商业银行风险管理外文及翻译

外文文献翻译

Commercial Bank Risk Management

: An Analysis of the Process

外文文献：

Commercial Bank Risk Management: An Analysis of the Process Abstract

Throughout the past year, on-site visits to financial service firms were conducted to review and evaluate their financial risk management systems. The commercial banking analysis covered a number of North American super-regionals and quasi±money-center institutions as well as several firms outside the U.S. The information obtained covered both the philosophy and practice of financial risk management. This article outlines the results of this investigation. It reports the state of risk management techniques in the industry. It reports the standard of practice and evaluates how and why it is conducted in the particular way chosen. In addition, critiques are offered where appropriate. We discuss the problems which the industry finds most difficult to address, shortcomings of the current methodology used to analyze risk, and the elements that are missing in the current procedures of risk management.

1. Introduction

The past decade has seen dramatic losses in the banking industry. Firms that had been performing well suddenly announced large losses due to credit 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.

Coincidental to this activity, and in part because of our recognition of the industry's vulnerability to financial risk, the Wharton Financial Institutions Center, with the support of the Sloan Foundation, has been involved in an analysis of financial risk management processes in the financial sector. Through the past 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 America's

super-regionals and quasi±money-center commercial banks, as 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. The purpose of the present article is to outline the findings of this investigation. It reports the state of risk management techniques in the industry—questions asked, questions answered, and questions left unaddressed by respondents. This report can not recite a litany of the approaches used within the industry, nor can it offer an evaluation of each and every approach. Rather, it reports the standard of practice and evaluates how and why it is conducted in the particular way chosen. But, even the best practice employed within the industry is not good enough in some areas. Accordingly, critiques also will be offered where appropriate. The article concludes with a list of questions that are currently unanswered, or answered imprecisely in the current practice employed by this group of relatively sophisticated banks. Here, we discuss the problems which the industry finds most difficult to address, shortcomings of the current methodology used to analyze risk, and the elements that are missing in the current procedures of risk management and risk control.

2. What type of risk is being considered?

Commercial banks are in the risk business. In the process of providing financial services, they assume 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 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, 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 include agency and advisory

activities such as

(1) trust and investment management;

(2) private and public placements through ``bestefforts'' or facilitating contracts;

(3) standard underwriting through Section 20 Subsidiaries of the holding company;

(4) the packaging, securitizing, distributing, and 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 risks 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.

3. What kinds of risks are being absorbed?

The risks contained in the bank's 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 associated 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 amanner that unnecessarily imposes risk upon it; nor should 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 a part of the bank's 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 a management perspective. These are:

1. risks that can be eliminated or avoided by simple business practices;

2. risks that can be transferred to other participants;

3. risks that must be actively managed at the firm level.

In the first of these cases, the practice of risk avoidance involves actions to reduce the chances of idiosyncratic losses from standard banking activity by eliminating risks that are superˉuous to the institution's business purpose. Common risk-avoidance practices here include at least three types of actions. The standardization of process, contracts, and procedures to prevent inefficient or incorrect financial decisions is the first of these. The construction of portfolios that benefit from diversification across borrowers and that reduce the effects of any one loss experience is another. The implementation of incentivecompatible contracts with the institution's management to require that employees be held accountable is the third. In each case, the goal is to rid the firm of risks that are not essential to the financial service provided, or to absorb only an optimal quantity of a particular kind of risk.

There are also some risks that can be eliminated, or at least substantially reduced through the technique of risk transfer. Markets exist for many of the risks borne by the banking firm. Interest rate risk can be transferred by interest rate products such as swaps or other derivatives. Borrowing terms can be altered to effect a change in their duration.

Finally, the bank can buy or sell financial claims to diversify or concentrate the risks that result from servicing its client base. To the extent that the financial risks of the assets created by the firm are understood by the market, these assets can be sold at their fair value. Unless the institution has a comparative advantage in managing the attendant risk and/or a desire for the embedded risk which they contain, there is no reason for the bank to absorb such risks, rather than transfer them.

However, there are two classes of assets or activities where the risk inherent in the activity must and should be absorbed at the bank level. In these cases, good reasons exist for using firm resources to manage bank level risk. The first of these includes financial assets or activities where the nature of the embedded risk may be complex and difficult to communicate to third parties. This is the case when the bank holds complex and proprietary assets that have thin, if not nonexistent, secondary

markets. Communication in such cases may be more difficult or expensive than hedging the underlying risk. Moreover, revealing information about the customer may give competitors an undue advantage. The second case includes proprietary positions that are accepted because of their risks, and their expected return. Here, risk positions that are central to the bank's business purpose are absorbed because they are the raison of the firm. Credit risk inherent in the lending activity is a clear case in point, as is market risk for the trading desk of banks active in certain markets. In all such circumstances, risk is absorbed and needs to be monitored and managed efficiently by the institution. Only then will the firm systematically achieve its financial performance goal.

4. How are these risks managed?

In light of the above, what are the necessary procedures that must be in place in order to carry out adequate risk management? In essence, what techniques are employed to both limit and manage the different types of risk, and how are they implemented in each area of risk control? It is to these questions that we now turn. After reviewing the procedures employed by leading firms, an approach emerges from an examination of large-scale risk management systems. The management of the banking firm relies on a sequence of steps to implement a risk management system. These can be seen as containing the following four parts:

1. standards and reports,

2. position limits or rules,

3. investment guidelines or strategies, and

4. incentive contracts and compensation.

In general, these tools are established to measure exposure, define procedures to manage these exposures, limit individual positions to acceptable levels, and encourage decision makers to manage risk in a manner that is consistent with the firm's goals and objectives. To see how each of these four parts of basic risk-management techniques achieves these ends, we elaborate on each part of the process below. In section 4 we illustrate how these techniques are applied to manage each of the specific risks facing the banking community.

1.Standards and reports.

The first of these risk-management techniques involves two different conceptual activities, i.e., standard setting and financial reporting. They are listed together because they are the sine qua non of any risk system. Underwriting standards, risk categorizations, and standards of review are all traditional tools of risk management and control. Consistent evaluation and rating of exposures of various types are essential to an understanding of the risks in the portfolio, and the extent to which these risks must be mitigated or absorbed.

The standardization of financial reporting is the next ingredient. Obviously, outside audits, regulatory reports, and rating agency evaluations are essential for investors to gauge asset quality and firm-level risk. These reports have long been standardized, for better or worse. However, the need here goes beyond public reports and audited statements to the need for management information on asset quality and risk posture. Such internal reports need similar standardization and much more frequent reporting intervals, with daily or weekly reports substituting for the quarterly GAAP periodicity.

2.Position limits and rules.

A second technique for internal control of active management is the use of position limits, and/or minimum standards for participation. In terms of the latter, the domain of risk taking is restricted to only those assets or counterparties that pass some prespecified quality standard. Then, even for those investments that are eligible, limits are imposed to cover exposures to counterparties, credits, and overall position concentrations relative to various types of risks. While such limits are costly to establish and administer, their imposition restricts the risk that can be assumed by anyone individual, and therefore by the organization as a whole. In general, each person who can commit capital will have a well-defined limit. This applies to traders, lenders,and portfolio managers. Summary reports show limits as well as current exposure by business unit on a periodic basis. In large organizations with thousands of positions maintained, accurate and timely reporting is difficult, but even more essential.

3.Investment guidelines and strategies.

Investment guidelines and recommended positions for the immediate future are the third technique commonly in use. Here, strategies are outlined in terms of concentrations and commitments to particular aras of the market, the extent of desired asset-liability mismatching or exposure, and the need to hedge against systematic risk of a particular type.

4.Incentives schemes.

To the extent that management can enter incentive compatible contracts with line managers and make compensation related to the risks borne by these individuals, then the need for elaborate and costly controls is lessened. However, such incentive contracts require accurate position valuation and proper internal control systems.

中文译文：

商业银行的风险管理：一个分析的过程摘要

在过去一年里,我们通过现场参观金融服务公司来进行审查和评估其金融风险管理系统。商业银行的分析涵盖了大量的北美超地区性和准货币中心机构,以及一些美国以外的公司获得的信息包括了一些理念和财务风险管理的做法。本文概述了本次调查的结果,并报告了该行业风险管理技术的状况。它报告了行业的执业标准和评价方式，以及为什么特定选择的方式进行。此外，本文提出了一些适当的批评。我们讨论这些问题，包括业界认为最难处理的、现行风险分析方法中的缺点以及现行风险管理程序中一些缺失的元素。

1、介绍

在过去十年中，银行业经历了一场惨痛的损失。由于信贷风险承担情况变差、利率变动和一些金融衍生工具理论上可能发生的对冲资产负债表风险，一些表现良好的公司突然宣布了自己的巨额亏损。在针对这种情况，商业银行己开始了一项对风险管理和控制系统的升级。

在某种程度上来说，这次活动是出于我们对行业财务风险弱点的认识。在斯隆基金会的支持下，沃顿商学院金融机构中心，一直在金融部门中参与对金融风险管理的分析。通过过去的一年的时间，实地考察的审查方法贯穿于评估风险管理制度和风险评估所定的过程中。在银行部门，系统进行了评估，包括很多北美超地区性和本土货币中心的商业银行，以及大量的大型投资银行公司。这些结果被提交给银行公司，继续参与更广泛的反应和验证。

本文的目的是概述本次调查的结果。它报告了行业风险管理技术情况，包括问题的提出，问题的回答，以及受访者遗留问题的解决。此报告没有列举行业内普遍采用的方法，也没有提供对这些方法的评价。相反，它报告的是执业标准和评价方法，以及它为什么选择特定的方式进行。但是，在某些领域，甚至连一些最佳方法也并不适用。因此，批评也将在适当情况下给出。文章最后提出了当前未答复的，或回答比较复杂、银行采用的现行做法尚不严密的问题清单。在这里，

我们讨论的包括业界认为比较难处理的、现行风险分析方法中的缺点以及现行风险管理程序中一些缺失的元素。

2、我们应该考虑什么类型的风险

商业银行正承担着业务风险。在提供金融服务的过程中，他们承担各种金融风险。在过去十年中，我们对商业银行在金融部门的地位的认识已大大提高。在这段时间，商业银行在金融部门扮演的什么样的角色已经众所周知，无论是在学术文献或者金融新闻上都有体现。在本文中，这些参数这里既不会审查，也不会列举。我只想说，市场参与者寻求这些金融机构的服务，因为这些机构有能力为客户提供市场知识，交易效率和资金的能力。在履行这些职责时，他们一般充当交易的主体。因此，他们用自己的资产负债表，以方便交易和承受与它相关的风险。

可以肯定的是，这些银行业金融机构进行的活动不会直接受资产负债表的影响。这些服务包括代理和咨询活动，如:

（1）信托及投资管理;

（2）通过“最大努力”促进私人和公共存款合同;

（3）通过第20条标准承保该控股公司的附属公司

（4）包装，证券化，分发，以及为消费和房地产领域的贷款债务提供服务。

这些项目是在传统的财务报表之外的，因为后者依赖丁飞如今普遍接受的会计程序，而不是一个真正的经济资产负债表。然而，银行业所而临的风险，绝大多数是来自于企业的资产负债表。在这里，我们对风险管理以及风险管理与控制的必要程序需要集中探讨。因此，在这里，我们必须把风险的管理程序的审查集中起来。

3、何种风险将被吸收?

在银行的主要业务，即那些涉及其自身的资产负债表和其基本的商业贷款和借款中的风险，并不完全由银行自身所承担.在许多情况下，机构将通过适当的商业行为的交易来消除或减轻金融风险与关联，在其他情况卜，将通过定价和产品设计的结合把风险转移给其他缔约方。

银行业认识到，一个机构并不需要以从事经营的方式，对自己施加不必要的风险。同时，银行也无需承担风险，它只需要把风险有效地转移给其他参与者。

相反，对于企业来说，仅在原有的水平上管理风险要比管理市场本身或由业主自己的投资组合产生的风险来的有效的多。总之，它只应该接受一部分唯一来自于银行服务阵列的风险。在其他地方(奥德菲尔德和圣多马罗，1997)有人认为，从管理角度来看，所有金融机构面临的风险可细分为三个类型。他们是:

1、通过简单的商业惯例可消除或避免的风险。

2、可转移给其他参与者的风险

3、在公司可控水平上积极管理的风险

规避这些风险的第一种做法是，从标准银行活动特有的宗旨出发(尤其是该机构的经营宗旨)，采取行动，减少和消除风险。共同的风险规避行为在这里至少包括三种类型。第一步，通过合同和程序的标准化来防止低下的效率和不正确的财务决策。第二步，通过多元化的投资组合分散借款人的利益，从而减少投资损失带来的影响。第三步，通过执行机构管理层激励兼容合同，要求员工承担责任。在每一种情况下，我们的目标都是摆脱风险，特别是金融服务公司没有必要承担的，或者只吸收了最佳数量的特定类型的风险。

当然也存在通过风险转移技术就可以大大消除或降低的风险。虽然银行承担了市场上所存在公司的大部分风险，不过利率风险是可以转让的，如掉期或其他衍生工具利率产品;借款条件也可以针对影响持续时间的变化而进行修改。

最后，银行可以从服务客户群的过程中，购买或出售金融债权分散或集中的风险。从某种程度上来说，这些资产的财务风险都是公司在市场理解的基础上产生的。这些资产能以公允价值出售。除非该机构已在管理风险上有比较优势或者愿意接受嵌入式风险，我们没有理由为银行吸收这些风险，而不是转化这些风险。

然而，有两类固有的风险资产或活动应被银行吸收。在这种情况下，使用企业资源来管理银行风险的水平是一种良好的方式。其中第一个内容，包括金融资产和金融活动。这种嵌入性质的风险传达给第三方比较复杂和困难。这里的意思就是，是当银行持有的复杂和专有资产数量下降时，这种风险转移起来比较困难。当然通过二级市场，我们还是可以转移风险。但是在这种情况下，传递风险可能会比对冲这种潜在风险更加困难和昂贵。此外，泄露客户信息这种不正当的竞争手段能给自己带来好处。第二个内容包括自营他们接受的头寸风险和预期回报。在这里，吸收风险头寸是银行极为重要的经营贷款活动所固有的信贷风险就是一

个明显的例子，它是银行在市场交易时必然活跃的风险。在所有这些情况下，风险的吸收需要进行监测，并应当建立有效的管理机制。只有到那时，公司系统才实现其财务业绩的目标。

4、这些风险是如何管理的

鉴于上述情况，那么那些必要的程序必须履行，以便进行适当的风险管理呢?从本质上讲，是采用什么技术既限制和管理风险的不同类型，以及它们是如何在各种风险控制区实施?这是对这些问题，我们现在转向。公司领导在审查采用的程序，这种方法从一出现大规模的风险管理系统的检查。该公司的管理依赖于银行的步骤，以落实风险管理体系的序列。这些可以被看作是包含以下四个部分:

1、标准和报告

2、持仓限额或规则

3、投资指南和策略

4、激励合同和赔偿

一般来说，这些工具建立了权衡揭示、定义程序来管理这些风险，限制个别职位到可接受的水平，并鼓励决策者管理采取与该公司的目标相一致的目标和风险的方式。为了解这四个部分基本的风险管理技术如何分别实现这些目标，我们将对下而过程的每一个部分详细作说明。在第4节我们将说明这些技术是如何应用到银行界所而临的具体风险。

1、标准和报告

这些风险管理技术，涉及到两个不同的概念第一次活动，即制定标准和财务报告。将它们列在一起，因为它们是整个风险系统必不可少的条件。承销标准，风险分类，审查标准和风险都是传统的管理和控制工具。一致的评估标准和各类风险等级是投资组合中必不可少的风险协议内容，并且这些风险的程度必须减轻或吸收。

标准化的财务报告是下一个组成部分。显然，外部审计，监管报告，评级机构的评价是投资者衡量资产质量和企业层面风险必不可少的内容。不管怎样，这些报告一直是标准化的。不过，我们对资产质量和风险状况信息的需求超越了我们对公共报告和审计报告的需求。类似这样的内部报告需要更加规范化、频繁化和定期化。我们需要用日报或周报来取代国际会计准则认可的季度报告。

2、持仓限额或规则

第二个内部控制技术是利用持仓限额和使用最低参与标准。就后者而言，风险采取域限制，只是对那些通过预先确定的质量标准的资产或证券。然后，即使对那些符合条件的投资，也会有一些限制性的规定。用这些规定来覆盖证券和信贷的风险，和其他相对集中的各类风险。虽然这种限制在设立和管理起来比较昂贵，他们所实行的限制风险，可以由任何人单独承担。这样就可以将风险统筹起来。一般来说，每个人承担的资金将得到一个明确的限制。这种做法适用于商人，放贷人和投资组合经理。汇总报表通过业务单位指出限制条件和当前漏洞。在一个拥有数千名员工的大型公司，及时的提供准确的报告相当困难，但是，这却非常重要。

3、投资指南和策略

投资指南和建议定位是第三个将在未来普遍使用的技术。在这里，我们的策略将依照主要的领域和承诺对市场部分做出详细说明，包括资产负债不匹配程度和暴露程度，以及特定类型系统性风险的对冲。

4、激励合同和赔偿

在某种程度上，管理上可以引入与一线管理人员个人激励机制相容的合同然后减少复杂和昂贵的风险补偿需求。然而，这种激励合同需要精确的定位和适当的内部控制评价制度。