商业银行风险管理分析的过程

商业银行风险管理分析的过程内容摘要：

lude managerial selfinterest, the nonlinearity of the tax structure, the costs of financial distress and the existence of capital market imperfections. Any one of these justify the firms39。 concern over return variability, as the abovecited authors demonstrate. How Are These Risks Managed ? In light of the above, what are the necessary procedures that must be in place 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 o f largescale 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: (i) standards and reports, (ii) position limits or rules, (iii) investment guidelines or strategies, (iv) incentive contracts and pensation. 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 firm39。 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 IV we illustrate how these techniques are applied to manage each of the specific risks facing the banking munity. (i)Standards and Reports The first of these risk management techniques involves two different conceptual activities, ., 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 tounderstand 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. (ii) 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 any one individual, and therefore by the anization as a whole. In general, each person who can mit capital will have a welldefined limit. This applies to traders, lenders, and portfolio managers. Summary reports s。