four of the above risks which make up most, if not all, of
16、their risk exposure, viz., credit, interest rate, foreign exchange and liquidity risk. While they recognize counterparty and legal risks, they view them as less central to their concerns. Where counterparty risk is significant, it is evaluated using standard credit risk procedures, and often within
17、the credit department itself. Likewise, most bankers would view legal risks as arising from their credit decisions or, more likely, proper process not employed in financial contracting. Accordingly, the study of bank risk management processes is essentially an investigation of how they manage these
18、four risks. In each case, the procedure outlined above is adapted to the risk considered so as to standardize, measure, constrain, and manage each of these risks. To illustrate how this is achieved, this review of firm-level risk management begins with a discussion of risk management controls in eac
19、h area. The more difficult issue of summing over these risks and adding still other-more amorphous-ones such as legal, regulatory or reputation risk, will be left to the end. 4.Credit risk management procedures As noted above, each bank must apply a consistent evaluation and rating scheme to all its
20、 investment opportunities in order for credit decisions to be made in a consistent manner and for the resultant aggregate reporting of credit risk exposure to be meaningful. To facilitate this, a substantial degree of standardization of process and documentation is required. This has lead to standar
21、dized ratings across borrowers and a credit portfolio report that presents meaningful information on the overall quality of the credit portfolio. In table 1, a credit-rating procedure is presented that is typical of those employed within the commercial banking industry. At some institutions, a dual
22、system is in place where both the borrower and the credit facility are rated. In the latter, attention centers on collateral and covenants, while in the former, the general creditworthiness of the borrower is measured. Some banks prefer such a dual system, while others argue that it obscures the iss
23、ue of recovery to separate the facility from the borrower in such a manner. 5.Areas where further work will improve the methodology The banking industry is clearly evolving to a higher level of risk management techniques and approaches than have been in place in the past. Before the areas of potenti
24、al value added are enumerated, however, it is worthwhile to reiterate an earlier point. The risk-management techniques reviewed here are not the average, but the techniques used by firms at the higher end of the market. The risk-management approaches at smaller institutions, as well as larger but re
25、latively less sophisticated ones, are less precise and significantly less analytic. In some cases they would need substantial upgrading to reach the level of those reported here. Accordingly, our review should be viewed as a glimpse at best practice, not average practices. Nonetheless, the technique
26、s employed by those that define the industry standard could use some improvement. By category, recommended areas where additional analytic work would be desirable are listed below. A. Credit risk The evaluation of credit rating continues to be an imprecise process. Over time, this approach needs to
27、be standardized across institutions and across borrowers. In addition, its rating procedures need to be made compatible with rating systems elsewhere in the capital market. Credit losses, currently vaguely related to credit rating, need to be closely tracked. As in the bond market, credit pricing, c
28、redit rating and expected loss ought to be demonstrably closer. However, the industry currently does not have a sufficiently broad database on which to perform the migration analysis that has been studied in the bond market. The issue of optimal credit portfolio structure warrants further study. In
29、short, analysis is needed to evaluate the diversification gains associated with careful portfolio design. At this time, banks appear to be too concentrated in idiosyncratic areas, and not sufficiently managing their credit concentrations by either industrial or geographic areas. B. Interest rate ris
30、k While simulation studies have substantially improved upon gap management, the use of book value accounting measures and cash-flow losses continues to be problematic.Movements to improve this methodology will require increased emphasis on market-based accounting. However, such a reporting mechanism
31、 must be employed on both sides of the balance sheet, not just the asset portfolio. The simulations also need to incorporate the advances in dynamic hedging that are used in complex fixed income pricing models. As it stands, these simulations tend to be rather simplistic, and scenario testing rather
32、 limited. C. Foreign exchange risk The VAR approach to market risk is a superior tool. Yet much of the banking industry continues to use rather ad hoc approaches in setting foreign exchange and other trading limits. This approach can and should be used to a greater degree than it is currently. D. Li
33、quidity risk Crisis models need to be better linked to operational details. In addition, the usefulness of such exercises is limited by the realism of the environment considered. If liquidity risk is to be managed, the price of illiquidity must be defined and built into illiquid positions. While thi
34、s logic has been adopted by some institutions, this pricing of liquidity is not commonplace. E. Other risks As banks move more off-balance-sheet, the implied risk of these activities must be better integrated into overall risk management and strategic decision making. Currently, they are ignored whe
35、n bank risk management is considered. F. Aggregation of risks There has been much discussion of the RAROC and VAR methodologies as an approach to capture total risk management. Yet, frequently, the decisions to accept risk and the pricing of the risky position are separated from risk analysis. If ag
36、gregate risk is to be controlled, these parts of the process need to be integrated better within the banking firm. Both aggregate risk methodologies presume that the time dimensions of all risks can be viewed as equivalent. A trading risk is similar to a credit risk, for example. This appears proble
37、matic when market prices are not readily available for some assets and the time dimensions of different risks are dissimilar. Yet, thus far no one firm has tried to address this issue adequately. Finally, operating such a complex management system requires a significant knowledge of the risks consid
38、ered and the approaches used to measure them. It is inconceivable that Boards of Directors and even most senior managers have the level of expertise necessary to operate the evolving system. Yet government regulators seem to have no idea of the level of complexity, and attempt to increase accountabi
39、lity even as firm level risk management systems increase in sophistication. 译文 商业银行风险管理 分析的过程 资料来源 ： 金融服务合作期刊 作者： 安东尼 .圣多马罗 在过去十年中 ， 银行业有大量损失 。 表现良好 的 公司由于信用危机突然宣布破产，利率 市场动荡 不安 ， 金融衍生工具暴露，这些风险 可能已经 对冲 资产负债表 。 针对这一点 ， 商业银行已经 开始 普遍地着手升级他们的风险管理和控制系统。 过去几年 ， 以 现场访问 的方式 来进行审核并评估风险管理 中的 系统风险 以被适当的应用 。 在银行
40、业，系统评估已经引导涵盖了许多北美大部分地区以及准货币中心的商业银行和一批重大的投资金融机构。这些结果都提出了一个更广泛 的数组为金融机构反应和核实。 1.什么类型的风险是要考虑的 ？ 商业银行风险业务。在这个过程中 ， 提供金融服务 ， 他们承担各种各 样的金融风险。在过去的十年里商业银行在财务方面已经有了很大改善。 现在 ， 无论学术文学与金融出版社已经对商业银行金融 风险写了很多 卓有成见 的文章。他们的观点在这里既不是回溯也不是列举。 我只想说 ， 市场参与者之所以在这些金融机构的寻找服务 ，是因为它们可以提供市场知识、交易效率和资金能力。在执行这些角色时 ，他们通常 是交易中的委托人
41、 。 这样 ， 他们用他们自己的资产负债表 ， 便于交易和吸收相关的风险。 当然 ， 也有金融机构在做表外业务。这些服务包括机构和咨询活动 ， 如 （ 1）信托投资管理 ； （ 2） 私人和公共安置通过“尽了最大努力”或促进合同 ； （ 3）通过子公司的标准承销 ； （ 4） 包装、 证券化 、销售、维修贷款在地区的消费和房地产债务为主。这些东西不计入传统财务报表 ， 因为后者依靠公认会计程序而不是真正的经济资产负债表。然而 ， 绝大多数金融公司面对的是风险 表内业务 。正是在这方面讨论的风险管理及风险管理和控制中心必要的手续。因此 ，在这里我们集中精力回顾风险管理程序。 2.什么类型的风险是
42、要注意的 ？ 银行的主要风险活动 ， 即那些涉及自己 的资产负债表及其基本业务的拆借。在许多情况下 ， 机构将通过适当的商业行为消除或减轻财务风险相关的交易 ；另一方面 ， 它 将 结合同行的价格和产品设计 转移风险 。 银行业承认一个机构不需要 承担 收不必要的风险 ， 也不应当吸收的风险 ，所以可以有效地 将风险 转移 给 其他参与者。 相反 ， 它应该只在该公司管理风险水平进行有效管理 ， 更有市场本身 ， 而不是由业主或者是由他们自己的投资组合。简而言之 ， 它应该只接受这些风险的一部分所特有的银行的服务。风险面对一切金融机构可以划分为三个可分离的品种 ， 它们是 ： （ 1） 风险可
43、以省略 ， 或避免简单的商业行为 （ 2） 风险可以转移到其他参与者 （ 3） 风险必须积极管理的公司的水平 3.银行的风险管理体系 银行业一直认为风险管理要从以下四个方面来看 ， 即信用、利率、外汇、流动性风险。除此之外也应该关注同行竞争和法律风险。交易对手风险意义重大 ， 该产品被评为使用标准的信用风险程序 ， 经常在信用部门本身。同样地 ，大部分的银行家将法律风险是由于他们的信贷决策 ， 或更有可能使用过程中的不适当的金融收缩。 因此 ， 研究银行风险管理过程实质上就是调查他们如何处理好这四个风险。任何情况 ， 都要吧把上面提到的四种风险考虑进去，以此来规范、测量、约束和管理风险。对公司
44、层面的风险管理，是要把风险控制在一个范围内。最后还要提到法律风险、监管和名誉风险。 4.信用风险管理程序 如上所述 ， 各银行必须运用一种一致的评价和评级方案给一切的投资机会作为信贷决策 ， 这样来控制信用风险。为了推动这个 ， 也会有一定标准化的过程和文件要求。这导致标准化的等级 ， 在借款人信用投资组合报告中 ，展示了有意义的信息来看投资组合的整体素质。 研究表明 ， 商业银行很早就产生了信用评级制度。在某些机构 ，双系统都在地方借款人及信用设备评价。 在 后者中 ，注意力集中在担保与承诺在前 ， 一般 予借款人资信测量。 一些银行更喜欢这样的双系统中 ， 而另一些人则争辩说 ， 以这样的
45、方式 但是也有反对者认为这样遮盖了借款人和设备分离的恢复问题 。 5.进一步研究来改进方法 银行业显然已经比过去进化到更高一级的风险管理技术与方法。在计算一个地区附加的潜在价值之前，重申一个更早的时间点是必要的。这里所说的风险管理技术评估不是均值，但是企业应用的那些技术是在比市场尽头更高的水平。小型机构的风险管理和那些大型机构的是一样的，但是他们相对经验比较少、精准度比较低、分析力也比较低。有时候 ，他们需要大量积累来达到报告水平，因此，我们的检查应该被视为一个实践中的一种，不是平均的联系。 尽管如此，使用的技术被认为是行业的标准来加以改进，按类别，建议以的分析是很有必要的 。 （ 1）信用风
46、险 信用评级的评价仍然是一个不精确的过程。随着时间的推移 ，这种方法需要在机构和在借款人方面标准化。 此外 ， 其信用评级程序需要与资本市场其他地方的评分系统协调一致。 信用损失 ， 目前的信用评级还有点含糊，需要密切跟踪。在债券市场、信用定价，将信用评级和预期损失紧密联系起来。然而 ， 和债券市场相比，银行业目前没有足够广泛的数据 库进行分析。 对信用投资组合优化问题作进一步的研究。简而言之 ， 应谨慎分析评估相关的投资组合多样化收益。在这个时候 ， 银行在特殊的地区显得过于集中 ， 未充分管理信用过度集中的工业和其他地理位置好的地区 . （ 2） 利率风险 在模拟研究虽然极大地改进缺口管理
47、，但是使用账面价值和财务损失会计核算办法仍然是有问题的。该方法提高运转需要强调市价基础会计。然而 ， 这样的一个报告机制不仅仅要运用资产组合，而必须用于双方的资产负债表。 模拟结果也需要使用复杂的固定收入定价模型。以现状来说，这些模拟趋向于简单化 ， 基于场景的测试方法也极 为有限。 （ 3） 外汇风险 市场风险的 VAR 方法是一个非常优秀的工具。但是大部分银行业而继续使用特别的方法设置外汇和其他交易的限制。这个方法可以而且比目前更深入的程度来使用。 （ 4） 流动性风险 危机模型需要更好与操作细节联系在一起。此外 ， 此方法的作用是有限的 ，还要考虑到现实环境。 如果流动性风险可被管理，对
48、非流动性的定价应该建立在非流动性头寸的基础上。当这个逻辑机构所采用的定价的流动性 ， 不是司空见惯的事。 （ 5） 其他风险 由于银行有很多表外业务 ， 这些活动隐含的更多表外业务风险的必须更好的融入全面风险管理和战略 决策。目前 ， 他们是相违的银行风险管理是考虑。 （ 6） 风险聚集 已经有很多 RAROC 和 VAR 方式进行总的风险管理。 然而 ， 通常情况下 ，接受风险和风险定价在风险分析上被分离开来。 如果总风险能够被控制 ， 这些步骤在银行也需要更互相协调。 总风险的方法认为时间维度的一切险可以看作是相等的。一个交易风险是类似于信用风险，例如，市场的价格在不同的资产不同的时间的风险也是不一样的。然而 ， 到目前为止没有一家银行解决这一问题的适用性。 最后 ， 操作这样一个复杂的系统需要在风险管理和风险测量上有丰富的知识。令人难以想象的是董事会和甚 至大多数高级管理人员有水平的专业知识的来管理所需的系统。现在 ， 政府监管机构似乎不知道复杂性 ， 并试图加强类似企业层次的风险管理体系这样的责任来增加企业层次的风险管理体的复杂性。
