外文翻譯---商業(yè)銀行的風(fēng)險管理一個分析的過程

1、<p><b>　　畢業(yè)論文</b></p><p><b>　　外文翻譯</b></p><p>　　2014年 3 月 15 日</p><p>　外文來源Commercial Bank Risk Management: An Analysis of the Process</p><

2、p>　中文譯文商業(yè)銀行表外業(yè)務(wù)風(fēng)險控制 </p><p>　　Commercial Bank Risk Management: An Analysis of the Process</p><p><b>　　Rui He</b></p><p>　　Trends and issues in Commercial B

3、ank Risk Management</p><p><b>　　Abstract</b></p><p>　　Throughout the past year, on-site visits to financial service firms were conducted to review and evaluate their financial risk m

4、anagement 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 bo

5、th the philosophy and practice of financial risk management. This article outlines the results of this investigation. It reports the state of risk management</p><p>　　1. . Introduction </p><p>　

6、　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 deriva

7、tive 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. <

8、;/p><p>　　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 Fo

9、undation, 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

10、and the process of risk evaluation that is in place. In the banking sector, system e</p><p>　　2. What type of risk is being considered?</p><p>　　Commercial banks are in the risk business. In the

11、 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

12、 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

13、 it to say </p><p>　　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) tr

14、ust 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;

15、 (4) the packaging, securitizing, distributing, and servicing of loans in the areas of consumer and</p><p>　　These items are absent from the traditional financial statement because the latter rely on gene

16、rally 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 dis

17、cussion 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 conce</p><p>　　3. What kind

18、s of risks are being absorbed?</p><p>　　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 bo

19、rne 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 throu

20、gh a combination of pricing and product design. </p><p>　　The banking industry recognizes that an institution need not engage in business in amanner that unnecessarily imposes risk upon it; nor should it abs

21、orb 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

22、portfolios. In short, it should accept only those risks that are uniquely a part of the bank's array of services. Elsewhere (Old fi</p><p>　　In the first of these cases, the practice of risk avoidance in

23、volves 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

24、 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

25、di</p><p>　　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

26、 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. </p><p>　　Finally, the bank can buy or sell fi

27、nancial 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

28、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,

29、rather than transfer the</p><p>　　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 ex

30、ist 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

31、is the case when the bank holds complex and proprietary assets that have thin, if not nonexistent, secondar</p><p>　　4. How are these risks managed?</p><p>　　In light of the above, what are the

32、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 ea

33、ch 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

34、 of the banking firm rel</p><p>　　In general, these tools are established to measure exposure, define procedures to manage these exposures, limit individual positions to acceptable levels, and encourage deci

35、sion 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 o

36、f the process below. In section 4 we illustrate how these techniques are applied to manage each of the specific</p><p>　　1.Standards and reports. </p><p>　　The first of these risk-management tec

37、hniques 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 categoriza

38、tions, 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

39、 the extent to which t</p><p>　　The standardization of financial reporting is the next ingredient. Obviously, outside audits, regulatory reports, and rating agency evaluations are essential for investors to

40、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

41、asset quality and risk posture. Such internal reports need similar standardization and much more frequent</p><p>　　2.Position limits and rules. </p><p>　　A second technique for internal control

42、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 prespe

43、cified 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

44、 such limits are cos</p><p>　　3.Investment guidelines and strategies. </p><p>　　Investment guidelines and recommended positions for the immediate future are the third technique commonly in use.

45、 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

46、a particular type. 4.Incentives schemes. </p><p>　　To the extent that management can enter incentive compatible contracts with line managers and make compensation related to the risks borne by these in

47、dividuals, then the need for elaborate and costly controls is lessened. However, such incentive contracts require accurate position valuation and proper internal control systems. </p><p>　　商業(yè)銀行的風(fēng)險管理：一個分析的過程

48、</p><p><b>　　何瑞</b></p><p>　　商業(yè)銀行風(fēng)險管理和相關(guān)問題</p><p><b>　　摘要</b></p><p>　　在過去一年里,我們通過現(xiàn)場參觀金融服務(wù)公司來進行審查和評估其金融風(fēng)險管理系統(tǒng)。商業(yè)銀行的分析涵蓋了大量的北美超地區(qū)性和準(zhǔn)貨幣中心機構(gòu),以及一些美國

49、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。本文概述了本次調(diào)查的結(jié)果,并報告了該行業(yè)風(fēng)險管理技術(shù)的狀況。它報告了行業(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。我們討論這些問題，包括業(yè)界認為最難處理的、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。</p><p><b>　　1.背景介紹</b></p>&l

50、t;p>　　在過去十年中，銀行業(yè)經(jīng)歷了一場慘痛的損失。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)負債表風(fēng)險，一些表現(xiàn)良好的公司突然宣布了自己的巨額虧損。在針對這種情況，商業(yè)銀行己開始了一項對風(fēng)險管理和控制系統(tǒng)的升級。</p><p>　　在某種程度上來說，這次活動是出于我們對行業(yè)財務(wù)風(fēng)險弱點的認識。在斯隆基金會的支持下，沃頓商學(xué)院金融機構(gòu)中心，一直在金融部門中參與對金融風(fēng)險

51、管理的分析。通過過去的一年的時間，實地考察的審查方法貫穿于評估風(fēng)險管理制度和風(fēng)險評估所定的過程中。在銀行部門，系統(tǒng)進行了評估，包括很多北美超地區(qū)性和本土貨幣中心的商業(yè)銀行，以及大量的大型投資銀行公司。這些結(jié)果被提交給銀行公司，繼續(xù)參與更廣泛的反應(yīng)和驗證。</p><p>　　本文的目的是概述本次調(diào)查的結(jié)果。它報告了行業(yè)風(fēng)險管理技術(shù)情況，包括問題的提出，問題的回答，以及受訪者遺留問題的解決。此報告沒有列舉行業(yè)內(nèi)普遍

52、采用的方法，也沒有提供對這些方法的評價。相反，它報告的是執(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、銀行采用的現(xiàn)行做法尚不嚴(yán)密的問題清單。在這里，我們討論的包括業(yè)界認為比較難處理的、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。</p><p>　　2. 我們應(yīng)該考慮

53、什么類型的風(fēng)險</p><p>　　商業(yè)銀行正承擔(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，我們對商業(yè)銀行在金融部門的地位的認識已大大提高。在這段時間，商業(yè)銀行在金融部門扮演的什么樣的角色已經(jīng)眾所周知，無論是在學(xué)術(shù)文獻或者金融新聞上都有體現(xiàn)。在本文中，這些參數(shù)這里既不會審查，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，交易效率和資金的

54、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)負債表，以方便交易和承受與它相關(guān)的風(fēng)險。</p><p>　　可以肯定的是，這些銀行業(yè)金融機構(gòu)進行的活動不會直接受資產(chǎn)負債表的影響。這些服務(wù)包括代理和咨詢活動，如:</p><p>　　（1）信托及投資管理;</p><p>　?。?）通過“最大努力”促進私人和公共存款合同;</p>

55、<p>　?。?）通過第20條標(biāo)準(zhǔn)承保該控股公司的附屬公司</p><p>　?。?）包裝，證券化，分發(fā)，以及為消費和房地產(chǎn)領(lǐng)域的貸款債務(wù)提供服務(wù)。</p><p>　　這些項目是在傳統(tǒng)的財務(wù)報表之外的，因為后者依賴丁飛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)負債表。然而，銀行業(yè)所而臨的風(fēng)險，絕大多數(shù)是來自于企業(yè)的資產(chǎn)負債表。在這里，我們對風(fēng)險管理以及風(fēng)險管理與控制的必

56、要程序需要集中探討。因此，在這里，我們必須把風(fēng)險的管理程序的審查集中起來。</p><p>　　3. 何種風(fēng)險將被吸收?</p><p>　　在銀行的主要業(yè)務(wù)，即那些涉及其自身的資產(chǎn)負債表和其基本的商業(yè)貸款和借款中的風(fēng)險，并不完全由銀行自身所承擔(dān).在許多情況下，機構(gòu)將通過適當(dāng)?shù)纳虡I(yè)行為的交易來消除或減輕金融風(fēng)險與關(guān)聯(lián)，在其他情況卜，將通過定價和產(chǎn)品設(shè)計的結(jié)合把風(fēng)險轉(zhuǎn)移給其他締約方。<

57、/p><p>　　銀行業(yè)認識到，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，銀行也無需承擔(dān)風(fēng)險，它只需要把風(fēng)險有效地轉(zhuǎn)移給其他參與者。相反，對于企業(yè)來說，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銀行服務(wù)陣列的風(fēng)險。在其他地方(奧德菲爾德和圣多馬羅，1997)有人認為，從管理角度來看，所有金融機構(gòu)面臨的風(fēng)險可細分為三個類

58、型。他們是:</p><p>　　1、通過簡單的商業(yè)慣例可消除或避免的風(fēng)險。</p><p>　　2、可轉(zhuǎn)移給其他參與者的風(fēng)險</p><p>　　3、在公司可控水平上積極管理的風(fēng)險</p><p>　　規(guī)避這些風(fēng)險的第一種做法是，從標(biāo)準(zhǔn)銀行活動特有的宗旨出發(fā)(尤其是該機構(gòu)的經(jīng)營宗旨)，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

59、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，我們的目標(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。</p><p>　　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。雖然銀行承擔(dān)了市場

60、上所存在公司的大部分風(fēng)險，不過利率風(fēng)險是可以轉(zhuǎn)讓的，如掉期或其他衍生工具利率產(chǎn)品;借款條件也可以針對影響持續(xù)時間的變化而進行修改。</p><p>　　最后，銀行可以從服務(wù)客戶群的過程中，購買或出售金融債權(quán)分散或集中的風(fēng)險。從某種程度上來說，這些資產(chǎn)的財務(wù)風(fēng)險都是公司在市場理解的基礎(chǔ)上產(chǎn)生的。這些資產(chǎn)能以公允價值出售。除非該機構(gòu)已在管理風(fēng)險上有比較優(yōu)勢或者愿意接受嵌入式風(fēng)險，我們沒有理由為銀行吸收這些風(fēng)險，而不是

61、轉(zhuǎn)化這些風(fēng)險。</p><p>　　然而，有兩類固有的風(fēng)險資產(chǎn)或活動應(yīng)被銀行吸收。在這種情況下，使用企業(yè)資源來管理銀行風(fēng)險的水平是一種良好的方式。其中第一個內(nèi)容，包括金融資產(chǎn)和金融活動。這種嵌入性質(zhì)的風(fēng)險傳達給第三方比較復(fù)雜和困難。這里的意思就是，是當(dāng)銀行持有的復(fù)雜和專有資產(chǎn)數(shù)量下降時，這種風(fēng)險轉(zhuǎn)移起來比較困難。當(dāng)然通過二級市場，我們還是可以轉(zhuǎn)移風(fēng)險。但是在這種情況下，傳遞風(fēng)險可能會比對沖這種潛在風(fēng)險更加困難和昂

62、貴。此外，泄露客戶信息這種不正當(dāng)?shù)母偁幨侄文芙o自己帶來好處。第二個內(nèi)容包括自營他們接受的頭寸風(fēng)險和預(yù)期回報。在這里，吸收風(fēng)險頭寸是銀行極為重要的經(jīng)營貸款活動所固有的信貸風(fēng)險就是一個明顯的例子，它是銀行在市場交易時必然活躍的風(fēng)險。在所有這些情況下，風(fēng)險的吸收需要進行監(jiān)測，并應(yīng)當(dāng)建立有效的管理機制。只有到那時，公司系統(tǒng)才實現(xiàn)其財務(wù)業(yè)績的目標(biāo)。</p><p>　　4. 這些風(fēng)險是如何管理的</p>&l

63、t;p>　　鑒于上述情況，那么那些必要的程序必須履行，以便進行適當(dāng)?shù)娘L(fēng)險管理呢?從本質(zhì)上講，是采用什么技術(shù)既限制和管理風(fēng)險的不同類型，以及它們是如何在各種風(fēng)險控制區(qū)實施?這是對這些問題，我們現(xiàn)在轉(zhuǎn)向。公司領(lǐng)導(dǎo)在審查采用的程序，這種方法從一出現(xiàn)大規(guī)模的風(fēng)險管理系統(tǒng)的檢查。該公司的管理依賴于銀行的步驟，以落實風(fēng)險管理體系的序列。這些可以被看作是包含以下四個部分:</p><p><b>　　1、標(biāo)準(zhǔn)和

64、報告</b></p><p><b>　　2、持倉限額或規(guī)則</b></p><p><b>　　3、投資指南和策略</b></p><p><b>　　4、激勵合同和賠償</b></p><p>　　一般來說，這些工具建立了權(quán)衡揭示、定義程序來管理這些風(fēng)險，限制個

65、別職位到可接受的水平，并鼓勵決策者管理采取與該公司的目標(biāo)相一致的目標(biāo)和風(fēng)險的方式。為了解這四個部分基本的風(fēng)險管理技術(shù)如何分別實現(xiàn)這些目標(biāo)，我們將對下而過程的每一個部分詳細作說明。在第4節(jié)我們將說明這些技術(shù)是如何應(yīng)用到銀行界所而臨的具體風(fēng)險。</p><p><b>　　1、標(biāo)準(zhǔn)和報告</b></p><p>　　這些風(fēng)險管理技術(shù)，涉及到兩個不同的概念第一次活動，即制定

66、標(biāo)準(zhǔn)和財務(wù)報告。將它們列在一起，因為它們是整個風(fēng)險系統(tǒng)必不可少的條件。承銷標(biāo)準(zhǔn)，風(fēng)險分類，審查標(biāo)準(zhǔn)和風(fēng)險都是傳統(tǒng)的管理和控制工具。一致的評估標(biāo)準(zhǔn)和各類風(fēng)險等級是投資組合中必不可少的風(fēng)險協(xié)議內(nèi)容，并且這些風(fēng)險的程度必須減輕或吸收。</p><p>　　標(biāo)準(zhǔn)化的財務(wù)報告是下一個組成部分。顯然，外部審計，監(jiān)管報告，評級機構(gòu)的評價是投資者衡量資產(chǎn)質(zhì)量和企業(yè)層面風(fēng)險必不可少的內(nèi)容。不管怎樣，這些報告一直是標(biāo)準(zhǔn)化的。不過，我

67、們對資產(chǎn)質(zhì)量和風(fēng)險狀況信息的需求超越了我們對公共報告和審計報告的需求。類似這樣的內(nèi)部報告需要更加規(guī)范化、頻繁化和定期化。我們需要用日報或周報來取代國際會計準(zhǔn)則認可的季度報告。</p><p><b>　　2、持倉限額或規(guī)則</b></p><p>　　第二個內(nèi)部控制技術(shù)是利用持倉限額和使用最低參與標(biāo)準(zhǔn)。就后者而言，風(fēng)險采取域限制，只是對那些通過預(yù)先確定的質(zhì)量標(biāo)準(zhǔn)的資產(chǎn)

68、或證券。然后，即使對那些符合條件的投資，也會有一些限制性的規(guī)定。用這些規(guī)定來覆蓋證券和信貸的風(fēng)險，和其他相對集中的各類風(fēng)險。雖然這種限制在設(shè)立和管理起來比較昂貴，他們所實行的限制風(fēng)險，可以由任何人單獨承擔(dān)。這樣就可以將風(fēng)險統(tǒng)籌起來。一般來說，每個人承擔(dān)的資金將得到一個明確的限制。這種做法適用于商人，放貸人和投資組合經(jīng)理。匯總報表通過業(yè)務(wù)單位指出限制條件和當(dāng)前漏洞。在一個擁有數(shù)千名員工的大型公司，及時的提供準(zhǔn)確的報告相當(dāng)困難，但是，這卻非

69、常重要。</p><p><b>　　3、投資指南和策略</b></p><p>　　投資指南和建議定位是第三個將在未來普遍使用的技術(shù)。在這里，我們的策略將依照主要的領(lǐng)域和承諾對市場部分做出詳細說明，包括資產(chǎn)負債不匹配程度和暴露程度，以及特定類型系統(tǒng)性風(fēng)險的對沖。</p><p><b>　　4、激勵合同和賠償</b>&l