国际活跃银行的风险管理.ppt

ANZ The “Vicious Cycle” of Risk The Risk Management “journey” – ANZ built its risk management capability over more than a decade Prior to 1994 No formal combined “Risk Management” function, but ANZ had a credit “workout” area and an operational risk function; rudimentary risk grading and pricing processes; no risk-based capital allocation 1995 Credit risk unit formed, with emphasis on handling actual and prospective property portfolio. First credit risk grading models built – Probability of Default, Loss Given Default 1996–97 Board Risk Management Committee supersedes the Credit Committee; Regulatory Compliance framework implemented; Economic Capital for credit risk; Economic Value Added (“EVA”) models implemented for compensation 1999 Market and Operational Risk capability strengthened 2000 Operational Risk economic capital model developed and implemented; Creation of dedicated Retail Risk function 2001 Basel II project commenced 2002 Substantial Risk Management capability embedded in consumer businesses 2003 Increased focus on the management of project risks; Formal Risk Management involvement in Strategy 2004 Specialised Technology Risk function created; Group Compliance framework enhanced Source: “The ANZ Risk Management Framework”, CRO presentation to investors, 27 July 2004 /aus/shares/presentations/speeches/2004.asp “RAROC” Method of Pricing Loans for Risk The one risk in this area is that the separation of duties becomes blurred and that risk becomes too close to the business units Current Trends in Sophisticated Banking Markets Increased market volatility Significant regulatory and governance changes: Basel II, Sarbanes Oxley, new International Financial Reporting Standards (etc.) Greater shareholder pressure – desire for greater profit but less risk! Greater competition Increased business complexity Increased transparency about performance and risk Substantially increasing burdens associated with multiplying compli