发言人：Ken Waller, 澳洲联邦银行高级顾问 ASIA PACIFIC DEVELOPMENT CENTRE WORKSHOP ON RISK MANAGEMENT IN COMMCERCIAL BANKS SHANGHAI, 20/21ST DECEMBER 2005 Presentation by Ken Waller Group Economic Advisor Commonwealth Bank of Australia Session II – Basel II-based Risk Management: Requirements and Challenges for Commercial Banks 基于新巴塞尔协议II的风险管理问题： 对商业银行的要求及挑战 发言人：Ken Waller, 澳洲联邦银行高级顾问

Agenda 综述 1. Why risk management is critical to good banking 风险管理的重要性 2. Factors which impact on risk 风险因素 Basel II – risk management supervision 巴塞尔协议II – 对风险管理的监管 Requirements on commercial banks 对商业银行的要求 Challenges in implementing Basel II 实施巴塞尔协议II 所面临的挑战 6. Conclusions 结论

1.Why risk management is critical to good banking 风险管理的重要性 Obligation on banks to protect depositor savings – fundamental - often required under law 银行有保护客户存款的基本法律义务 Shareholders expect growth in earnings from sound bank management 健全的银行管理可以增加股东的回报 Vital for confidence in banking system; for sound economic performance and improving living standards of community 提升对银行系统的信任度，促进经济良好发展以及改善人民生活水平 Ensures best use of capital in banks 确保银行资金利用最优化

2. Factors which impact on risk 风险因素 International and domestic economic conditions 国内外经济形势 - Asian financial crisis of 1997/98 caused “contagion” across the region 97/98年亚洲金融危机引起区域连锁反应 - global imbalances – threaten stability 全球发展不平衡危及社会稳定 - energy price rises 能源价格上涨 - terrorism 恐怖主义 - avian flu 禽流感

2.2 Factors which impact on risk (continued) 风险因素 （续） Quality of macroeconomic management of an economy 经济宏观调控的质量 - budgets – balance over the cycle 预算-经济周期内保持平衡 - monetary policy – sustained low inflation 货币政策-持续的低通货膨胀 - exchange rates - flexible 弹性汇率制度 - capital account – liberalise 资本项目自由化 - taxation policies – simple, transparent, equitable 税收政策– 简洁、透明、公正

2.3 Factors which impact on risk (continued) 风险因素 （续） Quality of prudential supervision of financial system – 谨慎监管金融系统的质量– - helps determine the “credit” culture 有助于营造“信用”文化氛围 - value of international regulatory standards and practices 国际监管标准与实践的价值 - quality of “governance” in regulatory agencies and in ministries 监管部门的“监管”效果 - sound legal supervisory framework 良好的法律监督机制

2.4 Factors which impact on risk (continued) 风险因素 （续） Changing technology in finance – often costly and complex to manage 金融领域新科技的引入-成本高，难掌握 Product innovation – new products – complex 产品创新-新产品-复杂 Changing ownership structures – mergers/acquisitions 改变所有者结构-兼并/收购 Financial market integration – challenge for supervisors/cross-border harmonisation 金融市场的整合-给监管机构/各国之间的制度协调带来挑战

3. Basel II – Risk management supervision 巴塞尔协议II-对风险管理的监管 Supervision of risk management within framework – three pillars 风险管理三大支柱 Pillar 1 – minimum capital requirement 支柱1-最低资本金要求 - three choices for managing credit risk 识别信贷风险的三种方法 - standardised 标准法 - foundation internal ratings (FIRB) 基础内部评级 - advanced internal ratings (AIRB) 高级内部评级 - market risk element is unchanged 市场风险要素保持不变 - operational risk – new element – to cover loss resulting from inadequate or failed processes, people and systems and external events 操作风险-新要素-指由不完善的或失败的内部程序、人员及系统或外部事件造成损失的风险

3.2 Basel II – risk management supervision (continued) 巴塞尔协议II-对风险管理的监管（续） Pillar 2 – Supervisory review of capital adequacy 支柱2 –资本充足性的监管约束 - based on a series of guiding principles banks required to assess their capital adequacy provisions relative to risk 以银行用以评估资本充足状况的一系列指导原则为基础 - supervisors review banks’ processes - involves increased dialogue with banks 监管机构考核银行的流程-加强与银行沟通

3.3 Basel II – risk management supervision (continued) 巴塞尔协议II-对风险管理的监管 Pillar 3 – market discipline 支柱3 –市场约束 - more disclosure required of banks 加大银行信息披露 - provides for greater understanding by market participants on a bank’s risk profile and capitalisation 为市场参与者提供更多银行风险状况、资本结构及资本充 足状况的信息 Markets should be come more discerning about a bank’s quality – impact on credit rating – and cost of raising capital 市场应该增强对银行的鉴别能力-信用评级的影响-筹集资本的成本

3.4 Basel II – risk management supervision (continued) 巴塞尔协议II-对风险管理的监管 Aligns regulatory capital with banks’ assessment of economic capital 衡量风险时，采取将监管资本与银行对经济资本的评估相结合的方法 Principles based approach to supervision rather than a rules-based approach 以原则为导向而非以准则为导向 Role of bank boards enhanced and critical to process of risk management 加强银行董事会的作用，特别是对风险管理的关键作用

4. Requirements on commercial banks 对商业银行的要求 Major changes to banks’ governance arrangements 银行治理的主要变化 - regular submissions to boards advising accreditation processes 定期向董事会提交评审流程 - implementation requires rigorous work on improving credit risk management and knowledge and management of operational risk 加大信用风险及操作风险管理力度，强化风险管 理意识

4.2 Requirements on commercial banks 对商业银行的要求 Dealing with credit and market risk 应对信用及市场风险 - upgrade credit risk analytics and reporting 提升信用风险的分析和报告 - upgrade collateral management systems 提升抵押控制系统 - credit risk factors/risk model validation 信用风险因素/信用模型的确定 - improve analysis and focus on interest rate in the banking book 改善银行账目利率分析

4.3 Requirements on commercial banks 对商业银行的要求 Operational risk 操作风险 - develop/review risk indicators and scenario analysis 建立/评估风险指标和情景分析 - refine capital modelling 改善资本模型 - refine IT solutions 改善IT解决方案 - business and strategic risk analysis – provide for business continuity – comply with “use and experience” test 业务和战略风险分析——业务持续发展——遵从 “应用测试”

5. Challenges in implementing Basel II 实施巴塞尔协议II 所面临的挑战 Based on a minimum capital requirement – which has to be met, including for operational risk 必须达到包括操作风险在内的最低资本金要求 Requires an integrated approach to risk management and concerted effort to implement by boards and management 需要董事会和管理层的共同努力，并采取统一的风险管理 　的方法 May well require a major change in culture 很大程度上要求环境的转变 Processes require strong and effective governance processes in banks (and supervisory agencies) 要求银行（和监管部门）实施完善和有效的治理流程

5.2 Challenges in implementing Basel II 实施巴塞尔协议II 所面临的挑战 “Use and experience test” – supervisors require banks to demonstrate they can estimate regulatory capital requirements and can manage risk “应用测试”-监管部门要求银行证明有能力预估监管资本要求并能够控制风险 For most banks, upgrade of data and management processes for credit and operational risk required 对于大多数银行而言，应提升信息系统，并改善信用风险与操作风险的管理流程 Stringent requirements on boards and management (requiring detailed education and training programs) 严格要求董事会及管理层(要求详细的教育和培训计划)

5.3 Challenges in implementing Basel II 实施巴塞尔协议II 所面临的挑战 Important for banks to determine whether they seek the standardised or IRB approach – the latter can be costly in terms of capital and human resources for smaller banks 关键在于银行选择标准法还是基于内部评级法 –后者对于中小银行而言对资本和人力投入的要求更高 “Cross-border” implementation issues for internationally active banks and for supervisors in home and host jurisdictions yet to be resolved 对国际活跃银行及国内外监管机构实施跨国界管理中仍存在一些问题

6. Conclusions 结论 Benefits through deeper appreciation of risk and its critical importance to banking 深化风险管理的益处及其对于银行的重要性 Domestic and global economic factors highly relevant 国内国外经济因素高度相关 Basel II requires all banks to take an integrated approach to risk – complex and for smaller banks this may be expensive 巴塞尔协议II 要求所有银行采取协调一致的风险管理方法-这对于中小银行来说成本较高 Important to decide on standardised or advanced approach 标准法或高级内部评级法的选择非常重要 Much deeper coordination with supervisors; extremely valuable for financial stability. 加强与监管者的沟通与协调; 对金融稳定极为重要