中国商业银行市场风险管理中国商业银行市场风险管理

2008年5月11日2008年5月11日

中国银行业面临的市场风险呈上升趋势

国际市场价格波动加剧

美元3个月LIBOR 10年期美国国债收益率曲线美元3个月LIBOR 10年期美国国债收益率曲线

欧元/美元/、英镑/美元及美元/日元走势图

国内市场利率、汇率市场化程度提高内市场利率 率市场化程度提高

人民币3个月SHIBOR

10年期人民币国债收益率曲线

美元/人民币走势图

风险管理≠风险回避

了解风险承担的水平寻求风险/收益的平衡

第二部分监管要求与我行实践

银监会：《商业银行市场风险管理指引》

1. 董事会和高管层的有效监控

5 适当的市场风险

2. 完善的市场风险管理政策和程序

5. 适当的市场风险资本分配机制

4. 完善的内部控制和独立的外部审计3 市场风险识别 计量 独立的外部审计3. 市场风险识别、计量

监测和控制

第三部分

次贷危机对中国商业银行市场风险管理的启示以及亟待解决的问题

▪商业银行的诸多业务，尤其是资金业务面临着信用、市场、流动性、全面风险管理有待加强

声誉、法律、操作等多种风险，全面风险管理的理念非常重要。▪资金业务的风险管理需要多个流程和环节的人员的参与。一线业务人员是风险管理的第一道防线。

风险管理能力

▪风险管理是为业务发展服务的。越复杂的业务，越需要在风险政策制

度规范、风险识别、计量、估值和定价方面具备相应的管理能力。风险管理能力需与业务发展相匹配

度规范 风险识别 计 估值和定价方面具备相应的管 能力一方面，对于商业银行不具体风险管理和控制能力，无法进行估值的资金业务应慎重；另一方面要加快提升风险管理能力，促进业务规模健康合理地发展，提高质量。

专业人才储备相对匮乏

▪市场风险管理人员应具备较为丰富市场经验及产品知识。国内的商业

银行应开始有意识地培养和储备相关专业人才。好的风险管理人员与一相对匮乏线业务人员同样重要。

第三部分

次贷危机对中国银行业市场风险管理的启示以及亟待解决的问题（续）解决的问题（续）

▪风险对冲是有效风险管理的重要手段，是确保银行业金融机构在董事

风险对冲手段尚有不足

风险对冲是有效风险管理的重要手段，是确保银行业金融机构在董事

会确定的市场风险偏好内经营的保障。受到市场和政策的一定限制，目前国内商业银行在银行账户的利率风险和非交易性外汇敞口的控制普遍缺乏有效手段。

▪完善的IT系统建设是有效风险管理的有力支持。市场上的系统多种多

样，重点在于是否与银行的经营规模和业务发展需求相匹配，需避免盲IT系统建设仍需完善 样，重点在于是否与银行的经营规模和业务发展需求相匹配，需避免盲

目求新、求大。需完善

信息的披露和沟通有待加强

▪涉及风险管理相关部门间的信息沟通和交流对准确识别、判断风险非

常重要。对于机构庞大，风险管理所需的业务、估值、账务、市场信息等分散在不同部门和系统的机构尤为重要。

随着我国利率市场化 金融创新和综合经营随着我国利率市场化、金融创新和综合经营的发展，商业银行所面临市场风险的种类和规模还会成倍增长还会成倍增长

未雨绸缪未雨绸缪

谢谢！谢谢！

Market Risk Management ofMarket Risk Management of Chinese Commercial Banks

May 11 2009May 11, 2009

Commercial banks in China are exposed to increasing p g

market risks国际市场价格波动加剧

LIBOR USD 3M The Yield Curve of US 10-Year TreasuryLIBOR USD 3M The Yield Curve of US 10 Year Treasury

Exchange rate of €/US$, £/US$, and US$/JPY

Interest rate and exchange rate in China are increasingly market based

SHIBOR RMB 3M

The Yield Curve of 10-Year China Treasury Bondsy

Exchange rate of US$/RMB

Risk Management≠Risk Avoidance

Understand the level of risk to be takenSeek the balance between risk and returnSeek the balance between risk and return

第二部分

CBRC： Guidelines on Market Risk Management of Commercial Banks

1. effective i ht boversight by

board of directors and

senior management

5. an appropriate

k t i kmanagement2. sound risk management policies and procedures

market risk capital

allocation mechanism

procedures

4. sound internal control and external

3. effective mechanisms for

identification auditing arrangements

identification, measurement, monitoring and control of risks

第三部分

Lessons from subprime loan crisis – market riskmanagement in Chinese commercial banks andissues to be solved• Commercial banks are exposed to many risks such as credit, market,

liquidity reputation legal and operations in their business especially capitalStrengthen total risk management

liquidity, reputation, legal and operations in their business especially capitalbusiness. Total risk management is very important

• Risk management of capital business needs to involve employees frommultiple businesses and areas. Front line businessmen are the first defenceline of risk management.

Match risk

• Risk management serves business development. The more complexesbusiness is, the higher capability needed in the areas of risk managementpolicy formulation risk identification quantification evaluation and pricing

management capabilities and business development

policy formulation, risk identification, quantification, evaluation and pricing.On the one hand, banks need to be careful in capital business where thebanks lacks risk management and control and are unable to evaluate. Onthe other hand, banks need to enhance risk management capability,promote healthy business development, and improve quality

Relative insufficiency of

▪Market risk management personnel should be experienced andknowledgeable. Domestic commercial banks needs to train anddevelopment relevant professionals. Good risk management staff are

talent pool of professional

development relevant professionals. Good risk management staff arethe same important as front-line business person.

第三部分

Lessons from subprime loan crisis – market riskt i Chi i l b k dmanagement in Chinese commercial banks and

issues to be solved (Continued)• Risk hedging is an key way to effectively manage risk and ensures

Lacks of ways to hedge risk

Risk hedging is an key way to effectively manage risk and ensuresthat financial institutions are operating within the risk preferenceformulated by the board of directors. Due to market and policyconstraints, currently domestic commercial banks lack effective waysto control interest rate risk and foreign exchange rate exposure

• Sound IT systems are key support to effective risk management. There aremany systems in the market. The point is banks need to evaluate if thesystems match their business scale and business development and should

Strengthen IT system

• The communication between relevant risk management departments

systems match their business scale and business development and shouldavoid implementing new and large systems blindly

system

Enhance information disclosure and communicatio

• The communication between relevant risk management departmentsare very important for accurate identification and evaluation, especiallyfor those large banks and banks with different departments to handlebusiness development, evaluation, accounting and market information.

n

• With interest rate being more market based and the development of• With interest rate being more market based and the development of financial innovation and comprehensive operation, the risks that commercial banks are exposed to would grow dramatically in terms of types and scale Soof types and scale. So

Making Preparations g pin Advance!

谢谢！谢谢！