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Commercial bank risk identification, assessment and response

Author: HuangZuo From: www.yourpaper.net Posted: 2010-06-11 03:25:51 Read:
[Keywords]     commercial bank; risk identification; risk assessment risk response
[Abstract] this paper on China's commercial banks credit risk, market risk and operational risk of commercial bank, analysis of risk identification approach proposed the risk assessment evaluation, measurement methods on the customer credit risk coping, market risk and operational risk control and monitoring of the transfer methods in order to the realization of China's commercial banks risk management to lay a good foundation.
, the introduction of
With the financial risk complexity increased the banking industry is constantly improving and perfecting the risk management idea, method and technology of risk management of commercial bank's comprehensive risk management mode gradually from the traditional asset-liability management model to risk capital constraints for the core course.Improve the comprehensive risk management ability of domestic commercial bank industry is a concrete manifestation of the implementation of scientific outlook on development of national financial security and stability and its significance.
two, a commercial bank risk identification
The main types of commercial bank risks are credit risk, market risk, operational risk.Risk identification is the commercial bank respectively: recognition of credit risk of commercial bank market customers; risk identification; operational risk of commercial bank.
1, the customer credit risk recognition.Refers to the customer all risk factors to capture and were judgment process. The customer credit risk due diligence process.Credit risk rating customers include fundamental indicators, financial indicators of two categories.(1) basic index.Also known as the qualitative or non-financial index includes three main aspects of quality, strength, environment.Quality indicator includes the management quality, shareholder governance structure, sincerity, owing on the loan credit records etc..The strength index from the client's funds, technology and equipment, management, personnel and other aspects to consider enterprise strength level.Environmental indicators including the market competition environment, credit environment, policy environment; (2) the financial index.The analysis of financial indicators include the solvency indicators, profitability, operation ability, growth ability index of several aspects of indicators and other indicators.False accusations of 'debt capacity index mainly because of the consideration of customer asset liability ratio, interest coverage ratio, balance the flow rate or the quick ratio; the operation capacity index mainly consider customer's total asset turnover ratio, accounts receivable turnover, turnover of working capital and liquidity asset turnover ratio etc..The profitability index mainly consider the customer rate of return on total assets, sales profit rate, the rate of return on net assets.The main indicators of the growth of the calculation and analysis of the growth rate of sales income, profit growth rate, interest rate of growth.
2, identify the market risk of commercial bank.The risks can be divided into repricing risk, yield curve risk, basis risk and option risk.The difference of repricing risk is also known as the maturity mismatch risk source due to bank assets, liabilities and off-balance-sheet business maturity or repricing period; asymmetry repricing will make the slope of the yield curve, morphological changes and formation of yield curve risk is also known as the term structure of interest rate risk; risk also known as reference interest rate risk is another important source of interest rate risk; option risk is an increasingly important interest rate risk from the bank assets, liabilities and implied options in international business.A commercial bank shall make decomposition and analysis of classes and properties of timely, accurately identify the market risk of all transactions and non-transactional business of every business and products in the market risk factors.
Identification of the 3, the operating risk of commercial banks.Operational risk identification process should be based on two aspects of current and potential future operational risk as the focus.This process should be considered: the overall situation of potential operational risk; the bank and its internal and external environment; strategic objective of the bank; banking products and services provided by the bank; unique environment factors; changes in internal and external as well as the main means of operation risk identification speed of change are the following: (1) analysis of internal operational risk.As a part of their daily business planning cycle process and is typically accomplished by staff meeting a business sector; (2) analysis of operational risk index.A bank may choose some and risk related to "key" by monitoring these indicators found some can cause the risk conditions; (3) upgrade trigger index analysis or critical trigger index analysis.The current transaction or event with pre-defined standard compared to cause bank management attention to potential field; (4) analysis of the loss event data.With the previous single operational risk loss event data records and other information to identify the operation risk and incentives; (5) flow chart analysis by plotting the risks of business and management flow chart analysis and recognition in the business process.
three, commercial bank risk assessment
Risk assessment is the second step of risk management of commercial banks.Through risk identification of commercial banks in the accurate judge that the risk is in nature after what specific form then need to further grasp the extent to which these risks in order to decide whether to control how to control in quantity.
Evaluation of 1, commercial bank credit risk
Evaluation of customer credit risk refers to the customer manager of customer credit risk identification to determine the outcome of credit risk level on the overall customers to assess the customer credit risk rating.The evaluation methods mainly include: (1) the expert judgment method.Expert judgment method mainly adopts'5C'analysis framework: the borrower quality (character), repayment ability (capacit capital size (capital), collateral condition (collateral), environment (condition), (2) credit scoring and credit experts experience preset a series of subjective and objective risk factors for these factors is designed for relatively fixed scoring table by rating people determine credit risk rating results according to the scoring table customer.(3) model.It can be divided into two categories: one is the establishment of multiple variables on the customer credit risk discriminant model consists of a linear probability model, L.ogit model, Probit model and multivariate discriminant analysis model; another kind of bond ruin model, market model and arbitrage models such as the option pricing model default rate model and limit method, neural network analysis system etc..
2, commercial banks' market risk assessment and measurement
Under the market risk identification should be based on the measurement method of the business nature, scale and complexity of the universal acceptance of bank accounts and trading accounts in different types of market risk selection of appropriate, the measurement of bank accounts and trading accounts in the market risk in the context of the entire line was added to the board of directors and senior management understanding the overall level of market risk of the bank.Can use different methods or models to measure bank accounts and trading account in different types of market risk measurement methods include gap analysis, duration analysis, foreign exchange exposure analysis, sensitivity analysis and application of internal model to calculate the risk value, also can use the pressure testing and other means to supplement.Commercial banks should take measures to ensure that the assumptions, parameters, data sources and measurement procedure rationality and accuracy and when the assumptions and parameters of the market risk measurement systems evaluated regularly make assumptions and parameters of the internal procedures.
Evaluation 3, the operating risk of commercial banks.
Operational risk is recognized for its evaluation to determine which risks is unacceptable as risk mitigation target.This step is usually required by the driver and the reason of an operational risk probability estimation of the risk of possible; it should also be without considering the impact assessment of an operation risk control strategy under the condition of.Assessment of risk may affect not only consider the direct effect on the economy should also be more widely consider the impact of risk on company goals.
four, the risk of commercial banks to deal with
To make a proper risk assessment need to decide how to deal with these risks.All the staff according to the risk countermeasures of risk probability and impact of the extent of the bank needs to select reasonable including risk aversion, risk acceptance, risk reduction and risk transfer.
I, the commercial bank customer credit risk response.Customer credit risk response refers to the customer credit risk evaluation results of the bank should take corresponding measures to prevent, eliminate or control the credit risk based on.FINDINGS: the customer first pass admittance standard of good credit business in commercial banks based on the customer credit risk rating results; according to the customer credit risk rating classification management of the stock of customers.In credit risk of different customer bank should adopt different management policies and management measures; the key information to provide according to the customer's credit risk identification, analysis and assessment to improve customer credit risk monitoring the pertinence and efficiency; reference customers
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